Federal Reserve Economic Data

Data is provided "as is," by Freddie Mac® with no warranties of any kind, express or implied, including, but not limited to, warranties of accuracy or implied warranties of merchantability or fitness for a particular purpose. Use of the data is at the user's sole risk. In no event will Freddie Mac be liable for any damages arising out of or related to the data, including, but not limited to direct, indirect, incidental, special, consequential, or punitive damages, whether under a contract, tort, or any other theory of liability, even if Freddie Mac is aware of the possibility of such damages. Copyright, 2016, Freddie Mac. Reprinted with permission.

On November 17, 2022, Freddie Mac changed the methodology of the Primary Mortgage Market Survey® (PMMS®). The weekly mortgage rate is now based on applications submitted to Freddie Mac from lenders across the country. For more information regarding Freddie Mac’s enhancement, see their research note (https://www.freddiemac.com/research/insight/20221103-freddie-macs-newly-enhanced-mortgage-rate-survey). Data are provided “as is” by Freddie Mac®, with no warranties of any kind, express or implied, including but not limited to warranties of accuracy or implied warranties of merchantability or fitness for a particular purpose. Use of the data is at the user’s sole risk. In no event will Freddie Mac be liable for any damages arising out of or related to the data, including but not limited to direct, indirect, incidental, special, consequential, or punitive damages, whether under a contract, tort, or any other theory of liability, even if Freddie Mac is aware of the possibility of such damages. Copyright, 2016, Freddie Mac. Reprinted with permission.

View data of the average interest rate, calculated weekly, of fixed-rate mortgages with a 30-year repayment term.

On November 17, 2022, Freddie Mac changed the methodology of the Primary Mortgage Market Survey® (PMMS®). The weekly mortgage rate is no longer based on a survey of lenders. For more information regarding Freddie Mac’s enhancement, see their research note (https://www.freddiemac.com/research/insight/20221103-freddie-macs-newly-enhanced-mortgage-rate-survey). Data are provided “as is” by Freddie Mac®, with no warranties of any kind, express or implied, including but not limited to warranties of accuracy or implied warranties of merchantability or fitness for a particular purpose. Use of the data is at the user’s sole risk. In no event will Freddie Mac be liable for any damages arising out of or related to the data, including but not limited to direct, indirect, incidental, special, consequential, or punitive damages, whether under a contract, tort, or any other theory of liability, even if Freddie Mac is aware of the possibility of such damages. Copyright, 2016, Freddie Mac. Reprinted with permission.

The AD&Co US Mortgage High Yield Index crOAS, credit-and-option-adjusted spread, is an extension of the traditional OAS measure. On a set of 20 standardized, probabilistically weighted, market-and-model stress scenarios, AD&Co computes a discount rate that equates expected present value of tranche's cash flows to the observed market price; the cash flows are loss-adjusted using AD&Co's LoanDynamics Model (LDM). Investors and fund managers can use the index to assess the broad market returns, risks and opportunities available through investing in a market-weighted, passive portfolio of US mortgage credit risk transfer instruments. The Index also provides a means of comparing the returns of an actively managed portfolio against a passive, naive market portfolio as approximated by the Index. The Mid-Tier and its sub-indices allow for approximations of performance comparisons by vintage or age, across the capital stack, and by initial credit risk level and/or vintage as indicated by original attachment point. <b>Disclaimer:</b> The AD&Co U.S. Mortgage High-Yield Index serves as an informational index and is not for commercial-use purposes. The Index's accuracy, completeness, timeliness and suitability for any purpose are not guaranteed. The Index does not constitute (1) investment, legal, accounting, tax, or other professional advice or (2) any recommendation or solicitation to purchase, hold, sell, or otherwise deal in any investment. This Index has been prepared for general informational purposes, without consideration of the circumstances or objectives of any particular investor. Any reliance on the Index is at the reader's sole risk. All investment is subject to numerous risks, known and unknown. Past performance is no guarantee of future results. For investment advice, seek a qualified investment professional. Not for redistribution without permission. Note: An affiliate of Andrew Davidson & Co., Inc. engages in trading activities in investments that may be the same or similar to those featured in the Index. <b>Index Inclusion Rules</b> Only cash CAS and STACR bonds offered to the public, whether they are exchangeable or not, that have or have had IDC prices. Bond factor > = .25 Floating rate bonds only. Collateral Types 30 Year Residential. Fixed Rate: STACR-DN, DNA, HQ, HQA, HRP, CAS – C0 Tranche names – B, B1, B2, M3, M2, M1 Normally listed on GSE websites: <a href='https://crt.freddiemac.com/offerings/stacr.aspx#issuance-details'>Freddie Mac</a>, <a href='http://www.fanniemae.com/portal/funding-the-market/credit-risk/transactions.html'>Fannie Mae</a> No private placements No Child Classes (Exchangeable into) or Retained Classes (H bonds) No CIRT, ACIS, SPI Original attachment points and CAS STACR <table style='width:50%'><tr><th>Tier</th><th>Attachment Points</th><th>CAS STACR Class</th></tr><tr><td>0</td><td>> = 0.00 < .25</td><td>STACR Class B, B2; CAS Class B</td></tr><tr><td>1</td><td>> = 0.25 < .95</td><td>STACR Class B1, Old M3; CAS Class B1</td></tr><tr><td>2</td><td>> = 0.95 < 1.75</td><td>STACR Class M3, M2; CAS Class M2</td></tr><tr><td>3</td><td>> = 1.75 < 3.75</td><td>STACR Class M2, M1; CAS Class M1</td></tr><tr><td>Mid</td><td>> = 0.25 < 3.75</td><td>STACR Class Mixed; CAS Class Mixed</td></tr></table> Input data provided by Intex and ICE Data Services. © Andrew Davidson & Co., Inc. All rights reserved.

