METRIC | DEAL VINTAGE | |||
PRE-2009 | 2009-2013 | 2014-2016 | POST-2016 | |
FNMA | ||||
AVERAGE PRICE | 104.6 | 100.3 | 99.3 | 100.4 |
Weighted Avg. Price | 110.8 | 101.6 | 100.3 | 101.1 |
Avg. Price Bottom 5 Trades | 95.2 | 93.6 | 95.3 | 97.0 |
2nd Quartile Price | 100.0 | 98.6 | 98.5 | 99.5 |
3rd Quartile Price | 106.4 | 100.0 | 100.0 | 100.0 |
4th Quartile Price | 108.1 | 101.8 | 101.5 | 101.9 |
Avg. Price Top 5 Trades | 114.4 | 112.0 | 102.5 | 104.1 |
Standard Deviation | 5.9 | 4.1 | 2.4 | 2.1 |
VOLUME OF TRADES (000'S) | 2,623.4 | 46,553.7 | 26,899.5 | 59,684.7 |
Customer Buy | 2,155.6 | 32,290.8 | 3,837.6 | 22,003.3 |
Customer Sell | 241.0 | 10,369.3 | 20,981.9 | * |
Dealer to Dealer | 226.8 | 3,893.5 | 2,080.0 | 35,804.5 |
<= $1MM | 623.4 | 8,633.7 | 4,593.1 | 5,824.1 |
<= $10MM | * | 37,920.0 | * | 26,087.9 |
<= $100MM | 0.0 | 0.0 | * | * |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 64 | 106 | 37 | 50 |
Customer Buy | 10 | 38 | 14 | 29 |
Customer Sell | 28 | 29 | 9 | * |
Dealer to Dealer | 26 | 39 | 14 | 18 |
<= $1MM | 63 | 93 | 32 | 40 |
<= $10MM | * | 13 | * | 9 |
<= $100MM | 0 | 0 | * | * |
> $100MM | 0 | 0 | 0 | 0 |
FHLMC | ||||
AVERAGE PRICE | 103.8 | 101.0 | 101.4 | 101.3 |
Weighted Avg. Price | 109.7 | 100.6 | 100.4 | 100.7 |
Avg. Price Bottom 5 Trades | 93.4 | 95.9 | 95.8 | 97.4 |
2nd Quartile Price | 100.0 | 99.3 | 99.9 | 100.0 |
3rd Quartile Price | 106.9 | 100.3 | 101.5 | 101.5 |
4th Quartile Price | 108.1 | 102.5 | 102.1 | 102.6 |
Avg. Price Top 5 Trades | 112.7 | 109.7 | 108.5 | 103.6 |
Standard Deviation | 6.0 | 3.2 | 4.6 | 2.0 |
VOLUME OF TRADES (000'S) | 9,619.7 | 21,623.3 | 71,272.2 | 121,963.3 |
Customer Buy | 966.6 | 5,300.4 | 21,500.0 | 28,587.8 |
Customer Sell | 3,446.6 | 11,976.3 | 14,788.1 | 71,198.4 |
Dealer to Dealer | 5,206.5 | 4,346.6 | 34,984.1 | 22,177.2 |
<= $1MM | 2,156.5 | 9,904.0 | 8,681.3 | 11,944.8 |
<= $10MM | * | 11,719.3 | 20,195.8 | 37,085.6 |
<= $100MM | 0.0 | 0.0 | * | * |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 104 | 103 | 33 | 47 |
Customer Buy | 12 | 37 | 8 | 23 |
Customer Sell | 47 | 29 | 16 | 8 |
Dealer to Dealer | 45 | 37 | 9 | 16 |
<= $1MM | 101 | 96 | 22 | 31 |
<= $10MM | * | 7 | 8 | 14 |
<= $100MM | 0 | 0 | * | * |
> $100MM | 0 | 0 | 0 | 0 |
GNMA | ||||
AVERAGE PRICE | 104.6 | 101.4 | 100.2 | 100.0 |
Weighted Avg. Price | 107.8 | 102.0 | 102.3 | 101.1 |
Avg. Price Bottom 5 Trades | 94.9 | 90.3 | 97.4 | 96.6 |
2nd Quartile Price | 99.6 | 99.6 | 98.5 | 99.3 |
3rd Quartile Price | 106.5 | 100.3 | 99.5 | 100.0 |
4th Quartile Price | 109.1 | 104.5 | 100.6 | 101.1 |
Avg. Price Top 5 Trades | 112.8 | 112.8 | 104.0 | 104.4 |
Standard Deviation | 5.8 | 5.5 | 3.5 | 2.0 |
VOLUME OF TRADES (000'S) | 1,011.5 | 43,011.8 | 5,273.7 | 72,150.0 |
Customer Buy | 258.5 | 21,119.6 | 4,080.1 | 48,194.7 |
Customer Sell | 218.9 | 16,386.5 | 1,143.3 | 14,403.3 |
Dealer to Dealer | 534.1 | 5,505.7 | 50.2 | 9,552.0 |
<= $1MM | 1,011.5 | 4,897.3 | 1,215.1 | 6,535.4 |
<= $10MM | 0.0 | 38,114.5 | * | 50,242.9 |
<= $100MM | 0.0 | 0.0 | 0.0 | * |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 66 | 109 | 24 | 64 |
