www.interactivedata.com/vantage SECTORS: Five Tables available for TBAs, Pass Thrus, Agency CMOs, Non-Agency CMOs/CMBS/ABS TRADE INFORMATION: Volumes, Prices and Trade Counts are displayed by quartile and weighted average HISTORICAL INFORMATION: Daily Structured Aggregate Reports are available on Vantage for all U.S. business days since May 16, 2011 AGENCY INFORMATION: Agency Trades subdivided by FNMA, GNMA and FHLMC OBTAIN TRANSPARENCY INTO MARKET ACTIVITY The FINRA-Interactive Data Structured Trading Aggregate Reports provide transparency into market activity related to U.S. structured securities on a daily basis. • This set of reports incorporates the FINRA Trade Reporting and Compliance Engine ® (TRACE ® ) data, offering an aggregate summary of daily transactions in the U.S. structured securities market by asset class. FINRA-Interactive Data Structured Trading Aggregate Reports (STAR)
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www.interactivedata.com/vantage
SECTORS: Five Tables available for TBAs, Pass Thrus, Agency CMOs, Non-Agency CMOs/CMBS/ABS
TRADE INFORMATION: Volumes, Prices and Trade Counts are displayed by quartile and weighted average
HISTORICAL INFORMATION: Daily Structured Aggregate Reports are available on Vantage for all U.S. business days since May 16, 2011
AGENCY INFORMATION: Agency Trades subdivided by FNMA, GNMA and FHLMC
OBTAIN TRANSPARENCy INTO MARkET ACTIVITyThe FINRA-Interactive Data Structured Trading Aggregate Reports provide transparency into market activity related to U.S. structured securities on a daily basis.
• This set of reports incorporates the FINRA Trade Reporting and Compliance Engine® (TRACE®) data, offering an aggregate summary of daily transactions in the U.S. structured securities market by asset class.
FINRA-Interactive Data Structured Trading Aggregate Reports (STAR)
FINRA-Interactive DataStructured Trading Activity Reports
www.interactivedata.com
fREqUENTLy ASkED qUESTIONS
1. Q. Is the volume data in the Reports original par value or current balance?A. The volume is current remaining balance, which is original tranche balance multiplied by current tranche
factor.
2. Q. What tranche factors are being used?A. The tranche factor is sourced from Interactive Data and represents the most currently available factor as of
the transaction date.
3. Q. Why do the Report volumes not match those in the TRACE Fact Book?A. The TRACE Fact Book volumes are based on original par value, whereas the Report volumes are based on
current remaining balance. Additionally, future corrections of transactions may occur after the initial reporting date, which will be captured in the Fact Book, while the Reports only represent data known at the reported time.
4. Q. Are “Dealer-to-Dealer” transactions double counted?A. No. To avoid double counting, only the sale side is included in the Reports.
5. Q. What do the asterisks in a field where I expect data signify?A. The asterisk indicates that there were less than five transactions for a category.
6. Q. Are new issue transactions reflected in the Reports?A. Yes. However, exclusion from the Reports may occur as a result of the unavailability of certain reference
data, such as tranche factors, for new issue transactions.
7. Q. I traded a security but I don’t see the price reflected in the pricing table. Why not?A. The tables in the Reports only display statistical measures of prices, such as ranges and averages.
8. Q. How are Investment Grade and Below Investment Grade securities determined?A. Investment Grade securities are determined by the lowest credit rating by any of the three major nationally
recognized rating agencies: Standard and Poor’s, Moody’s, and Fitch. If only one agency has rated the product, that rating will determine the category. The Below Investment Grade category also includes securities that do not have credit ratings, or where credit rating is not available.
9. Q. Are the credit ratings used to determine Investment Grade or Below Investment Grade based on current or original credit rating?
A. The pricing tables use current credit rating for the grouping of securities.
10. Q. What is the time frame for transactions to be captured in the daily Reports?A. Transactions are captured between 8:00 AM and 6:30 PM daily, representing the entire TRACE reporting day.
11. Q. What time will the Reports be available daily?A. The Reports will be available by 9:00 PM daily.
12. Q. What day’s activity is captured in the Reports?A. Reports prior to November 18, 2011 were delayed two days to reflect T+1 reporting. After November 18,
2011, transaction reporting changed to T+0 reporting, and the Reports were made available by the end of the same transaction day.