The AD&Co US Mortgage High Yield Index crOAS, credit-and-option-adjusted spread, is an extension of the traditional OAS measure. On a set of 20 standardized, probabilistically weighted, market-and-model stress scenarios, AD&Co computes a discount rate that equates expected present value of tranche's cash flows to the observed market price; the cash flows are loss-adjusted using AD&Co's LoanDynamics Model (LDM). Investors and fund managers can use the index to assess the broad market returns, risks and opportunities available through investing in a market-weighted, passive portfolio of US mortgage credit risk transfer instruments. The Index also provides a means of comparing the returns of an actively managed portfolio against a passive, naive market portfolio as approximated by the Index. The Mid-Tier and its sub-indices allow for approximations of performance comparisons by vintage or age, across the capital stack, and by initial credit risk level and/or vintage as indicated by original attachment point. Until February of 2022, AD&Co has been computing crOAS relative to the Libor-swap rate curve that is set to retire in 2023. Following the prevailing market trend and starting from its February-end report, AD&Co began computing the crOAS metric relative to the Treasury-curve benchmark. Given the differences between the two rate curves, this change should account for approximately 6 to 12 bps widening in spread for the AD&Co CRT Indices. <b>Disclaimer:</b> The AD&Co U.S. Mortgage High-Yield Index serves as an informational index and is not for commercial-use purposes. The Index's accuracy, completeness, timeliness and suitability for any purpose are not guaranteed. The Index does not constitute (1) investment, legal, accounting, tax, or other professional advice or (2) any recommendation or solicitation to purchase, hold, sell, or otherwise deal in any investment. This Index has been prepared for general informational purposes, without consideration of the circumstances or objectives of any particular investor. Any reliance on the Index is at the reader's sole risk. All investment is subject to numerous risks, known and unknown. Past performance is no guarantee of future results. For investment advice, seek a qualified investment professional. Not for redistribution without permission. Note: An affiliate of Andrew Davidson & Co., Inc. engages in trading activities in investments that may be the same or similar to those featured in the Index. <b>Index Inclusion Rules</b> Only cash CAS and STACR bonds offered to the public, whether they are exchangeable or not, that have or have had IDC prices. Bond factor > = .25 Floating rate bonds only. Collateral Types 30 Year Residential. Fixed Rate: STACR-DN, DNA, HQ, HQA, HRP, CAS – C0 Tranche names – B, B1, B2, M3, M2, M1 Normally listed on GSE websites: <a href='https://crt.freddiemac.com/offerings/stacr.aspx#issuance-details'>Freddie Mac</a>, <a href='http://www.fanniemae.com/portal/funding-the-market/credit-risk/transactions.html'>Fannie Mae</a> No private placements No Child Classes (Exchangeable into) or Retained Classes (H bonds) No CIRT, ACIS, SPI Original attachment points and CAS STACR <table style='width:50%'><tr><th>Tier</th><th>Attachment Points</th><th>CAS STACR Class</th></tr><tr><td>0</td><td>> = 0.00 < .25</td><td>STACR Class B, B2; CAS Class B</td></tr><tr><td>1</td><td>> = 0.25 < .95</td><td>STACR Class B1, Old M3; CAS Class B1</td></tr><tr><td>2</td><td>> = 0.95 < 1.75</td><td>STACR Class M3, M2; CAS Class M2</td></tr><tr><td>3</td><td>> = 1.75 < 3.75</td><td>STACR Class M2, M1; CAS Class M1</td></tr><tr><td>Mid</td><td>> = 0.25 < 3.75</td><td>STACR Class Mixed; CAS Class Mixed</td></tr></table> Input data provided by Intex and ICE Data Services. © Andrew Davidson & Co., Inc. All rights reserved.

