Structured Product Activity Reports and Tables
The Financial Industry Regulatory Authority (FINRA) and Interactive Data Corporation have created a suite of aggregated data products for Asset and Mortgage Backed securities to benefit investors and other market participants. Investors can now gauge the activity levels in the market place as well as price levels by various sub-product types.
This new end-of-day service represents the full asset- and mortgage backed securities markets and is derived using only actual transacted prices from TRACE, the U.S. over-the-counter bond market mandated regulatory reporting and dissemination facility.
Please note: Effective June 1, 2015 ABS List or Fixed Offering Price and Takedown Transactions (as defined in FINRA Rule 6710), as well as CMO transactions in securities newly added to the system on the report day will be excluded from inclusion in the FINRA-Interactive Data daily Securitized Product Report and Pricing Tables. Previously created reports will not be adjusted for the change.
Should you have any questions, please contact TRACE Data Services at (888) 507-3665 or by email.
Structured Trading Activity Report
The Structured Trading Activity Report (Excel file) displays an aggregate summary of market activity in the U.S. structured products markets by product type, including volume traded (as measured by remaining principal balance), number of trades and number of unique securities traded.
Structured Product Pricing Tables
The Structured Product Pricing Tables (Excel file) display price levels for various security categories. The five tables show aggregated price levels as well as volume of the following products:
- TBA (To Be Announced Forward MBS Trades)
- MBS Pass-Through Securities
- Agency CMO
- Non-Agency CMO/CMBS/ABS/CDO
- Other Structured Products
The tables are included on separate worksheets in the Excel document.
For additional information regarding the reports please contact TRACE Data Services at (888) 507-3665.