Structured Product Activity Reports and Tables

This data provides market activity as of end of day for structured products, based on transactions reported to TRACE. Tables of aggregated price levels are organized by product type.

This 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: the following enhancements to FINRA-ICE Data Services Structured Trading Reports taking effect on February 4th, 2022;

  • Two additional tabs have been added, one for the daily CMBS transactions and a second for the Weekly CMBS transactions.
  • In the Structured Trading Pricing Report the CMBS aggregate transaction data has been moved from the “Non-Agency CMO/CMBS/ABS/CLO” tab into the two CMBS tabs.
  • The new tabs provide more granular information, with data grouped in the following cohorts: CONDUIT AAA, CONDUIT IG, CONDUIT HY, OTHER CMBS AAA LCF, OTHER CMBS AAA, OTHER CMBS IG, OTHER CMBS HY, AGENCY CMBS. The cohorts will be broken out by Principal and Interest (PNI) and Interest Only/Principal Only (IO/PO) where relevant.
  • There will also be three vintage buckets for each of the of the CMBS cohorts. The vintage buckets will automatically roll forward on January 1st of each subsequent year.
  • The new weekly CMBS aggregate report will be published at the end of each week, and represent the transactions by calendar week, i.e. it will not be updated daily.

Please note that previous reports will remain in the prior format and will not be updated. Additionally, the TBA, Pass-Thru and Agency CMO tabs will not be impacted by this enhancement.

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.