METRIC | DEAL VINTAGE | |||
PRE-2009 | 2009-2013 | 2014-2016 | POST-2016 | |
FNMA | ||||
AVERAGE PRICE | 94.9 | 91.8 | 87.6 | 89.0 |
Weighted Avg. Price | 94.4 | 95.4 | 94.0 | 94.7 |
Avg. Price Bottom 5 Trades | 73.0 | 74.8 | 78.0 | 63.4 |
2nd Quartile Price | 95.0 | 86.0 | 90.9 | 86.2 |
3rd Quartile Price | 97.9 | 96.4 | 93.0 | 95.6 |
4th Quartile Price | 99.6 | 99.2 | 93.9 | 99.6 |
Avg. Price Top 5 Trades | 101.8 | 100.4 | 94.6 | 100.0 |
Standard Deviation | 9.8 | 9.2 | 12.3 | 13.7 |
VOLUME OF TRADES (000'S) | 934.2 | 28,979.6 | 4,516.7 | 53,796.1 |
Customer Buy | 212.8 | 3,331.5 | 1,918.4 | 30,934.5 |
Customer Sell | 642.1 | 23,371.4 | * | 4,835.3 |
Dealer to Dealer | 79.3 | 2,276.7 | 2,318.7 | 18,026.3 |
<= $1MM | 934.2 | 6,651.1 | 2,305.9 | 7,432.8 |
<= $10MM | 0.0 | 22,328.5 | * | 46,363.3 |
<= $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 41 | 41 | 18 | 38 |
Customer Buy | 8 | 9 | 5 | 17 |
Customer Sell | 22 | 19 | * | 8 |
Dealer to Dealer | 11 | 13 | 9 | 13 |
<= $1MM | 41 | 34 | 16 | 20 |
<= $10MM | 0 | 7 | * | 18 |
<= $100MM | 0 | 0 | 0 | 0 |
> $100MM | 0 | 0 | 0 | 0 |
FHLMC | ||||
AVERAGE PRICE | 96.4 | 96.6 | 77.9 | 85.8 |
Weighted Avg. Price | 98.5 | 96.9 | 85.8 | 91.2 |
Avg. Price Bottom 5 Trades | 82.9 | 87.1 | 66.8 | 64.0 |
2nd Quartile Price | 95.4 | 95.5 | 79.3 | 85.1 |
3rd Quartile Price | 97.3 | 98.1 | 94.5 | 87.9 |
4th Quartile Price | 99.9 | 99.4 | 97.4 | 94.8 |
Avg. Price Top 5 Trades | 101.4 | 99.6 | 92.7 | 99.3 |
Standard Deviation | 7.8 | 3.9 | 31.5 | 12.1 |
VOLUME OF TRADES (000'S) | 703.0 | 28,337.3 | 5,204.2 | 146,257.4 |
Customer Buy | 70.5 | 1,065.4 | * | 71,289.5 |
Customer Sell | 354.6 | 22,320.0 | * | 11,747.3 |
Dealer to Dealer | 277.9 | 4,951.9 | * | 63,220.6 |
<= $1MM | 703.0 | 10,689.2 | 3,938.9 | 4,594.4 |
<= $10MM | 0.0 | 17,648.1 | * | 41,683.1 |
<= $100MM | 0.0 | 0.0 | 0.0 | * |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 44 | 51 | 8 | 37 |
Customer Buy | 8 | 8 | * | 13 |
Customer Sell | 25 | 30 | * | 13 |
Dealer to Dealer | 11 | 13 | * | 11 |
<= $1MM | 44 | 41 | 7 | 19 |
<= $10MM | 0 | 10 | * | 16 |
<= $100MM | 0 | 0 | 0 | * |
> $100MM | 0 | 0 | 0 | 0 |
GNMA | ||||
AVERAGE PRICE | 98.1 | 93.9 | 86.5 | 69.9 |
Weighted Avg. Price | 99.2 | 90.5 | 96.7 | 87.2 |
Avg. Price Bottom 5 Trades | 87.1 | 82.1 | 82.7 | 53.0 |
2nd Quartile Price | 97.5 | 91.5 | 71.7 | 60.7 |
3rd Quartile Price | 99.7 | 95.6 | 97.1 | 65.3 |
4th Quartile Price | 100.8 | 98.4 | 97.7 | 89.5 |
Avg. Price Top 5 Trades | 103.9 | 100.9 | 92.0 | 93.2 |
Standard Deviation | 6.6 | 6.8 | 13.4 | 18.1 |
VOLUME OF TRADES (000'S) | 587.7 | 658.2 | 7,388.4 | 20,467.9 |
Customer Buy | 107.4 | 244.7 | * | 18,627.1 |
Customer Sell | 285.1 | * | 0.0 | * |
Dealer to Dealer | 195.2 | 307.0 | * | 1,491.1 |
<= $1MM | 587.7 | 658.2 | * | 2,349.8 |
<= $10MM | 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 | 43 | 32 | 8 | 18 |
Customer Buy | 10 | 14 | * | 7 |
Customer Sell | 17 | * | 0 | * |
