The Federal National Mortgage Association, commonly known as Fannie Mae, was created by the U.S. congress in 1938, in order to maintain liquidity and stability in the domestic mortgage market. The company is a government-sponsored enterprise (GSE), meaning that while it was a publicly traded company for most of its history, it was still supported by the federal government. While there is no legally binding guarantee of shares in GSEs or their securities, it is generally acknowledged that the U.S. government is highly unlikely to let these enterprises fail. Due to these implicit guarantees, GSEs are able to access financing at a reduced cost of interest. Fannie Mae's main activity is the purchasing of mortgage loans from their originators (banks, mortgage brokers etc.) and packaging them into mortgage-backed securities (MBS) in order to ease the access of U.S. homebuyers to housing credit. The early 2000s U.S. mortgage finance boom During the early 2000s, Fannie Mae was swept up in the U.S. housing boom which eventually led to the financial crisis of 2007-2008. The association's stated goal of increasing access of lower income families to housing finance coalesced with the interests of private mortgage lenders and Wall Street investment banks, who had become heavily reliant on the housing market to drive profits. Private lenders had begun to offer riskier mortgage loans in the early 2000s due to low interest rates in the wake of the "Dot Com" crash and their need to maintain profits through increasing the volume of loans on their books. The securitized products created by these private lenders did not maintain the standards which had traditionally been upheld by GSEs. Due to their market share being eaten into by private firms, however, the GSEs involved in the mortgage markets began to also lower their standards, resulting in a 'race to the bottom'. The fall of Fannie Mae The lowering of lending standards was a key factor in creating the housing bubble, as mortgages were now being offered to borrowers with little or no ability to repay the loans. Combined with fraudulent practices from credit ratings agencies, who rated the junk securities created from these mortgage loans as being of the highest standard, this led directly to the financial panic that erupted on Wall Street beginning in 2007. As the U.S. economy slowed down in 2006, mortgage delinquency rates began to spike. Fannie Mae's losses in the mortgage security market in 2006 and 2007, along with the losses of the related GSE 'Freddie Mac', had caused its share value to plummet, stoking fears that it may collapse. On September 7th 2008, Fannie Mae was taken into government conservatorship along with Freddie Mac, with their stocks being delisted from stock exchanges in 2010. This act was seen as an unprecedented direct intervention into the economy by the U.S. government, and a symbol of how far the U.S. housing market had fallen.

United States Fannie Mae: Year to Date: Risk Management Derivatives: Net Contractual Interest Expense on Interest-Rate Swaps data was reported at -218.000 USD mn in Mar 2025. This records an increase from the previous number of -964.000 USD mn for Dec 2024. United States Fannie Mae: Year to Date: Risk Management Derivatives: Net Contractual Interest Expense on Interest-Rate Swaps data is updated quarterly, averaging -450.000 USD mn from Dec 2011 (Median) to Mar 2025, with 51 observations. The data reached an all-time high of 16.000 USD mn in Dec 2021 and a record low of -2.187 USD bn in Dec 2011. United States Fannie Mae: Year to Date: Risk Management Derivatives: Net Contractual Interest Expense on Interest-Rate Swaps data remains active status in CEIC and is reported by Federal National Mortgage Association. The data is categorized under Global Database’s United States – Table US.EB121: Derivatives Fair Value Gains or Losses: Federal National Mortgage Association, Fannie Mae.

Graph and download economic data for 15-Year Fixed Rate Mortgage Average in the United States (MORTGAGE15US) from 1991-08-30 to 2025-11-26 about 15-year, mortgage, fixed, interest rate, interest, rate, and USA.

View weekly updates and historical trends for 30 Year Mortgage Rate. from United States. Source: Freddie Mac. Track economic data with YCharts analytics.

Fannie Mae and Freddie Mac Loan-Level Dataset

Borrower Demographics, Loan-to-Value Ratios, and Census Tract Location

By Natarajan Krishnaswami [source]

About this dataset

The FHFA Public Use Databases provide an unprecedented look into the flow of mortgage credit and capital in America's communities. With detailed information about the income, race, gender and census tract location of borrowers, this database can help lenders, planners, researchers and housing advocates better understand how mortgages are acquired by Fannie Mae and Freddie Mac.

This data set includes 2009-2016 single-family property loan information from the Enterprises in combination with corresponding census tract information from the 2010 decennial census. It allows for greater granularity in examining mortgage acquisition patterns within each MSA or county by combining borrower/property characteristics, such as borrower's race/ethnicity; co-borrower demographics; occupancy type; Federal guarantee program (conventional/other versus FHA-insured); age of borrowers; loan purpose (purchase, refinance or home improvement); lien status; rate spread between annual percentage rate (APR) and average prime offer rate (APOR); HOEPA status; area median family income and more.

