This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

For further information, please refer to the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices release, online at http://www.federalreserve.gov/boarddocs/SnLoanSurvey/.

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

For further information, please refer to the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices release, online at http://www.federalreserve.gov/boarddocs/SnLoanSurvey/.

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

For further information, please refer to the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices release, online at http://www.federalreserve.gov/boarddocs/SnLoanSurvey/.

For further information, please refer to the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices release, online at http://www.federalreserve.gov/boarddocs/SnLoanSurvey/.

For further information, please refer to the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices release, online at http://www.federalreserve.gov/boarddocs/SnLoanSurvey/.

For further information, please refer to the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices release, online at http://www.federalreserve.gov/boarddocs/SnLoanSurvey/.

For further information, please refer to the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices release, online at http://www.federalreserve.gov/boarddocs/SnLoanSurvey/.

For further information, please refer to the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices release, online at http://www.federalreserve.gov/boarddocs/SnLoanSurvey/.

For further information, please refer to the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices release, online at http://www.federalreserve.gov/boarddocs/SnLoanSurvey/.

For further information, please refer to the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices release, online at http://www.federalreserve.gov/boarddocs/SnLoanSurvey/.

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

This data series is part of the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices (SLOOS). The purpose of the survey is to provide qualitative and limited quantitative information on bank credit availability and loan demand, as well as on evolving developments and lending practices in the U.S. loan markets. A portion of each survey typically covers special topics of timely interest. For more detail, refer to the Board's supporting statement (https://www.federalreserve.gov/data/sloos/about.htm).

For further information, please refer to the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices release, online at http://www.federalreserve.gov/boarddocs/SnLoanSurvey/.

For further information, please refer to the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices release, online at http://www.federalreserve.gov/boarddocs/SnLoanSurvey/.

For further information, please refer to the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices release, online at http://www.federalreserve.gov/boarddocs/SnLoanSurvey/.

For further information, please refer to the Board of Governors of the Federal Reserve System's Senior Loan Officer Opinion Survey on Bank Lending Practices release, online at http://www.federalreserve.gov/boarddocs/SnLoanSurvey/.

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 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 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. <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.

Sahm Recession Indicator signals the start of a recession when the three-month moving average of the national unemployment rate (U3) (https://fred.stlouisfed.org/series/UNRATE) rises by 0.50 percentage points or more relative to the minimum of the three-month averages from the previous 12 months.

Sahm Recession Indicator signals the start of a recession when the three-month moving average of the national unemployment rate (U3) (https://fred.stlouisfed.org/series/UNRATE) rises by 0.50 percentage points or more relative to the minimum of the three-month averages from the previous 12 months. This indicator is based on "real-time" data, that is, the unemployment rate (and the recent history of unemployment rates) that were available in a given month. The BLS revises the unemployment rate each year at the beginning of January, when the December unemployment rate for the prior year is published. Revisions to the seasonal factors can affect estimates in recent years. Otherwise the unemployment rate does not revise.

This index measures the probability that the U.S. economy was in a recession during the indicated quarter. It is based on a mathematical description of the way that recessions differ from expansions. The index corresponds to the probability (measured in percent) that the underlying true economic regime is one of recession based on the available data. Whereas the NBER business cycle dates are based on a subjective assessment of a variety of indicators that may not be released until several years after the event, this index is entirely mechanical, is based solely on currently available GDP data and is reported every quarter. Due to the possibility of data revisions and the challenges in accurately identifying the business cycle phase, the index is calculated for the quarter just preceding the most recently available GDP numbers. Once the index is calculated for that quarter, it is never subsequently revised. The value at every date was inferred using only data that were available one quarter after that date and as those data were reported at the time. If the value of the index rises above 67% that is a historically reliable indicator that the economy has entered a recession. Once this threshold has been passed, if it falls below 33% that is a reliable indicator that the recession is over. For more information about this series visit http://econbrowser.com/recession-index.

BEA Account Code: A822RJ For more information about this series, please see http://www.bea.gov/national/.

BEA Account Code: A825RZ For more information about this series, please see http://www.bea.gov/national/.

BEA Account Code: A862RZ For more information about this series, please see http://www.bea.gov/national/.

BEA Account Code: A823RZ For more information about this series, please see http://www.bea.gov/national/.

BEA Account Code: A829RS For more information about this series, please see http://www.bea.gov/national/.