BOSTON, MA – January 20, 2022 – Annual U.S. Agency MBS trade volumes for 2022, as reported by SIFMA, show TBA Average Daily Volume (ADV) down 15% to $240B per day. Given the 50% drop in new MBS issuance, this is hardly unexpected and was actually sub $190B per day in the month of December 2022.
Specified pool trading reporting was very interesting. ADV dropped by 37% to $15B per day, which roughly falls in-line with low inventories. However, in a surprise, the number of daily transactions increased by a whopping 41% to a little over 5,000 trades per day.
Download a copy of SIFMA's reported industry-wide volumes, below.