The AD&Co US Mortgage High Yield Index crOAS, credit-and-option-adjusted spread, is an extension of the traditional OAS measure. On a set of 20 standardized, probabilistically weighted, market-and-model stress scenarios, AD&Co computes a discount rate that equates expected present value of tranche's cash flows to the observed market price; the cash flows are loss-adjusted using AD&Co's LoanDynamics Model (LDM). Investors and fund managers can use the index to assess the broad market returns, risks and opportunities available through investing in a market-weighted, passive portfolio of US mortgage credit risk transfer instruments. The Index also provides a means of comparing the returns of an actively managed portfolio against a passive, naive market portfolio as approximated by the Index. The Mid-Tier and its sub-indices allow for approximations of performance comparisons by vintage or age, across the capital stack, and by initial credit risk level and/or vintage as indicated by original attachment point. Until February of 2022, AD&Co has been computing crOAS relative to the Libor-swap rate curve that is set to retire in 2023. Following the prevailing market trend and starting from its February-end report, AD&Co began computing the crOAS metric relative to the Treasury-curve benchmark. Given the differences between the two rate curves, this change should account for approximately 6 to 12 bps widening in spread for the AD&Co CRT Indices. <b>Disclaimer:</b> The AD&Co U.S. Mortgage High-Yield Index serves as an informational index and is not for commercial-use purposes. The Index's accuracy, completeness, timeliness and suitability for any purpose are not guaranteed. The Index does not constitute (1) investment, legal, accounting, tax, or other professional advice or (2) any recommendation or solicitation to purchase, hold, sell, or otherwise deal in any investment. This Index has been prepared for general informational purposes, without consideration of the circumstances or objectives of any particular investor. Any reliance on the Index is at the reader's sole risk. All investment is subject to numerous risks, known and unknown. Past performance is no guarantee of future results. For investment advice, seek a qualified investment professional. Not for redistribution without permission. Note: An affiliate of Andrew Davidson & Co., Inc. engages in trading activities in investments that may be the same or similar to those featured in the Index. <b>Index Inclusion Rules</b> Only cash CAS and STACR bonds offered to the public, whether they are exchangeable or not, that have or have had IDC prices. Bond factor > = .25 Floating rate bonds only. Collateral Types 30 Year Residential. Fixed Rate: STACR-DN, DNA, HQ, HQA, HRP, CAS – C0 Tranche names – B, B1, B2, M3, M2, M1 Normally listed on GSE websites: <a href='https://crt.freddiemac.com/offerings/stacr.aspx#issuance-details'>Freddie Mac</a>, <a href='http://www.fanniemae.com/portal/funding-the-market/credit-risk/transactions.html'>Fannie Mae</a> No private placements No Child Classes (Exchangeable into) or Retained Classes (H bonds) No CIRT, ACIS, SPI Original attachment points and CAS STACR <table style='width:50%'><tr><th>Tier</th><th>Attachment Points</th><th>CAS STACR Class</th></tr><tr><td>0</td><td>> = 0.00 < .25</td><td>STACR Class B, B2; CAS Class B</td></tr><tr><td>1</td><td>> = 0.25 < .95</td><td>STACR Class B1, Old M3; CAS Class B1</td></tr><tr><td>2</td><td>> = 0.95 < 1.75</td><td>STACR Class M3, M2; CAS Class M2</td></tr><tr><td>3</td><td>> = 1.75 < 3.75</td><td>STACR Class M2, M1; CAS Class M1</td></tr><tr><td>Mid</td><td>> = 0.25 < 3.75</td><td>STACR Class Mixed; CAS Class Mixed</td></tr></table> Input data provided by Intex and ICE Data Services. © Andrew Davidson & Co., Inc. All rights reserved.