Dealer to Dealer | 16 | 15 | * | 7 |
<= $1MM | 43 | 32 | * | 15 |
<= $10MM | 0 | 0 | * | * |
<= $100MM | 0 | 0 | 0 | 0 |
> $100MM | 0 | 0 | 0 | 0 |
METRIC | DEAL VINTAGE | |||
PRE-2009 | 2009-2013 | 2014-2016 | POST-2016 | |
FNMA | ||||
AVERAGE PRICE | 14.3 | 13.8 | * | 14.1 |
Weighted Avg. Price | 4.7 | 4.8 | * | 14.7 |
Avg. Price Bottom 5 Trades | 10.7 | 3.7 | * | 8.6 |
2nd Quartile Price | 15.6 | 5.3 | * | 10.8 |
3rd Quartile Price | 17.8 | 7.3 | * | 16.6 |
4th Quartile Price | 18.3 | 11.1 | * | 18.8 |
Avg. Price Top 5 Trades | 17.9 | 23.9 | * | 18.2 |
Standard Deviation | 5.7 | 25.7 | * | 4.8 |
VOLUME OF TRADES (000'S) | 9,475.2 | 3,815.8 | * | 229,272.6 |
Customer Buy | * | * | * | 87,965.9 |
Customer Sell | * | * | * | 141,306.6 |
Dealer to Dealer | * | * | 0.0 | 0.0 |
<= $1MM | 2,604.3 | 2,694.4 | 0.0 | 0.0 |
<= $10MM | * | * | * | * |
<= $100MM | 0.0 | 0.0 | 0.0 | 222,474.2 |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | 10 | 10 | * | 14 |
Customer Buy | * | * | * | 6 |
Customer Sell | * | * | * | 8 |
Dealer to Dealer | * | * | 0 | 0 |
<= $1MM | 9 | 9 | 0 | 0 |
<= $10MM | * | * | * | * |
<= $100MM | 0 | 0 | 0 | 11 |
> $100MM | 0 | 0 | 0 | 0 |
FHLMC | ||||
AVERAGE PRICE | * | 4.1 | * | 16.6 |
Weighted Avg. Price | * | 3.8 | * | 18.0 |
Avg. Price Bottom 5 Trades | * | 4.1 | * | 16.6 |
2nd Quartile Price | * | * | * | * |
3rd Quartile Price | * | * | * | * |
4th Quartile Price | * | * | * | * |
Avg. Price Top 5 Trades | * | 4.1 | * | 16.6 |
Standard Deviation | * | 1.6 | * | 4.4 |
VOLUME OF TRADES (000'S) | * | 1,777.7 | * | 48,963.8 |
Customer Buy | * | * | 0.0 | * |
Customer Sell | * | * | 0.0 | * |
Dealer to Dealer | 0.0 | * | * | 0.0 |
<= $1MM | * | 1,777.7 | * | * |
<= $10MM | 0.0 | 0.0 | 0.0 | * |
<= $100MM | 0.0 | 0.0 | 0.0 | * |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | * | 6 | * | 5 |
Customer Buy | * | * | 0 | * |
Customer Sell | * | * | 0 | * |
Dealer to Dealer | 0 | * | * | 0 |
<= $1MM | * | 6 | * | * |
<= $10MM | 0 | 0 | 0 | * |
<= $100MM | 0 | 0 | 0 | * |
> $100MM | 0 | 0 | 0 | 0 |
GNMA | ||||
AVERAGE PRICE | * | * | * | 13.1 |
Weighted Avg. Price | * | * | * | 12.7 |
Avg. Price Bottom 5 Trades | * | * | * | 10.0 |
2nd Quartile Price | * | * | * | 11.6 |
3rd Quartile Price | * | * | * | 13.6 |
4th Quartile Price | * | * | * | 14.3 |
Avg. Price Top 5 Trades | * | * | * | 15.6 |
Standard Deviation | * | * | * | 2.9 |
VOLUME OF TRADES (000'S) | * | * | * | 178,596.7 |
Customer Buy | 0.0 | * | * | 118,266.3 |
Customer Sell | * | * | 0.0 | 55,704.9 |
Dealer to Dealer | 0.0 | 0.0 | 0.0 | * |
<= $1MM | * | 0.0 | * | * |
<= $10MM | 0.0 | * | 0.0 | 24,532.9 |
<= $100MM | 0.0 | 0.0 | 0.0 | 153,131.0 |
> $100MM | 0.0 | 0.0 | 0.0 | 0.0 |
NUMBER OF TRADES | * | * | * | 16 |
Customer Buy | 0 | * | * | 6 |
Customer Sell | * | * | 0 | 7 |
Dealer to Dealer | 0 | 0 | 0 | * |
<= $1MM | * | 0 | * | * |
<= $10MM | 0 | * | 0 | 7 |
<= $100MM | 0 | 0 | 0 | 7 |
> $100MM | 0 | 0 | 0 | 0 |