Interactive Data recently analyzed October agency TBA market activity based on Financial Industry Regulatory Authority's (FINRA) Trade Reporting and Compliance Engine (TRACE) data.
For November, Interactive Data looked at the less liquid and transparent non-agency CMO space. In the past six months, buysiders have been steadily buying non-agency CMO paper, according to FINRA TRACE data.
The customer purchases from June through November total over $90 billion, while cumulative broker-dealer activity over that period comes to roughly $15 billion.
Interactive Data also reported that customer buying activity exceded customer selling. This factor suggested that these buyers are purchasing in greater volume versus how much they are selling.
Some dealers may be retaining modest levels in agented deals. For instance, a $55 million trade where $50 million is sold to a customer, dealers will keep $5 million of the initial amount, the firm explained.
Most purchases in the last six months involve non-investment grade or below 'BBB-' rating or non-rated securities, the company reported.
These ratios are reflective of the current ratings landscape for non-agency CMOs, which have experienced widespread rating downgrades since the credit downturn of 2009.
A little less than half of all trades are below $10 million in current balance. The deals with less than $1 million in current balance comprise roughly 5% every month.
These figures are a comparatively clear indicator of retail activity. In agency TBAs, by contrast, deals with a less-than $10 million current balance only made up less than 10% of monthly volumes.