Customer Buy | 12 | 30 | 7 | 36 |
Customer Sell | 20 | 38 | 8 | 12 |
Dealer to Dealer | 34 | 41 | 9 | 16 |
<= $1MM | 66 | 100 | 22 | 51 |
<= $10MM | 0 | 9 | * | 12 |
<= $100MM | 0 | 0 | 0 | * |
> $100MM | 0 | 0 | 0 | 0 |
METRIC | DEAL VINTAGE | |||
PRE-2009 | 2009-2013 | 2014-2016 | POST-2016 | |
FNMA | ||||
AVERAGE PRICE | * | 15.7 | 8.3 | * |
Weighted Avg. Price | * | 16.0 | 18.7 | * |
Avg. Price Bottom 5 Trades | * | 14.5 | 6.7 | * |
2nd Quartile Price | * | 14.8 | 4.1 | * |
3rd Quartile Price | * | 18.0 | 8.6 | * |
4th Quartile Price | * | 23.0 | 8.8 | * |
Avg. Price Top 5 Trades | * | 17.2 | 9.7 | * |
Standard Deviation | * | 5.0 | 5.1 | * |
VOLUME OF TRADES (000'S) | * | 80,311.2 | 14,542.4 | * |
Customer Buy | * | * | * | * |
Customer Sell | 0.0 | * | * | * |
Dealer to Dealer | 0.0 | 0.0 | * | 0.0 |
<= $1MM | 0.0 | 0.0 | 1,038.1 | 0.0 |
<= $10MM | * | * | 0.0 | 0.0 |
<= $100MM | 0.0 | * | * | * |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | * | 7 | 8 | * |
Customer Buy | * | * | * | * |
Customer Sell | 0 | * | * | * |
Dealer to Dealer | 0 | 0 | * | 0 |
<= $1MM | 0 | 0 | 7 | 0 |
<= $10MM | * | * | 0 | 0 |
<= $100MM | 0 | * | * | * |
> $100MM | 0 | 0 | 0 | 0 |
FHLMC | ||||
AVERAGE PRICE | 82.3 | * | 47.2 | 7.5 |
Weighted Avg. Price | 22.7 | * | 8.7 | 11.2 |
Avg. Price Bottom 5 Trades | 82.3 | * | 35.1 | 7.5 |
2nd Quartile Price | * | * | 15.7 | * |
3rd Quartile Price | * | * | 83.5 | * |
4th Quartile Price | * | * | 83.6 | * |
Avg. Price Top 5 Trades | 82.3 | * | 53.2 | 7.5 |
Standard Deviation | 26.8 | * | 39.0 | 6.6 |
VOLUME OF TRADES (000'S) | 3,276.3 | * | 101,103.6 | 54,793.4 |
Customer Buy | * | * | 60,625.9 | * |
Customer Sell | * | 0.0 | * | * |
Dealer to Dealer | * | 0.0 | 0.0 | 0.0 |
<= $1MM | 36.2 | 0.0 | * | * |
<= $10MM | * | * | * | * |
<= $100MM | 0.0 | 0.0 | * | * |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 7 | * | 8 | 5 |
Customer Buy | * | * | 5 | * |
Customer Sell | * | 0 | * | * |
Dealer to Dealer | * | 0 | 0 | 0 |
<= $1MM | 6 | 0 | * | * |
<= $10MM | * | * | * | * |
<= $100MM | 0 | 0 | * | * |
> $100MM | 0 | 0 | 0 | 0 |
GNMA | ||||
AVERAGE PRICE | * | 38.2 | 0.0 | 29.8 |
Weighted Avg. Price | * | 59.4 | 0.0 | 16.9 |
Avg. Price Bottom 5 Trades | * | 38.2 | 0.0 | 15.9 |
2nd Quartile Price | * | * | 0.0 | 16.2 |
3rd Quartile Price | * | * | 0.0 | 17.7 |
4th Quartile Price | * | * | 0.0 | 72.0 |
Avg. Price Top 5 Trades | * | 38.2 | 0.0 | 46.0 |
Standard Deviation | * | 42.8 | 0.0 | 24.2 |
VOLUME OF TRADES (000'S) | * | 25,501.7 | 0.0 | 436,381.0 |
Customer Buy | 0.0 | 24,986.5 | 0.0 | 220,370.3 |
Customer Sell | * | * | 0.0 | * |
Dealer to Dealer | 0.0 | 0.0 | 0.0 | * |
<= $1MM | * | * | 0.0 | * |
<= $10MM | 0.0 | * | 0.0 | 0.0 |
<= $100MM | 0.0 | 0.0 | 0.0 | 325,827.9 |
> $100MM | 0.0 | 0.0 | 0.0 | * |
NUMBER OF TRADES | * | 8 | 0 | 13 |
Customer Buy | 0 | 7 | 0 | 7 |
Customer Sell | * | * | 0 | * |
Dealer to Dealer | 0 | 0 | 0 | * |
<= $1MM | * | * | 0 | * |
<= $10MM | 0 | * | 0 | 0 |
<= $100MM | 0 | 0 | 0 | 9 |
> $100MM | 0 | 0 | 0 | * |