In addition to demographic data on borrowers and properties, this dataset also provides insight into affordability metrics such as median family incomes at both the MSA/county level as well as functional owner occupied bankrupt tracts using 2010 Census based geography while taking into account American Community Survey estimates available at January 1st 2016. This allows us to calculate metrics that are important for assessing inequality such as tract income ratios which measure what portion of an area’s median family income is made up by a single borrows earnings or the ratio between borrows annual income compared to an area’s average median family iincome for those year’s reporting period. Finally each record contains Enterprise Flags associated with whether loans were purchased my Fannie Mae or Freddie Mac indicating further insights regarding who is financing policies affecting undocumented immigrant labor access as well affordable housing legislation targeted towards first time home buyers

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For more datasets, click here.

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How to use the dataset

This guide will provide you with all the information needed to use the Fannie Mae and Freddie Mac Loan-Level Dataset for 2016. The dataset contains loan-level data for both Fannie Mae and Freddie Mac, including loans acquired in 2016. It includes details such as homeowner demographics, loan-to-value ratio, census tract location, and affordability of mortgage.

The first step to using this dataset is understanding how it is organized. There are 38 fields that make up the loan level data set, making it easy to understand what is being looked at. For each field there is a description of what the field represents and potential values it can take on (i.e., if it’s an integer or float). Having an understanding of the different fields will help when querying certain data points or comparing/contrasting.

Once you understand what type of information is available in this dataset you can start to create queries or visualizations that compare trends across Fannie Mae & Freddie Mac loans made in 2016. Depending on your interest areas such as homeownership rates or income disparities certain statistics may be pulled from the dataset such as borrower’s Annual Income Ratio per area median family income by state code or a comparison between Race & Ethnicity breakdown between borrowers and co-borrowers from various states respective MSAs, among other possibilities based on your inquiries . Visualizations should then be created so that clear comparisons and contrasts could be seen more easily by other users who may look into this same dataset for additional insights as well .

After creating queries/visualization , you can dive deeper into research about corresponding trends & any biases seen within these datasets related within particular racial groupings compared against US Postal & MSA codes used within the 2010 Census Tract locations throughout the US respectively by further utilizing publicly available research material that looks at these subjects with regards housing policies implemented through out years one could further draw conclusions depending on their current inquiries

Research Ideas

• Use the dataset to analyze borrowing patterns based on race, nationality and gender, to better understand the links between minority groups and access to credit...

The global Mortgage-Backed Security market is poised for robust growth, with its market size projected to reach XX million in 2033, driven by a CAGR of XX% during the forecast period 2025-2033. Key drivers fueling this growth include increasing demand for residential and commercial mortgages, government support for housing markets, and the ongoing trend of securitization. However, factors such as rising interest rates, economic uncertainties, and regulatory challenges may pose restraints to market expansion. The market is segmented into types (commercial MBS, residential MBS) and applications (commercial banks, real estate enterprises, trust plans). Residential MBS dominate the market due to the high demand for home loans. Prominent players in the market include Construction Bank, ICBC, and Bank of China, among others. North America and Asia Pacific are expected to be key regional markets, with the US, China, and India driving growth. The study period for this analysis is 2019-2033, with the base year being 2025 and the forecast period extending from 2025 to 2033. Mortgage-backed securities (MBS) are financial instruments that are backed by a pool of mortgages. They are typically issued by government-sponsored enterprises (GSEs) such as Fannie Mae and Freddie Mac, but can also be issued by private banks and investment firms. MBS offer investors a way to invest in the housing market without having to purchase a physical property.

Graph and download economic data for Delinquency Rate on Single-Family Residential Mortgages, Booked in Domestic Offices, All Commercial Banks (DRSFRMACBS) from Q1 1991 to Q3 2025 about domestic offices, delinquencies, 1-unit structures, mortgage, family, residential, commercial, domestic, banks, depository institutions, rate, and USA.

The Federal Housing Finance Agency (FHFA) is an independent regulatory agency that is not part of the Department of Housing and Urban Development (HUD).

The FHFA was established by the Housing and Economic Recovery Act of 2008 (HERA) and is responsible for the effective supervision, regulation, and housing mission oversight of Fannie Mae, Freddie Mac (the Enterprises), Common Securitization Solutions, LLC (CSS), and the Federal Home Loan Bank System, which includes the 11 Federal Home Loan Banks (FHLBanks) and the Office of Finance. Since 2008, FHFA has also served as conservator of Fannie Mae and Freddie Mac.