The AD&Co US Mortgage High Yield Index crOAS, credit-and-option-adjusted spread, is an extension of the traditional OAS measure. On a set of 20 standardized, probabilistically weighted, market-and-model stress scenarios, AD&Co computes a discount rate that equates expected present value of tranche's cash flows to the observed market price; the cash flows are loss-adjusted using AD&Co's LoanDynamics Model (LDM). Investors and fund managers can use the index to assess the broad market returns, risks and opportunities available through investing in a market-weighted, passive portfolio of US mortgage credit risk transfer instruments. The Index also provides a means of comparing the returns of an actively managed portfolio against a passive, naive market portfolio as approximated by the Index. The Mid-Tier and its sub-indices allow for approximations of performance comparisons by vintage or age, across the capital stack, and by initial credit risk level and/or vintage as indicated by original attachment point. Until February of 2022, AD&Co has been computing crOAS relative to the Libor-swap rate curve that is set to retire in 2023. Following the prevailing market trend and starting from its February-end report, AD&Co began computing the crOAS metric relative to the Treasury-curve benchmark. Given the differences between the two rate curves, this change should account for approximately 6 to 12 bps widening in spread for the AD&Co CRT Indices. <b>Disclaimer:</b> The AD&Co U.S. Mortgage High-Yield Index serves as an informational index and is not for commercial-use purposes. The Index's accuracy, completeness, timeliness and suitability for any purpose are not guaranteed. The Index does not constitute (1) investment, legal, accounting, tax, or other professional advice or (2) any recommendation or solicitation to purchase, hold, sell, or otherwise deal in any investment. This Index has been prepared for general informational purposes, without consideration of the circumstances or objectives of any particular investor. Any reliance on the Index is at the reader's sole risk. All investment is subject to numerous risks, known and unknown. Past performance is no guarantee of future results. For investment advice, seek a qualified investment professional. Not for redistribution without permission. Note: An affiliate of Andrew Davidson & Co., Inc. engages in trading activities in investments that may be the same or similar to those featured in the Index. <b>Index Inclusion Rules</b> Only cash CAS and STACR bonds offered to the public, whether they are exchangeable or not, that have or have had IDC prices. Bond factor > = .25 Floating rate bonds only. Collateral Types 30 Year Residential. Fixed Rate: STACR-DN, DNA, HQ, HQA, HRP, CAS – C0 Tranche names – B, B1, B2, M3, M2, M1 Normally listed on GSE websites: <a href='https://crt.freddiemac.com/offerings/stacr.aspx#issuance-details'>Freddie Mac</a>, <a href='http://www.fanniemae.com/portal/funding-the-market/credit-risk/transactions.html'>Fannie Mae</a> No private placements No Child Classes (Exchangeable into) or Retained Classes (H bonds) No CIRT, ACIS, SPI Original attachment points and CAS STACR <table style='width:50%'><tr><th>Tier</th><th>Attachment Points</th><th>CAS STACR Class</th></tr><tr><td>0</td><td>> = 0.00 < .25</td><td>STACR Class B, B2; CAS Class B</td></tr><tr><td>1</td><td>> = 0.25 < .95</td><td>STACR Class B1, Old M3; CAS Class B1</td></tr><tr><td>2</td><td>> = 0.95 < 1.75</td><td>STACR Class M3, M2; CAS Class M2</td></tr><tr><td>3</td><td>> = 1.75 < 3.75</td><td>STACR Class M2, M1; CAS Class M1</td></tr><tr><td>Mid</td><td>> = 0.25 < 3.75</td><td>STACR Class Mixed; CAS Class Mixed</td></tr></table> Input data provided by Intex and ICE Data Services. © Andrew Davidson & Co., Inc. All rights reserved.

The AD&Co US Mortgage High Yield Index crOAS, credit-and-option-adjusted spread, is an extension of the traditional OAS measure. On a set of 20 standardized, probabilistically weighted, market-and-model stress scenarios, AD&Co computes a discount rate that equates expected present value of tranche's cash flows to the observed market price; the cash flows are loss-adjusted using AD&Co's LoanDynamics Model (LDM). Investors and fund managers can use the index to assess the broad market returns, risks and opportunities available through investing in a market-weighted, passive portfolio of US mortgage credit risk transfer instruments. The Index also provides a means of comparing the returns of an actively managed portfolio against a passive, naive market portfolio as approximated by the Index. The Mid-Tier and its sub-indices allow for approximations of performance comparisons by vintage or age, across the capital stack, and by initial credit risk level and/or vintage as indicated by original attachment point. Until February of 2022, AD&Co has been computing crOAS relative to the Libor-swap rate curve that is set to retire in 2023. Following the prevailing market trend and starting from its February-end report, AD&Co began computing the crOAS metric relative to the Treasury-curve benchmark. Given the differences between the two rate curves, this change should account for approximately 6 to 12 bps widening in spread for the AD&Co CRT Indices. <b>Disclaimer:</b> The AD&Co U.S. Mortgage High-Yield Index serves as an informational index and is not for commercial-use purposes. The Index's accuracy, completeness, timeliness and suitability for any purpose are not guaranteed. The Index does not constitute (1) investment, legal, accounting, tax, or other professional advice or (2) any recommendation or solicitation to purchase, hold, sell, or otherwise deal in any investment. This Index has been prepared for general informational purposes, without consideration of the circumstances or objectives of any particular investor. Any reliance on the Index is at the reader's sole risk. All investment is subject to numerous risks, known and unknown. Past performance is no guarantee of future results. For investment advice, seek a qualified investment professional. Not for redistribution without permission. Note: An affiliate of Andrew Davidson & Co., Inc. engages in trading activities in investments that may be the same or similar to those featured in the Index. <b>Index Inclusion Rules</b> Only cash CAS and STACR bonds offered to the public, whether they are exchangeable or not, that have or have had IDC prices. Bond factor > = .25 Floating rate bonds only. Collateral Types 30 Year Residential. Fixed Rate: STACR-DN, DNA, HQ, HQA, HRP, CAS – C0 Tranche names – B, B1, B2, M3, M2, M1 Normally listed on GSE websites: <a href='https://crt.freddiemac.com/offerings/stacr.aspx#issuance-details'>Freddie Mac</a>, <a href='http://www.fanniemae.com/portal/funding-the-market/credit-risk/transactions.html'>Fannie Mae</a> No private placements No Child Classes (Exchangeable into) or Retained Classes (H bonds) No CIRT, ACIS, SPI Original attachment points and CAS STACR <table style='width:50%'><tr><th>Tier</th><th>Attachment Points</th><th>CAS STACR Class</th></tr><tr><td>0</td><td>> = 0.00 < .25</td><td>STACR Class B, B2; CAS Class B</td></tr><tr><td>1</td><td>> = 0.25 < .95</td><td>STACR Class B1, Old M3; CAS Class B1</td></tr><tr><td>2</td><td>> = 0.95 < 1.75</td><td>STACR Class M3, M2; CAS Class M2</td></tr><tr><td>3</td><td>> = 1.75 < 3.75</td><td>STACR Class M2, M1; CAS Class M1</td></tr><tr><td>Mid</td><td>> = 0.25 < 3.75</td><td>STACR Class Mixed; CAS Class Mixed</td></tr></table> Input data provided by Intex and ICE Data Services. © Andrew Davidson & Co., Inc. All rights reserved.

