METRIC | DEAL VINTAGE | ||
PRE-2005 | 2005-2007 | POST-2007 | |
FNMA | |||
AVERAGE PRICE | 103.5 | 103.7 | 97.3 |
Weighted Avg. Price | 109.3 | 106.4 | 102.1 |
Avg. Price Bottom 5 Trades | 87.7 | 96.7 | 83.4 |
2nd Quartile Price | 100.1 | 100.5 | 94.0 |
3rd Quartile Price | 104.3 | 105.3 | 98.3 |
4th Quartile Price | 108.5 | 108.7 | 100.5 |
Avg. Price Top 5 Trades | 115.0 | 111.9 | 110.1 |
Standard Deviation | 7.9 | 5.4 | 5.9 |
VOLUME OF TRADES (000'S) | 3,617.7 | 4,762.6 | 153,093.3 |
Customer Buy | 1,034.5 | 2,012.8 | 66,145.5 |
Customer Sell | 897.9 | 1,003.5 | 57,581.9 |
Dealer to Dealer | 1,685.4 | * | 29,365.9 |
<= $1MM | 3,617.7 | 2,053.4 | 18,995.6 |
<= $10MM | 0.0 | * | 70,688.9 |
<= $100MM | 0.0 | 0.0 | * |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 62 | 26 | 209 |
Customer Buy | 19 | 11 | 94 |
Customer Sell | 24 | 11 | 58 |
Dealer to Dealer | 19 | * | 57 |
<= $1MM | 62 | 24 | 180 |
<= $10MM | 0 | * | 25 |
<= $100MM | 0 | 0 | * |
> $100MM | 0 | 0 | 0 |
FHLMC | |||
AVERAGE PRICE | 103.8 | 105.6 | 99.9 |
Weighted Avg. Price | 104.4 | 96.0 | 99.7 |
Avg. Price Bottom 5 Trades | 92.5 | 102.2 | 80.9 |
2nd Quartile Price | 100.0 | 105.0 | 97.6 |
3rd Quartile Price | 103.2 | 106.0 | 100.0 |
4th Quartile Price | 108.3 | 110.0 | 103.6 |
Avg. Price Top 5 Trades | 112.5 | 110.6 | 112.7 |
Standard Deviation | 6.0 | 4.5 | 6.6 |
VOLUME OF TRADES (000'S) | 10,381.4 | 5,237.3 | 343,545.1 |
Customer Buy | 433.8 | 5,055.2 | 172,332.5 |
Customer Sell | 9,478.2 | * | 108,392.0 |
Dealer to Dealer | 469.4 | 115.7 | 62,820.6 |
<= $1MM | 1,304.0 | 279.0 | 17,326.7 |
<= $10MM | * | * | 119,905.1 |
<= $100MM | 0.0 | 0.0 | 206,313.3 |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 85 | 17 | 178 |
Customer Buy | 26 | 6 | 77 |
Customer Sell | 30 | * | 45 |
Dealer to Dealer | 29 | 7 | 56 |
<= $1MM | 82 | 16 | 137 |
<= $10MM | * | * | 35 |
<= $100MM | 0 | 0 | 6 |
> $100MM | 0 | 0 | 0 |
GNMA | |||
AVERAGE PRICE | 107.8 | 104.8 | 102.2 |
Weighted Avg. Price | 104.5 | 106.6 | 102.0 |
Avg. Price Bottom 5 Trades | 94.7 | 100.4 | 87.8 |
2nd Quartile Price | 101.0 | 101.5 | 99.5 |
3rd Quartile Price | 107.2 | 106.9 | 102.2 |
4th Quartile Price | 110.0 | 109.3 | 105.5 |
Avg. Price Top 5 Trades | 128.5 | 109.7 | 113.2 |
Standard Deviation | 9.8 | 4.2 | 5.1 |
VOLUME OF TRADES (000'S) | 9,786.5 | 152.6 | 344,702.3 |
Customer Buy | 1,585.3 | 34.2 | 126,905.4 |
Customer Sell | 6,700.0 | 61.4 | 81,453.7 |
Dealer to Dealer | 1,501.3 | 57.0 | 136,343.1 |
<= $1MM | 4,682.0 | 152.6 | 27,952.8 |
<= $10MM | * | 0.0 | 57,247.0 |
<= $100MM | 0.0 | 0.0 | 259,502.4 |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 72 | 19 | 214 |
Customer Buy | 25 | 5 | 102 |
Customer Sell | 29 | 8 | 42 |
