METRIC | DEAL VINTAGE | ||
PRE-2005 | 2005-2007 | POST-2007 | |
FNMA | |||
AVERAGE PRICE | 103.6 | 102.3 | 103.9 |
Weighted Avg. Price | 105.8 | 104.8 | 104.2 |
Avg. Price Bottom 5 Trades | 90.2 | 98.6 | 96.2 |
2nd Quartile Price | 100.0 | 99.9 | 101.4 |
3rd Quartile Price | 103.1 | 102.0 | 103.4 |
4th Quartile Price | 107.5 | 105.8 | 106.5 |
Avg. Price Top 5 Trades | 115.2 | 106.7 | 113.9 |
Standard Deviation | 5.7 | 3.3 | 3.8 |
VOLUME OF TRADES (000'S) | 12,967.9 | 44,489.1 | 470,086.1 |
Customer Buy | 2,358.4 | 24,013.2 | 220,848.0 |
Customer Sell | 3,577.1 | 4,885.0 | 14,997.1 |
Dealer to Dealer | 7,032.4 | 15,590.9 | 234,241.0 |
<= $1MM | 7,362.1 | 809.9 | 13,857.8 |
<= $10MM | * | * | 221,342.0 |
<= $100MM | 0.0 | * | 234,886.3 |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 156 | 25 | 147 |
Customer Buy | 46 | 9 | 84 |
Customer Sell | 59 | 8 | 18 |
Dealer to Dealer | 51 | 8 | 45 |
<= $1MM | 152 | 19 | 69 |
<= $10MM | * | * | 62 |
<= $100MM | 0 | * | 16 |
> $100MM | 0 | 0 | 0 |
FHLMC | |||
AVERAGE PRICE | 103.9 | 105.0 | 101.8 |
Weighted Avg. Price | 106.3 | 102.5 | 102.8 |
Avg. Price Bottom 5 Trades | 84.7 | 99.8 | 96.2 |
2nd Quartile Price | 100.0 | 100.7 | 100.0 |
3rd Quartile Price | 105.0 | 103.8 | 101.1 |
4th Quartile Price | 109.0 | 110.5 | 103.3 |
Avg. Price Top 5 Trades | 114.8 | 111.7 | 110.3 |
Standard Deviation | 8.0 | 4.7 | 3.0 |
VOLUME OF TRADES (000'S) | 41,399.3 | 124,716.9 | 685,608.8 |
Customer Buy | 24,006.8 | 36,923.5 | 501,338.6 |
Customer Sell | 7,868.6 | 5,688.8 | 114,965.4 |
Dealer to Dealer | 9,523.9 | 82,104.6 | 69,304.8 |
<= $1MM | 9,354.8 | 3,360.9 | 16,913.7 |
<= $10MM | 32,044.5 | 29,112.0 | 117,488.6 |
<= $100MM | 0.0 | 92,244.0 | 551,206.6 |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 171 | 55 | 189 |
Customer Buy | 45 | 23 | 91 |
Customer Sell | 76 | 14 | 52 |
Dealer to Dealer | 50 | 18 | 46 |
<= $1MM | 158 | 36 | 129 |
<= $10MM | 13 | 12 | 41 |
<= $100MM | 0 | 7 | 19 |
> $100MM | 0 | 0 | 0 |
GNMA | |||
AVERAGE PRICE | 106.6 | 108.1 | 102.1 |
Weighted Avg. Price | 106.0 | 100.6 | 103.9 |
Avg. Price Bottom 5 Trades | 97.9 | 99.8 | 98.1 |
2nd Quartile Price | 102.0 | 105.4 | 100.0 |
3rd Quartile Price | 108.0 | 109.2 | 101.0 |
4th Quartile Price | 111.3 | 111.0 | 103.4 |
Avg. Price Top 5 Trades | 116.0 | 114.5 | 113.4 |
Standard Deviation | 5.6 | 4.3 | 3.3 |
VOLUME OF TRADES (000'S) | 2,512.7 | 18,331.9 | 713,965.9 |
Customer Buy | 525.4 | 5,592.0 | 361,428.8 |
Customer Sell | 377.8 | 7,032.7 | 201,795.8 |
Dealer to Dealer | 1,609.5 | 5,707.3 | 150,741.3 |
<= $1MM | 1,444.9 | 2,041.8 | 21,594.7 |
<= $10MM | * | * | 148,578.8 |
<= $100MM | 0.0 | 0.0 | 543,792.4 |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 92 | 92 | 464 |