The AD&Co US Mortgage High Yield Index (USMHY) tracks the total return of the bonds issued within the CRT programs of Fannie Mae and Freddie Mac. USMHY is an informational, investment-oriented monthly index of the return components: price, coupon, paydown, and credit loss. Accompanied by standard risk metrics from our models, the index is useful for comparisons with individual CRT bonds or relative value to other credit markets. Investors and fund managers can use the index to assess the broad market returns, risks and opportunities available through investing in a market-weighted, passive portfolio of US mortgage credit risk transfer instruments. The Index also provides a means of comparing the returns of an actively managed portfolio against a passive, naive market portfolio as approximated by the Index. The Mid-Tier and its sub-indices allow for approximations of performance comparisons by vintage or age, across the capital stack, and by initial credit risk level and/or vintage as indicated by original attachment point. <b>Disclaimer:</b> The AD&Co U.S. Mortgage High-Yield Index serves as an informational index and is not for commercial-use purposes. The Index's accuracy, completeness, timeliness and suitability for any purpose are not guaranteed. The Index does not constitute (1) investment, legal, accounting, tax, or other professional advice or (2) any recommendation or solicitation to purchase, hold, sell, or otherwise deal in any investment. This Index has been prepared for general informational purposes, without consideration of the circumstances or objectives of any particular investor. Any reliance on the Index is at the reader's sole risk. All investment is subject to numerous risks, known and unknown. Past performance is no guarantee of future results. For investment advice, seek a qualified investment professional. Not for redistribution without permission. Note: An affiliate of Andrew Davidson & Co., Inc. engages in trading activities in investments that may be the same or similar to those featured in the Index. <b>Index Inclusion Rules</b> Only cash CAS and STACR bonds offered to the public, whether they are exchangeable or not, that have or have had IDC prices. Bond factor > = .25 Floating rate bonds only. Collateral Types 30 Year Residential. Fixed Rate: STACR-DN, DNA, HQ, HQA, HRP, CAS – C0 Tranche names – B, B1, B2, M3, M2, M1 Normally listed on GSE websites: <a href='https://crt.freddiemac.com/offerings/stacr.aspx#issuance-details'>Freddie Mac</a>, <a href='http://www.fanniemae.com/portal/funding-the-market/credit-risk/transactions.html'>Fannie Mae</a> No private placements No Child Classes (Exchangeable into) or Retained Classes (H bonds) No CIRT, ACIS, SPI Original attachment points and CAS STACR <table style='width:50%'><tr><th>Tier</th><th>Attachment Points</th><th>CAS STACR Class</th></tr><tr><td>0</td><td>> = 0.00 < .25</td><td>STACR Class B, B2; CAS Class B</td></tr><tr><td>1</td><td>> = 0.25 < .95</td><td>STACR Class B1, Old M3; CAS Class B1</td></tr><tr><td>2</td><td>> = 0.95 < 1.75</td><td>STACR Class M3, M2; CAS Class M2</td></tr><tr><td>3</td><td>> = 1.75 < 3.75</td><td>STACR Class M2, M1; CAS Class M1</td></tr><tr><td>Mid</td><td>> = 0.25 < 3.75</td><td>STACR Class Mixed; CAS Class Mixed</td></tr></table> Input data provided by Intex and ICE Data Services. © Andrew Davidson & Co., Inc. All rights reserved.