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FINRA-Interactive DataStructured Trading Activity Reports
13. Q. Are credit-default swaps (CDS) or synthetic indices, such as ABX, CMBX, PrimeX, IOS/PO, included in the Reports?
A. No. Synthetic indices and credit-default swaps, which are not TRACE-eligible securities, are not reported to FINRA or included in the Reports.
14. Q. How are dollar rolls calculated in the Reports?A. Dollar rolls are reported to the TRACE system as two separate transactions and they are aggregated in their
respective Agency product categories.
15. Q. What is included in the Non-Agency CMO category?A. The Non-Agency CMO category includes prime, Alt-A, pay option ARMs, subprime, home equity, HELOCs,
high LTV, re-performing, scratch and dent, and other RMBS-related asset classes. Manufactured housing and timeshare receivables are reported in the ABS category.
16. Q. What is included in the ABS category, and why is it so generalized?A. The ABS category includes all asset classes that are not part of any other defined asset class. Due to the
wide variety of ABS asset classes, many of which have a smaller universe of securities, the aggregate grouping minimizes the chance of exposing thinly traded segments of the market.
17. Q. How are Agency CMBS categorized in the Reports?A. Agency CMBS is categorized in the CMBS category of the Reports, not the Agency CMO category.
18. Q. What is the “Other Agency” category in the Structured Trading Activity Reports?A. Most of these transactions are Small Business Administration pass-throughs.
19. Q. Are cancelled transactions reported?A. Cancelled transactions which occur on the same day of reporting are taken into account in the Reports.
However, cancelled transactions reported after the trading day are not retroactively corrected, as the Reports are presented as a snapshot of what was known at the time. Corrections are periodically updated and noted in the “Errata” tab in the Reports.
20. Q. Is there historical information available?A. Yes. FINRA historical data is available from May 16, 2011.
21. Q. Is there a way to download all historical data in a database friendly format?A. If you are interested in historical FINRA Structured Trading Activity data, please send a request to
22. Q. Can I access more granular content including Interactive Data’s evaluations, assumptive data, and other market-related data?
A. Yes. Interactive Data’s VantageSM offers a range of diverse content, tools, and resources, including market activity monitors.
If you are interested in learning more about VantageSM or other Interactive Data services that complement the Structured Trading Activity Reports, please contact [email protected]
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ABOUT INTERACTIVE DATA
Interactive Data Corporation is a trusted leader in financial information. Thousands of financial institutions and active traders, as well as hundreds of software and service providers, subscribe to our fixed income evaluations, reference data, real-time market data, trading infrastructure services, fixed income analytics, desktop solutions and web-based solutions. Interactive Data’s offerings support clients around the world with mission-critical functions, including portfolio valuation, regulatory compliance, risk management, electronic trading and wealth management. Interactive Data has over 2,500 employees in offices worldwide.
Pricing, evaluations and reference data are provided in the US through Interactive Data Pricing and Reference Data LLC and internationally through Interactive Data (Europe) Ltd. and Interactive Data (Australia) Pty Ltd.
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This document is provided for informational purposes only. The information contained in this document is subject to change without notice and does not constitute any form of warranty, representation, or undertaking. Nothing herein should in any way be deemed to alter the legal rights and obligations contained in agreements between Interactive Data and its clients relating to any of the products or services described herein. Interactive Data Pricing and Reference Data does not provide legal, tax, accounting, or other professional advice. Clients should consult with an attorney, tax, or accounting professional regarding any specific legal, tax, or accounting situation.
Interactive Data makes no warranties whatsoever, either express or implied, as to merchantability, fitness for a particular purpose, or any other matter. Without limiting the foregoing, Interactive Data makes no representation or warranty that any data or information (including but not limited to evaluations) supplied to or by it are complete or free from errors, omissions, or defects.
Interactive DataSM and the Interactive Data logo are registered service marks or service marks of Interactive Data Corporation in the United States or other countries. VantageSM is a service mark of Interactive Data Pricing and Reference Data, LLC. Excel® is either a registered trademark or trademark of Microsoft Corporation in the United States and/or other countries. The Adobe® PDF logo is either a registered trademark or trademark of Adobe Systems Incorporated in the United States and/or other countries. Other products, services, or company names mentioned herein are the property of, and may be the service mark or trademark of, their respective owners.
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