Federal Reserve Bank of St. Louis
02/18/2026 | Press release | Distributed by Public on 02/18/2026 09:50
FRED Expands AD&Co U.S. Mortgage High Yield Index Data
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FRED Expands AD&Co U.S. Mortgage High Yield Index Data
Posted on February 18, 2026
FRED has added 5 new series to its Andrew Davidson & Co., Inc. (AD&Co) U.S. Mortgage High Yield Index release.
The index tracks the total return of the bonds issued within the credit risk transfer (CRT) programs of Fannie Mae and Freddie Mac. It is an informational, investment-oriented monthly index of the return components of bonds: price, coupon, paydown, and credit loss. In combination with other standard risk metrics, the index is useful for comparing relative value with individual CRT bonds and with debt instruments in other credit markets.
The new data additions show the spread of the index values over the risk-free rate, according to the risk profile of the bonds. More details are available here.
Posted in FRED Announcements
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