The AD&Co US Mortgage High Yield Index (USMHY) tracks the total return of the bonds issued within the CRT programs of Fannie Mae and Freddie Mac. USMHY is an informational, investment-oriented monthly index of the return components: price, coupon, paydown, and credit loss. Accompanied by standard risk metrics from our models, the index is useful for comparisons with individual CRT bonds or relative value to other credit markets. Investors and fund managers can use the index to assess the broad market returns, risks and opportunities available through investing in a market-weighted, passive portfolio of US mortgage credit risk transfer instruments. The Index also provides a means of comparing the returns of an actively managed portfolio against a passive, naive market portfolio as approximated by the Index. The Mid-Tier and its sub-indices allow for approximations of performance comparisons by vintage or age, across the capital stack, and by initial credit risk level and/or vintage as indicated by original attachment point. <b>Disclaimer:</b> The AD&Co U.S. Mortgage High-Yield Index serves as an informational index and is not for commercial-use purposes. The Index's accuracy, completeness, timeliness and suitability for any purpose are not guaranteed. The Index does not constitute (1) investment, legal, accounting, tax, or other professional advice or (2) any recommendation or solicitation to purchase, hold, sell, or otherwise deal in any investment. This Index has been prepared for general informational purposes, without consideration of the circumstances or objectives of any particular investor. Any reliance on the Index is at the reader's sole risk. All investment is subject to numerous risks, known and unknown. Past performance is no guarantee of future results. For investment advice, seek a qualified investment professional. Not for redistribution without permission. Note: An affiliate of Andrew Davidson & Co., Inc. engages in trading activities in investments that may be the same or similar to those featured in the Index. <b>Index Inclusion Rules</b> Only cash CAS and STACR bonds offered to the public, whether they are exchangeable or not, that have or have had IDC prices. Bond factor > = .25 Floating rate bonds only. Collateral Types 30 Year Residential. Fixed Rate: STACR-DN, DNA, HQ, HQA, HRP, CAS – C0 Tranche names – B, B1, B2, M3, M2, M1 Normally listed on GSE websites: <a href='https://crt.freddiemac.com/offerings/stacr.aspx#issuance-details'>Freddie Mac</a>, <a href='http://www.fanniemae.com/portal/funding-the-market/credit-risk/transactions.html'>Fannie Mae</a> No private placements No Child Classes (Exchangeable into) or Retained Classes (H bonds) No CIRT, ACIS, SPI Original attachment points and CAS STACR <table style='width:50%'><tr><th>Tier</th><th>Attachment Points</th><th>CAS STACR Class</th></tr><tr><td>0</td><td>> = 0.00 < .25</td><td>STACR Class B, B2; CAS Class B</td></tr><tr><td>1</td><td>> = 0.25 < .95</td><td>STACR Class B1, Old M3; CAS Class B1</td></tr><tr><td>2</td><td>> = 0.95 < 1.75</td><td>STACR Class M3, M2; CAS Class M2</td></tr><tr><td>3</td><td>> = 1.75 < 3.75</td><td>STACR Class M2, M1; CAS Class M1</td></tr><tr><td>Mid</td><td>> = 0.25 < 3.75</td><td>STACR Class Mixed; CAS Class Mixed</td></tr></table> Input data provided by Intex and ICE Data Services. © Andrew Davidson & Co., Inc. All rights reserved.

The AD&Co US Mortgage High Yield Index (USMHY) tracks the total return of the bonds issued within the CRT programs of Fannie Mae and Freddie Mac. USMHY is an informational, investment-oriented monthly index of the return components: price, coupon, paydown, and credit loss. Accompanied by standard risk metrics from our models, the index is useful for comparisons with individual CRT bonds or relative value to other credit markets. Investors and fund managers can use the index to assess the broad market returns, risks and opportunities available through investing in a market-weighted, passive portfolio of US mortgage credit risk transfer instruments. The Index also provides a means of comparing the returns of an actively managed portfolio against a passive, naive market portfolio as approximated by the Index. The Mid-Tier and its sub-indices allow for approximations of performance comparisons by vintage or age, across the capital stack, and by initial credit risk level and/or vintage as indicated by original attachment point. <b>Disclaimer:</b> The AD&Co U.S. Mortgage High-Yield Index serves as an informational index and is not for commercial-use purposes. The Index's accuracy, completeness, timeliness and suitability for any purpose are not guaranteed. The Index does not constitute (1) investment, legal, accounting, tax, or other professional advice or (2) any recommendation or solicitation to purchase, hold, sell, or otherwise deal in any investment. This Index has been prepared for general informational purposes, without consideration of the circumstances or objectives of any particular investor. Any reliance on the Index is at the reader's sole risk. All investment is subject to numerous risks, known and unknown. Past performance is no guarantee of future results. For investment advice, seek a qualified investment professional. Not for redistribution without permission. Note: An affiliate of Andrew Davidson & Co., Inc. engages in trading activities in investments that may be the same or similar to those featured in the Index. <b>Index Inclusion Rules</b> Only cash CAS and STACR bonds offered to the public, whether they are exchangeable or not, that have or have had IDC prices. Bond factor > = .25 Floating rate bonds only. Collateral Types 30 Year Residential. Fixed Rate: STACR-DN, DNA, HQ, HQA, HRP, CAS – C0 Tranche names – B, B1, B2, M3, M2, M1 Normally listed on GSE websites: <a href='https://crt.freddiemac.com/offerings/stacr.aspx#issuance-details'>Freddie Mac</a>, <a href='http://www.fanniemae.com/portal/funding-the-market/credit-risk/transactions.html'>Fannie Mae</a> No private placements No Child Classes (Exchangeable into) or Retained Classes (H bonds) No CIRT, ACIS, SPI Original attachment points and CAS STACR <table style='width:50%'><tr><th>Tier</th><th>Attachment Points</th><th>CAS STACR Class</th></tr><tr><td>0</td><td>> = 0.00 < .25</td><td>STACR Class B, B2; CAS Class B</td></tr><tr><td>1</td><td>> = 0.25 < .95</td><td>STACR Class B1, Old M3; CAS Class B1</td></tr><tr><td>2</td><td>> = 0.95 < 1.75</td><td>STACR Class M3, M2; CAS Class M2</td></tr><tr><td>3</td><td>> = 1.75 < 3.75</td><td>STACR Class M2, M1; CAS Class M1</td></tr><tr><td>Mid</td><td>> = 0.25 < 3.75</td><td>STACR Class Mixed; CAS Class Mixed</td></tr></table> Input data provided by Intex and ICE Data Services. © Andrew Davidson & Co., Inc. All rights reserved.

