Federal Reserve Economic Data

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. Visit the Treasury (https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx) for more information.

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Percent, Monthly, Not Seasonally Adjusted Jan 1984 to Sep 2024 (Oct 7)

    The spot rate for any maturity is defined as the yield on a bond that gives a single payment at that maturity. This is called a zero coupon bond. Because high quality zero coupon bonds are not generally available, the HQM methodology computes the spot rates so as to make them consistent with the yields on other high quality bonds. The HQM yield curve uses data from a set of high quality corporate bonds rated AAA, AA, or A that accurately represent the high quality corporate bond market. The HQM methodology projects yields beyond 30 years maturity out to 100 years maturity to get discount rates for long-dated pension liabilities. For more information see https://www.treasury.gov/resource-center/economic-policy/corp-bond-yield/Pages/Corp-Yield-Bond-Curve-Papers.aspx

  • Index Jun 2015=100, Monthly, Not Seasonally Adjusted Jun 2015 to Sep 2024 (Oct 7)

    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.

  • Index Jun 2015=100, Monthly, Not Seasonally Adjusted Jun 2015 to Sep 2024 (Oct 7)

    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.

  • Index, Monthly, Not Seasonally Adjusted Jun 2015 to Sep 2024 (Oct 7)

    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.

  • Index, Monthly, Not Seasonally Adjusted Jun 2015 to Sep 2024 (Oct 7)

    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.

  • Index Jun 2015=100, Monthly, Not Seasonally Adjusted Jun 2015 to Sep 2024 (Oct 7)

    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.

  • Index Jun 2015=100, Monthly, Not Seasonally Adjusted Jun 2015 to Sep 2024 (Oct 7)

    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.

  • Index Jun 2015=100, Monthly, Not Seasonally Adjusted Jun 2015 to Sep 2024 (Oct 7)

    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.

  • Index, Monthly, Not Seasonally Adjusted Jun 2015 to Sep 2024 (Oct 7)

    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.

  • Index, Monthly, Not Seasonally Adjusted Jun 2015 to Sep 2024 (Oct 7)

    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.

  • Index, Monthly, Not Seasonally Adjusted Jun 2015 to Sep 2024 (Oct 7)

    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.

  • Percent per Annum, Monthly, Not Seasonally Adjusted Jan 1957 to Aug 2024 (Oct 7)

    Notes regarding this series can be found in International Financial Statistics Yearbooks produced by the International Monetary Fund (IMF). We have requested these publications from the IMF. Notes on this series will populate once they become available. Copyright © 2016, International Monetary Fund. Reprinted with permission. Complete terms of use and contact details are available at http://www.imf.org/external/terms.htm.

  • Percent per Annum, Monthly, Not Seasonally Adjusted Jan 1957 to Aug 2024 (Oct 7)

    Notes regarding this series can be found in International Financial Statistics Yearbooks produced by the International Monetary Fund (IMF). We have requested these publications from the IMF. Notes on this series will populate once they become available. Copyright © 2016, International Monetary Fund. Reprinted with permission. Complete terms of use and contact details are available at http://www.imf.org/external/terms.htm.

  • Index, Monthly, Not Seasonally Adjusted Jan 1985 to Sep 2024 (Oct 7)

    The Equity Market Volatility tracker moves with the VIX and with the realized volatility of returns on the S&P 500. For more information, see Baker, Scott, Nicholas Bloom and Steven Davis (2019), 'Policy News and Stack Market Volatility' (https://www.policyuncertainty.com/media/Policy%20News%20and%20Stock%20Market%20Volatility.pdf)

  • Percent, Monthly, Not Seasonally Adjusted Jan 1982 to Sep 2024 (Oct 1)

    Series is calculated as the spread between 6-Month Treasury Constant Maturity (https://fred.stlouisfed.org/series/GS6M) and Effective Federal Funds Rate (https://fred.stlouisfed.org/series/FEDFUNDS).

  • Percent, Monthly, Not Seasonally Adjusted Jul 1954 to Sep 2024 (Oct 1)

    Series is calculated as the spread between 5-Year Treasury Constant Maturity (BC_5YEAR) and Effective Federal Funds Rate (https://fred.stlouisfed.org/series/EFFR). Starting with the update on June 21, 2019, the Treasury bond data used in calculating interest rate spreads is obtained directly from the U.S. Treasury Department (https://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=yield).

  • Percent, Monthly, Not Seasonally Adjusted Jul 1954 to Sep 2024 (Oct 1)

    Series is calculated as the spread between Moody's Seasoned Aaa Corporate Bond© (https://fred.stlouisfed.org/series/AAA) and Effective Federal Funds Rate (https://fred.stlouisfed.org/series/EFFRM). ©2017, Moody's Corporation, Moody's Investors Service, Inc., Moody's Analytics, Inc. and/or their licensors and affiliates (collectively, "Moody's"). All rights reserved. Moody's ratings and other information ("Moody's Information") are proprietary to Moody's and/or its licensors and are protected by copyright and other intellectual property laws. Moody's Information is licensed to Client by Moody's. MOODY'S INFORMATION MAY NOT BE COPIED OR OTHERWISE REPRODUCED, REPACKAGED, FURTHER TRANSMITTED, TRANSFERRED, DISSEMINATED, REDISTRIBUTED OR RESOLD, OR STORED FOR SUBSEQUENT USE FOR ANY SUCH PURPOSE, IN WHOLE OR IN PART, IN ANY FORM OR MANNER OR BY ANY MEANS WHATSOEVER, BY ANY PERSON WITHOUT MOODY'S PRIOR WRITTEN CONSENT. Starting with the update on June 21, 2019, the Treasury bond data used in calculating interest rate spreads is obtained directly from the U.S. Treasury Department (https://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=yield).

  • Percent, Monthly, Not Seasonally Adjusted Jan 1997 to Sep 2024 (Oct 1)

    Series is calculated as the spread between 3-Month AA Financial Commercial Paper (RIFSPPFAAD90NBM) and Effective Federal Funds Rate (https://fred.stlouisfed.org/series/EFFRM). Starting with the update on June 21, 2019, the Treasury bond data used in calculating interest rate spreads is obtained directly from the U.S. Treasury Department (https://www.treasury.gov/resource-center/data-chart-center/interest-rates/Pages/TextView.aspx?data=yield).


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