Dealer to Dealer | 18 | 6 | 70 |
<= $1MM | 71 | 19 | 184 |
<= $10MM | * | 0 | 23 |
<= $100MM | 0 | 0 | 7 |
> $100MM | 0 | 0 | 0 |
METRIC | DEAL VINTAGE | ||
PRE-2005 | 2005-2007 | POST-2007 | |
FNMA | |||
AVERAGE PRICE | 18.5 | 0.0 | 19.6 |
Weighted Avg. Price | 18.6 | 0.0 | 23.4 |
Avg. Price Bottom 5 Trades | 17.6 | 0.0 | 10.9 |
2nd Quartile Price | 18.2 | 0.0 | 15.2 |
3rd Quartile Price | 22.8 | 0.0 | 17.7 |
4th Quartile Price | 23.1 | 0.0 | 20.6 |
Avg. Price Top 5 Trades | 20.9 | 0.0 | 32.9 |
Standard Deviation | 6.1 | 0.0 | 13.6 |
VOLUME OF TRADES (000'S) | 5,244.0 | 0.0 | 613,219.7 |
Customer Buy | * | 0.0 | 272,612.9 |
Customer Sell | * | 0.0 | 201,896.0 |
Dealer to Dealer | 0.0 | 0.0 | 138,710.9 |
<= $1MM | * | 0.0 | * |
<= $10MM | * | 0.0 | * |
<= $100MM | 0.0 | 0.0 | 386,381.1 |
> $100MM | 0.0 | 0.0 | * |
NUMBER OF TRADES | 6 | 0 | 20 |
Customer Buy | * | 0 | 8 |
Customer Sell | * | 0 | 7 |
Dealer to Dealer | 0 | 0 | 5 |
<= $1MM | * | 0 | * |
<= $10MM | * | 0 | * |
<= $100MM | 0 | 0 | 12 |
> $100MM | 0 | 0 | * |
FHLMC | |||
AVERAGE PRICE | 26.3 | 0.0 | 15.6 |
Weighted Avg. Price | 27.3 | 0.0 | 17.3 |
Avg. Price Bottom 5 Trades | 26.3 | 0.0 | 10.6 |
2nd Quartile Price | * | 0.0 | 13.3 |
3rd Quartile Price | * | 0.0 | 17.5 |
4th Quartile Price | * | 0.0 | 22.8 |
Avg. Price Top 5 Trades | 26.3 | 0.0 | 20.6 |
Standard Deviation | 2.5 | 0.0 | 5.9 |
VOLUME OF TRADES (000'S) | 644.4 | 0.0 | 214,048.3 |
Customer Buy | * | 0.0 | 102,723.1 |
Customer Sell | 0.0 | 0.0 | 111,325.2 |
Dealer to Dealer | * | 0.0 | 0.0 |
<= $1MM | 644.4 | 0.0 | 0.0 |
<= $10MM | 0.0 | 0.0 | * |
<= $100MM | 0.0 | 0.0 | 189,561.9 |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 5 | 0 | 11 |
Customer Buy | * | 0 | 5 |
Customer Sell | 0 | 0 | 6 |
Dealer to Dealer | * | 0 | 0 |
<= $1MM | 5 | 0 | 0 |
<= $10MM | 0 | 0 | * |
<= $100MM | 0 | 0 | 7 |
> $100MM | 0 | 0 | 0 |
GNMA | |||
AVERAGE PRICE | * | 0.0 | 14.3 |
Weighted Avg. Price | * | 0.0 | 17.5 |
Avg. Price Bottom 5 Trades | * | 0.0 | 11.0 |
2nd Quartile Price | * | 0.0 | 14.5 |
3rd Quartile Price | * | 0.0 | 15.4 |
4th Quartile Price | * | 0.0 | 18.1 |
Avg. Price Top 5 Trades | * | 0.0 | 20.3 |
Standard Deviation | * | 0.0 | 6.1 |
VOLUME OF TRADES (000'S) | * | 0.0 | 285,210.1 |
Customer Buy | * | 0.0 | 140,725.9 |
Customer Sell | 0.0 | 0.0 | 124,865.4 |
Dealer to Dealer | 0.0 | 0.0 | 19,618.7 |
<= $1MM | 0.0 | 0.0 | 283.1 |
<= $10MM | * | 0.0 | 36,061.6 |
<= $100MM | 0.0 | 0.0 | 248,865.3 |
> $100MM | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | * | 0 | 18 |
Customer Buy | * | 0 | 6 |
Customer Sell | 0 | 0 | 6 |
Dealer to Dealer | 0 | 0 | 6 |
<= $1MM | 0 | 0 | 6 |
<= $10MM | * | 0 | 6 |
<= $100MM | 0 | 0 | 6 |
> $100MM | 0 | 0 | 0 |