The AD&Co US Mortgage High Yield Index (USMHY) tracks the total return of the bonds issued within the CRT programs of Fannie Mae and Freddie Mac. USMHY is an informational, investment-oriented monthly index of the return components: price, coupon, paydown, and credit loss. Accompanied by standard risk metrics from our models, the index is useful for comparisons with individual CRT bonds or relative value to other credit markets. Investors and fund managers can use the index to assess the broad market returns, risks and opportunities available through investing in a market-weighted, passive portfolio of US mortgage credit risk transfer instruments. The Index also provides a means of comparing the returns of an actively managed portfolio against a passive, naive market portfolio as approximated by the Index. The Mid-Tier and its sub-indices allow for approximations of performance comparisons by vintage or age, across the capital stack, and by initial credit risk level and/or vintage as indicated by original attachment point. <b>Disclaimer:</b> The AD&Co U.S. Mortgage High-Yield Index serves as an informational index and is not for commercial-use purposes. The Index's accuracy, completeness, timeliness and suitability for any purpose are not guaranteed. The Index does not constitute (1) investment, legal, accounting, tax, or other professional advice or (2) any recommendation or solicitation to purchase, hold, sell, or otherwise deal in any investment. This Index has been prepared for general informational purposes, without consideration of the circumstances or objectives of any particular investor. Any reliance on the Index is at the reader's sole risk. All investment is subject to numerous risks, known and unknown. Past performance is no guarantee of future results. For investment advice, seek a qualified investment professional. Not for redistribution without permission. Note: An affiliate of Andrew Davidson & Co., Inc. engages in trading activities in investments that may be the same or similar to those featured in the Index. <b>Index Inclusion Rules</b> Only cash CAS and STACR bonds offered to the public, whether they are exchangeable or not, that have or have had IDC prices. Bond factor > = .25 Floating rate bonds only. Collateral Types 30 Year Residential. Fixed Rate: STACR-DN, DNA, HQ, HQA, HRP, CAS – C0 Tranche names – B, B1, B2, M3, M2, M1 Normally listed on GSE websites: <a href='https://crt.freddiemac.com/offerings/stacr.aspx#issuance-details'>Freddie Mac</a>, <a href='http://www.fanniemae.com/portal/funding-the-market/credit-risk/transactions.html'>Fannie Mae</a> No private placements No Child Classes (Exchangeable into) or Retained Classes (H bonds) No CIRT, ACIS, SPI Original attachment points and CAS STACR <table style='width:50%'><tr><th>Tier</th><th>Attachment Points</th><th>CAS STACR Class</th></tr><tr><td>0</td><td>> = 0.00 < .25</td><td>STACR Class B, B2; CAS Class B</td></tr><tr><td>1</td><td>> = 0.25 < .95</td><td>STACR Class B1, Old M3; CAS Class B1</td></tr><tr><td>2</td><td>> = 0.95 < 1.75</td><td>STACR Class M3, M2; CAS Class M2</td></tr><tr><td>3</td><td>> = 1.75 < 3.75</td><td>STACR Class M2, M1; CAS Class M1</td></tr><tr><td>Mid</td><td>> = 0.25 < 3.75</td><td>STACR Class Mixed; CAS Class Mixed</td></tr></table> Input data provided by Intex and ICE Data Services. © Andrew Davidson & Co., Inc. All rights reserved.