Customer Buy | 30 | 28 | 255 |
Customer Sell | 28 | 32 | 98 |
Dealer to Dealer | 34 | 32 | 111 |
<= $1MM | 91 | 88 | 406 |
<= $10MM | * | * | 39 |
<= $100MM | 0 | 0 | 19 |
> $100MM | 0 | 0 | 0 |
METRIC | DEAL VINTAGE | ||
PRE-2005 | 2005-2007 | POST-2007 | |
FNMA | |||
AVERAGE PRICE | 35.9 | * | 10.9 |
Weighted Avg. Price | 14.0 | * | 12.2 |
Avg. Price Bottom 5 Trades | 35.9 | * | 5.1 |
2nd Quartile Price | * | * | 8.3 |
3rd Quartile Price | * | * | 11.3 |
4th Quartile Price | * | * | 13.3 |
Avg. Price Top 5 Trades | 35.9 | * | 16.2 |
Standard Deviation | 33.4 | * | 3.4 |
VOLUME OF TRADES (000'S) | 78,152.0 | * | 568,384.5 |
Customer Buy | * | * | 260,948.4 |
Customer Sell | * | * | 231,865.9 |
Dealer to Dealer | * | 0.0 | 75,570.2 |
<= $1MM | * | * | 8,587.9 |
<= $10MM | * | 0.0 | 56,305.6 |
<= $100MM | * | * | 503,491.0 |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 6 | * | 53 |
Customer Buy | * | * | 20 |
Customer Sell | * | * | 13 |
Dealer to Dealer | * | 0 | 20 |
<= $1MM | * | * | 27 |
<= $10MM | * | 0 | 10 |
<= $100MM | * | * | 16 |
> $100MM | 0 | 0 | 0 |
FHLMC | |||
AVERAGE PRICE | * | * | 13.6 |
Weighted Avg. Price | * | * | 15.4 |
Avg. Price Bottom 5 Trades | * | * | 5.4 |
2nd Quartile Price | * | * | 8.1 |
3rd Quartile Price | * | * | 11.4 |
4th Quartile Price | * | * | 13.7 |
Avg. Price Top 5 Trades | * | * | 33.9 |
Standard Deviation | * | * | 14.8 |
VOLUME OF TRADES (000'S) | * | * | 308,910.4 |
Customer Buy | * | * | 147,852.2 |
Customer Sell | 0.0 | * | 115,888.3 |
Dealer to Dealer | * | 0.0 | 45,169.9 |
<= $1MM | * | * | 5,630.0 |
<= $10MM | 0.0 | 0.0 | 31,271.6 |
<= $100MM | 0.0 | 0.0 | 272,008.8 |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | * | * | 35 |
Customer Buy | * | * | 8 |
Customer Sell | 0 | * | 11 |
Dealer to Dealer | * | 0 | 16 |
<= $1MM | * | * | 19 |
<= $10MM | 0 | 0 | 7 |
<= $100MM | 0 | 0 | 9 |
> $100MM | 0 | 0 | 0 |
GNMA | |||
AVERAGE PRICE | * | 0.0 | 12.4 |
Weighted Avg. Price | * | 0.0 | 13.1 |
Avg. Price Bottom 5 Trades | * | 0.0 | 6.5 |
2nd Quartile Price | * | 0.0 | 11.0 |
3rd Quartile Price | * | 0.0 | 13.9 |
4th Quartile Price | * | 0.0 | 16.6 |
Avg. Price Top 5 Trades | * | 0.0 | 16.5 |
Standard Deviation | * | 0.0 | 4.7 |
VOLUME OF TRADES (000'S) | * | 0.0 | 553,348.8 |
Customer Buy | * | 0.0 | 201,091.0 |
Customer Sell | * | 0.0 | * |
Dealer to Dealer | 0.0 | 0.0 | 191,827.0 |
<= $1MM | * | 0.0 | * |
<= $10MM | 0.0 | 0.0 | * |
<= $100MM | 0.0 | 0.0 | 547,395.3 |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | * | 0 | 16 |
Customer Buy | * | 0 | 7 |
Customer Sell | * | 0 | * |
Dealer to Dealer | 0 | 0 | 5 |
<= $1MM | * | 0 | * |
<= $10MM | 0 | 0 | * |
<= $100MM | 0 | 0 | 13 |
> $100MM | 0 | 0 | 0 |