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 December 9, 2024:

  • New CBO, CDO, and CLO Tab: A new tab has been created for the CBO, CDO, and CLO securities, removing them from the non-AgencyCMO-Other tab. This change provides additional granularity with new vintage and rating categories.
  • DailyCMBS Tab Update: The DailyCMBS tab now includes a summary column for both Agency and Non-Agency CMBS. These will allow for transparency on days where the trading is light and thus obscuring the display or activity in some categories.

Please note that previous reports will remain in the prior format and will not be updated. Additionally, the Structured Trading Activity Report (STAR) will not be changed.

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.