The AD&Co US Mortgage High Yield Index (USMHY) tracks the total return of the bonds issued within the CRT programs of Fannie Mae and Freddie Mac. USMHY is an informational, investment-oriented monthly index of the return components: price, coupon, paydown, and credit loss. Accompanied by standard risk metrics from our models, the index is useful for comparisons with individual CRT bonds or relative value to other credit markets. Investors and fund managers can use the index to assess the broad market returns, risks and opportunities available through investing in a market-weighted, passive portfolio of US mortgage credit risk transfer instruments. The Index also provides a means of comparing the returns of an actively managed portfolio against a passive, naive market portfolio as approximated by the Index. The Mid-Tier and its sub-indices allow for approximations of performance comparisons by vintage or age, across the capital stack, and by initial credit risk level and/or vintage as indicated by original attachment point. <b>Disclaimer:</b> The AD&Co U.S. Mortgage High-Yield Index serves as an informational index and is not for commercial-use purposes. The Index's accuracy, completeness, timeliness and suitability for any purpose are not guaranteed. The Index does not constitute (1) investment, legal, accounting, tax, or other professional advice or (2) any recommendation or solicitation to purchase, hold, sell, or otherwise deal in any investment. This Index has been prepared for general informational purposes, without consideration of the circumstances or objectives of any particular investor. Any reliance on the Index is at the reader's sole risk. All investment is subject to numerous risks, known and unknown. Past performance is no guarantee of future results. For investment advice, seek a qualified investment professional. Not for redistribution without permission. Note: An affiliate of Andrew Davidson & Co., Inc. engages in trading activities in investments that may be the same or similar to those featured in the Index. <b>Index Inclusion Rules</b> Only cash CAS and STACR bonds offered to the public, whether they are exchangeable or not, that have or have had IDC prices. Bond factor > = .25 Floating rate bonds only. Collateral Types 30 Year Residential. Fixed Rate: STACR-DN, DNA, HQ, HQA, HRP, CAS – C0 Tranche names – B, B1, B2, M3, M2, M1 Normally listed on GSE websites: <a href='https://crt.freddiemac.com/offerings/stacr.aspx#issuance-details'>Freddie Mac</a>, <a href='http://www.fanniemae.com/portal/funding-the-market/credit-risk/transactions.html'>Fannie Mae</a> No private placements No Child Classes (Exchangeable into) or Retained Classes (H bonds) No CIRT, ACIS, SPI Original attachment points and CAS STACR <table style='width:50%'><tr><th>Tier</th><th>Attachment Points</th><th>CAS STACR Class</th></tr><tr><td>0</td><td>> = 0.00 < .25</td><td>STACR Class B, B2; CAS Class B</td></tr><tr><td>1</td><td>> = 0.25 < .95</td><td>STACR Class B1, Old M3; CAS Class B1</td></tr><tr><td>2</td><td>> = 0.95 < 1.75</td><td>STACR Class M3, M2; CAS Class M2</td></tr><tr><td>3</td><td>> = 1.75 < 3.75</td><td>STACR Class M2, M1; CAS Class M1</td></tr><tr><td>Mid</td><td>> = 0.25 < 3.75</td><td>STACR Class Mixed; CAS Class Mixed</td></tr></table> Input data provided by Intex and ICE Data Services. © Andrew Davidson & Co., Inc. All rights reserved.

OECD descriptor ID: CPRPTT02 OECD unit ID: IXOB OECD country ID: GBR All OECD data should be cited as follows: OECD, "Main Economic Indicators - complete database", Main Economic Indicators (database),http://dx.doi.org/10.1787/data-00052-en (Accessed on date) Copyright, 2016, OECD. Reprinted with permission.

Average Contract Rate on Commitments for Fixed-Rate First Mortgages. - Please refer to the series WRMORTG for current data. Copyright, 2016, Federal Home Loan Mortgage Corporation. Reprinted with permission.

Source ID: FL073165103.Q For more information about the Flow of Funds tables, see the Financial Accounts Guide (https://www.federalreserve.gov/apps/fof/Default.aspx). With each quarterly release, the source may make major data and structural revisions to the series and tables. These changes are available in the Release Highlights (https://www.federalreserve.gov/apps/fof/FOFHighlight.aspx). In the Financial Accounts, the source identifies each series by a string of patterned letters and numbers. For a detailed description, including how this series is constructed, see the series analyzer (https://www.federalreserve.gov/apps/fof/SeriesAnalyzer.aspx?s=FL073165103&t=) provided by the source.

OECD Descriptor ID: IRLOHO02 OECD unit ID: PC OECD country ID: LUX All OECD data should be cited as follows: OECD, "Main Economic Indicators - complete database", Main Economic Indicators (database), https://dx.doi.org/10.1787/data-00052-en (Accessed on date) Copyright, 2016, OECD. Reprinted with permission

Data Through June 1961 Are Based On 25 Year Mortgages Prepaid In 12 Years; Data For July 1961-1965 Are Based On 30 Year Mortgages Prepaid In 15 Years. Source: U.S. Department Of Commerce, Business Condition Digest. This NBER data series m13045 appears on the NBER website in Chapter 13 at http://www.nber.org/databases/macrohistory/contents/chapter13.html. NBER Indicator: m13045