METRIC | DEAL VINTAGE | |||
PRE-2009 | 2009-2013 | 2014-2016 | POST-2016 | |
FNMA | ||||
AVERAGE PRICE | 103.4 | 101.7 | 98.6 | 99.1 |
Weighted Avg. Price | 99.9 | 105.6 | 100.5 | 100.9 |
Avg. Price Bottom 5 Trades | 92.5 | 94.3 | 95.7 | 96.5 |
2nd Quartile Price | 99.6 | 99.0 | 98.5 | 97.7 |
3rd Quartile Price | 105.0 | 100.0 | 100.1 | 100.0 |
4th Quartile Price | 109.2 | 104.3 | 101.4 | 101.5 |
Avg. Price Top 5 Trades | 111.3 | 114.1 | 101.5 | 102.8 |
Standard Deviation | 6.1 | 5.4 | 5.0 | 3.3 |
VOLUME OF TRADES (000'S) | 825.6 | 12,927.9 | 24,127.3 | 15,147.3 |
Customer Buy | 348.3 | 12,023.3 | 17,563.9 | 14,812.8 |
Customer Sell | 355.1 | 489.1 | * | * |
Dealer to Dealer | 122.2 | 415.6 | * | * |
<= $1MM | 825.6 | 2,200.2 | 2,566.0 | 1,124.3 |
<= $10MM | 0.0 | * | * | * |
<= $100MM | 0.0 | 0.0 | * | 0.0 |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 55 | 74 | 13 | 18 |
Customer Buy | 9 | 29 | 7 | 12 |
Customer Sell | 21 | 24 | * | * |
Dealer to Dealer | 25 | 21 | * | * |
<= $1MM | 55 | 71 | 10 | 15 |
<= $10MM | 0 | * | * | * |
<= $100MM | 0 | 0 | * | 0 |
> $100MM | 0 | 0 | 0 | 0 |
FHLMC | ||||
AVERAGE PRICE | 103.6 | 98.6 | 96.0 | 101.1 |
Weighted Avg. Price | 101.9 | 102.1 | 100.5 | 101.1 |
Avg. Price Bottom 5 Trades | 91.3 | 86.3 | 86.9 | 99.2 |
2nd Quartile Price | 97.0 | 95.8 | 95.7 | 100.0 |
3rd Quartile Price | 104.5 | 99.5 | 99.9 | 100.6 |
4th Quartile Price | 108.3 | 102.5 | 100.1 | 102.2 |
Avg. Price Top 5 Trades | 125.8 | 113.6 | 101.0 | 104.4 |
Standard Deviation | 9.3 | 9.3 | 8.0 | 2.7 |
VOLUME OF TRADES (000'S) | 5,820.1 | 2,705.8 | 7,942.7 | 54,108.9 |
Customer Buy | 4,681.9 | 2,151.8 | 2,130.0 | 52,436.8 |
Customer Sell | 224.6 | 150.3 | 298.5 | * |
Dealer to Dealer | 913.6 | 403.7 | 5,514.2 | * |
<= $1MM | 2,196.4 | 1,257.8 | 1,385.6 | 4,231.4 |
<= $10MM | * | * | * | * |
<= $100MM | 0.0 | 0.0 | 0.0 | * |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 72 | 43 | 26 | 22 |
Customer Buy | 14 | 20 | 10 | 16 |
Customer Sell | 29 | 8 | 6 | * |
Dealer to Dealer | 29 | 15 | 10 | * |
<= $1MM | 71 | 42 | 23 | 16 |
<= $10MM | * | * | * | * |
<= $100MM | 0 | 0 | 0 | * |
> $100MM | 0 | 0 | 0 | 0 |
GNMA | ||||
AVERAGE PRICE | 105.6 | 100.3 | 95.9 | 98.2 |
Weighted Avg. Price | 109.7 | 101.4 | 93.5 | 100.6 |
Avg. Price Bottom 5 Trades | 94.7 | 94.9 | 89.6 | 89.5 |
2nd Quartile Price | 103.3 | 97.3 | 89.5 | 97.7 |
3rd Quartile Price | 109.2 | 99.6 | 97.9 | 99.8 |
4th Quartile Price | 110.5 | 103.0 | 101.8 | 100.8 |
Avg. Price Top 5 Trades | 113.0 | 108.5 | 102.1 | 104.8 |
Standard Deviation | 7.3 | 4.1 | 5.7 | 5.7 |
VOLUME OF TRADES (000'S) | 361.1 | 5,773.6 | 599.2 | 127,916.7 |
Customer Buy | 33.1 | 5,095.2 | 333.5 | 122,464.3 |
Customer Sell | 149.5 | 181.0 | 222.2 | 1,057.4 |
Dealer to Dealer | 178.5 | 497.4 | * | 4,394.9 |
<= $1MM | 361.1 | 1,847.2 | 599.2 | 234.2 |
<= $10MM | 0.0 | * | 0.0 | 20,094.7 |
<= $100MM | 0.0 | 0.0 | 0.0 | * |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 38 | 43 | 20 | 26 |
Customer Buy | 5 | 13 | 10 | 11 |
