One Trade Doesn’t Tell the Story
A pool traded at 24 ticks a month ago. Today, comparable collateral is trading at 30. Both prints are useful.
Neither tells the full story on its own.
In fixed income, the value of a transaction is often determined by what surrounds it: the preceding trades, the offers that came before it, the BWICs that cleared and the way the market has repriced similar securities over time. A print is an observation. The history is the context.
The Market Moves Between Prints
A transaction database can tell you what traded. A market-data workflow should help you understand what changed. That distinction matters in specified pools and other less continuously traded securities, where individual prints can be separated by meaningful periods of time. If a comparable pool traded at one level weeks ago and another pool trades at a meaningfully different level today, the difference isn’t necessarily noise. It may reflect a change in the broader market. Or a change in the value of a particular type of security. Or both.
Understanding that requires more than the latest transaction.
Follow the Activity
SOLVE TRACE Activity Feed brings reported trading activity together in a historical view, making it easier to see what traded before a given transaction and how activity has changed over time.
That can include transaction details and the RDID-level information reported with applicable trades, helping provide context around the activity without implying that every underlying collateral attribute is available directly from the reported print.
That distinction matters.
For specified-pool transactions, the RDID does not necessarily identify the individual security. Derived TRACE can help move from that reported RDID to the security most likely associated with the transaction. Once the security has been identified, the analysis can continue.
- The security identifier can be searched in the Offerings tab to access available reference data, including information sourced from ICE eMBS for specified pools and Intex for CMOs and other non-agency structured products.
- A desk may also take the identified security into Bloomberg or another market-data platform. The workflow is therefore not about assuming that the transaction itself contains the complete picture. It is about being able to move from reported activity to a more useful starting point for analysis.
History Is Where the Signal Emerges
Consider a pool that traded at 24 ticks a month ago and 30 ticks today. Looking only at today’s trade tells you the current observation. Looking at the sequence tells you something different: the market has repriced that security—or comparable securities—over time. That transition can be more informative than either individual print. It gives a desk a way to distinguish a single transaction from a broader movement in valuation.This is particularly relevant when evaluating a security that does not have a perfectly clean recent comparable.
The question becomes less:
What is the last price?
And more:
How has the market been trading comparable securities over time?
From Activity to Evidence
TRACE Activity Feed is built around that distinction. It provides a view of reported activity across the structured products space, including Agency MBS, specified pools, non-agency MBS, CMOs, ABS and CMBS.
The value isn’t that every piece of information needed to analyze a security is contained in the activity feed. The value is being able to see the history of reported activity and use that history as a starting point for further analysis.
When a transaction needs to be understood at the individual-security level, Derived TRACE can help identify the security most likely associated with the reported activity. From there, reference data and other market-data sources can provide the additional detail needed to evaluate it.
Because markets don’t move one transaction at a time.They move through sequences of transactions, changing relative values and changing perceptions of the market.
One trade tells you what happened. The history helps put it in context.
Book a demo and see how see how TRACE Activity Feed gives your desk a historical view of reported trading activity, helping you put individual transactions into context. >>>
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About SOLVE
SOLVE is the leading market data platform provider for fixed-income securities, trusted by sophisticated buy-side and sell-side firms worldwide. Founded in 2011, SOLVE leverages its AI-driven technology and deep industry expertise to offer unparalleled transparency into markets, reduce risk, and save hundreds of hours across front-office workflows. With the largest real-time datasets for Securitized Products, Municipal Bonds, Corporate Bonds, Syndicated Bank Loans, Convertible Bonds, CDS, and Private Credit, SOLVE empowers clients to transform the way they bring new securities to market, trade on secondary markets, and value highly illiquid securities. Headquartered in Connecticut, with offices across the globe, SOLVE is the definitive source for market pricing in fixed-income markets.
