TRACE Reported Customer Buying and Selling Activity

April 23, 2012

MBS TRACE reported customer buying vs selling trading volumes

How to interpret the charts:
Each day's customer trading volume as reported to TRACE is plotted as point. The five most recent trade dates in the charted range are rendered in red. Customer buying volume is measured on the X axis. Customer selling volume is measured on the Y axis. A day where customer buying and selling is in balance will be represented as point falling on the 45 degree line as show in green in the screenshot above. A period of heavy selling will show as most points appearing in the upper left region of the chart. Conversely, a period dominated by customer buying will be represented by most points falling in the lower right portion of the chart. Mouse over any point to see the trade date and total volume (Customer Buys, Customer Sales, and Dealer to Dealer Trades). As an outlier removal process, only Principal and Interest Trades are plotted. No IO/PO activity is charted.

Plotted ranges can be configured. Raw data is displayed in tabular form below the charts and can be exported to a CSV by clicking on the Excel icon (login required).

Link to page:

Empirasign Market Data now available on IDC Vantage

April 6, 2012

Interactive Data just launched Vantage for US Structured Product. Vantage is a web front end to IDC's market leading Evaluated Pricing product. On one screen you can now see a daily mark and the historical data (provided by Empirasign) supporting this valuation. Screenshot below (click to show entire Vantage screen).

IDC Vantage displays supporting historical data provided by Empirasign

More about IDC Vantage here:

New Product Alert News Feed

March 27, 2012

Keep up with all the latest color and price talk via our News Feed. Currently in Beta, but accessible to all authorized users, the News Feed displays all updates to the database (new BWICs, new color, or new price talk) in one convenient location. Launch the News Feed by clicking on the feed icon as shown below.

launch news feed by click this button

Example screenshot of the News Feed below. It updates throughout the day and takes up very little screen real space.

Empirasign News Feed in action (detail)

Maiden Lane II Secret Auction Contents

March 6, 2012

Empirasign has filed a successful Freedom of Information Act request and obtained the contents of the secret auction of Maiden Lane II securities that took place on January 19th, 2012. Link to successful FOIA request, here. Participants in this auction, in a highly unusual move, were required to sign an NDA to keep the list contents and execution prices confidential for one year. Screenshot and link to auction contents below:

Maiden Lane II transaction report detail

Auction contents: download Excel spreadsheet with all Maiden Lane II sales
Freedom of Information Act Response: Freedom of Information Act request granting access to all Maiden Lane II sales


Feb. 27, 2012

Seamlessly keep up with trading activity of the bonds comprising the ABX, PRIMEX, and CMBX Indexes. Just choose your index under the navbar heading "Indexes." Any sub-index can be chosen on the page (see screenshot below). If you would like this feature added to other indexes you track and trade, contact us at

detail of ABX07-1 PENAAA sub-index

ABX Page:
CMBX Page:

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