Customer Sell | 18 | 10 | 7 | 5 |
Dealer to Dealer | 15 | 20 | * | 10 |
<= $1MM | 38 | 42 | 20 | 14 |
<= $10MM | 0 | * | 0 | 9 |
<= $100MM | 0 | 0 | 0 | * |
> $100MM | 0 | 0 | 0 | 0 |
METRIC | DEAL VINTAGE | |||
PRE-2009 | 2009-2013 | 2014-2016 | POST-2016 | |
FNMA | ||||
AVERAGE PRICE | 12.4 | 17.3 | * | * |
Weighted Avg. Price | 4.9 | 11.8 | * | * |
Avg. Price Bottom 5 Trades | 4.7 | 9.9 | * | * |
2nd Quartile Price | 3.2 | 14.5 | * | * |
3rd Quartile Price | 17.8 | 18.4 | * | * |
4th Quartile Price | 18.6 | 18.8 | * | * |
Avg. Price Top 5 Trades | 18.0 | 21.5 | * | * |
Standard Deviation | 7.8 | 7.1 | * | * |
VOLUME OF TRADES (000'S) | 18,011.3 | 38,199.5 | * | * |
Customer Buy | 8,521.6 | 30,095.7 | * | * |
Customer Sell | * | * | 0.0 | 0.0 |
Dealer to Dealer | * | * | 0.0 | 0.0 |
<= $1MM | 2,716.8 | 1,950.3 | * | 0.0 |
<= $10MM | 15,294.4 | * | * | * |
<= $100MM | 0.0 | * | 0.0 | 0.0 |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 16 | 16 | * | * |
Customer Buy | 11 | 13 | * | * |
Customer Sell | * | * | 0 | 0 |
Dealer to Dealer | * | * | 0 | 0 |
<= $1MM | 10 | 12 | * | 0 |
<= $10MM | 6 | * | * | * |
<= $100MM | 0 | * | 0 | 0 |
> $100MM | 0 | 0 | 0 | 0 |
FHLMC | ||||
AVERAGE PRICE | * | 8.0 | 0.0 | * |
Weighted Avg. Price | * | 11.0 | 0.0 | * |
Avg. Price Bottom 5 Trades | * | 7.5 | 0.0 | * |
2nd Quartile Price | * | 8.9 | 0.0 | * |
3rd Quartile Price | * | 8.9 | 0.0 | * |
4th Quartile Price | * | 11.0 | 0.0 | * |
Avg. Price Top 5 Trades | * | 8.9 | 0.0 | * |
Standard Deviation | * | 3.9 | 0.0 | * |
VOLUME OF TRADES (000'S) | * | 15,807.3 | 0.0 | * |
Customer Buy | * | 11,576.1 | 0.0 | * |
Customer Sell | 0.0 | * | 0.0 | * |
Dealer to Dealer | 0.0 | * | 0.0 | 0.0 |
<= $1MM | * | 1,933.1 | 0.0 | * |
<= $10MM | 0.0 | * | 0.0 | 0.0 |
<= $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | * | 9 | 0 | * |
Customer Buy | * | 6 | 0 | * |
Customer Sell | 0 | * | 0 | * |
Dealer to Dealer | 0 | * | 0 | 0 |
<= $1MM | * | 6 | 0 | * |
<= $10MM | 0 | * | 0 | 0 |
<= $100MM | 0 | 0 | 0 | 0 |
> $100MM | 0 | 0 | 0 | 0 |
GNMA | ||||
AVERAGE PRICE | * | 12.1 | 9.2 | 7.4 |
Weighted Avg. Price | * | 14.6 | 0.9 | 7.4 |
Avg. Price Bottom 5 Trades | * | 12.1 | 2.7 | 7.4 |
2nd Quartile Price | * | * | 0.3 | * |
3rd Quartile Price | * | * | 15.2 | * |
4th Quartile Price | * | * | 16.8 | * |
Avg. Price Top 5 Trades | * | 12.1 | 14.7 | 7.4 |
Standard Deviation | * | 3.1 | 7.7 | 0.0 |
VOLUME OF TRADES (000'S) | * | 1,681.6 | 61,965.3 | 1,256.3 |
Customer Buy | * | * | 32,127.4 | 1,256.3 |
Customer Sell | 0.0 | * | 29,837.9 | 0.0 |
Dealer to Dealer | 0.0 | 0.0 | 0.0 | 0.0 |
<= $1MM | * | 1,681.6 | 2,875.6 | 1,256.3 |
<= $10MM | 0.0 | 0.0 | 29,544.9 | 0.0 |
<= $100MM | 0.0 | 0.0 | * | 0.0 |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | * | 6 | 21 | 7 |
Customer Buy | * | * | 13 | 7 |
Customer Sell | 0 | * | 8 | 0 |
Dealer to Dealer | 0 | 0 | 0 | 0 |
<= $1MM | * | 6 | 13 | 7 |
<= $10MM | 0 | 0 | 7 | 0 |
<= $100MM | 0 | 0 | * | 0 |
> $100MM | 0 | 0 | 0 | 0 |