Conforming Loan Limits are mortgage limits set annually (as required by HERA) by the FHFA. In order for a mortgage loan to be eligible to be insured by Freddie Mac or Fannie Mae, the loan amount must be less than the loan limit. Mortgage exceeding the Conforming Loan Limit are referred to as "non-conforming loans" or "jumbo loans." While most counties use a single set of Conforming Loan Limits based on the number of units, high cost of living counties use higher Conforming Loan Limits. The FHFA analyzes year-over-year change in average home prices in October of each year using the Monthly Interest Rate Survey (MIRS) to adjust the Conforming Loan Limits for the upcoming year.

Geospatial data in this feature service uses the Census 2010 County geographies.

To learn more about about the FHFA, please visit:https://www.fhfa.gov/AboutUs



For more information about FHFA Conforming Loan Limits, please visit:https://www.fhfa.gov/DataTools/Downloads/Pages/Conforming-Loan-Limits.aspx

Date of Coverage: 2022

Date Updated: Annually

Data Dictionary:DD_FHFA Conforming Loan Limits

Agency MBS Market Outlook

According to our latest research, the global Agency MBS market size reached USD 9.8 trillion in 2024, with a robust compound annual growth rate (CAGR) of 5.1% observed over the past year. The market is expected to grow steadily, reaching an estimated USD 15.7 trillion by 2033, driven by factors such as heightened investor demand for stable fixed-income instruments, evolving regulatory frameworks, and ongoing innovation in mortgage-backed securities structuring. As per our latest research, the Agency MBS market is witnessing significant momentum due to its perceived safety, liquidity, and the continued support from government-sponsored enterprises (GSEs).

One of the primary growth factors for the Agency MBS market is the persistent demand for yield in a low-interest-rate environment. Institutional investors, including pension funds, insurance companies, and asset managers, are increasingly allocating capital to Agency MBS due to their attractive risk-adjusted returns and implicit government backing. The market’s resilience during periods of economic uncertainty further enhances its appeal, with investors seeking the safety net provided by Ginnie Mae, Fannie Mae, and Freddie Mac. Additionally, the ongoing expansion of the global middle class and rising homeownership rates, particularly in North America and Asia Pacific, are fueling the origination of underlying mortgages, thereby expanding the pool of eligible assets for securitization.

Technological advancements and digitalization are also playing a pivotal role in the Agency MBS market’s growth trajectory. Enhanced data analytics, automated underwriting processes, and blockchain-based securitization platforms are improving transparency, efficiency, and risk assessment in the mortgage origination and securitization value chain. These innovations are not only reducing operational costs but also enabling more granular risk segmentation and tailored product offerings. Moreover, regulatory reforms aimed at increasing market stability—such as stricter capital requirements and enhanced disclosure standards—are fostering greater investor confidence and participation, particularly among global institutional investors seeking diversification.

Another key driver is the evolving regulatory and macroeconomic landscape. The proactive involvement of central banks, especially the U.S. Federal Reserve, in purchasing Agency MBS as part of quantitative easing programs has provided a significant liquidity buffer and compressed spreads, making these securities even more attractive. Furthermore, the gradual normalization of monetary policy is expected to create new opportunities for active portfolio management and trading strategies within the Agency MBS space. The combination of strong government support, robust investor demand, and continuous product innovation is positioning the Agency MBS market for sustained growth over the forecast period.

Regionally, North America continues to dominate the Agency MBS market, accounting for over 70% of global issuance in 2024, driven by the deep and liquid U.S. secondary mortgage market, strong regulatory oversight, and the presence of major GSEs. Europe and Asia Pacific are emerging as growth frontiers, with increasing adoption of securitization frameworks and rising cross-border investment flows. While Latin America and the Middle East & Africa currently represent smaller shares, ongoing financial sector reforms and efforts to deepen local capital markets are expected to provide new growth avenues in these regions. Overall, the global Agency MBS market is characterized by a dynamic interplay of macroeconomic, regulatory, and technological factors, underpinning its long-term growth outlook.

Product Type Analysis

The Agency MBS market is broadly segmented by product type into Pass-Throughs, Collateralized Mortgage Obligations (CMOs), Stripped MBS, and Others. Pass-Through securities remain the dominant product type, accounting for appr

The minimum equity required for rate and term conventional refinance

The size of the Mortgage Lending Market was valued at USD 1.58 Billion in 2023 and is projected to reach USD 2.89 Billion by 2032, with an expected CAGR of 9.00% during the forecast period. Key drivers for this market are: Digital platforms and AI-driven credit assessments have simplified the application process, improving accessibility and borrower experience. Potential restraints include: Fluctuations in interest rates significantly impact borrowing costs, affecting loan demand and affordability. Notable trends are: The adoption of online portals and mobile apps is transforming the mortgage process with faster approvals and greater transparency.

Agency MBS Market Outlook

According to our latest research, the global Agency MBS (Mortgage-Backed Securities) market size reached USD 9.3 trillion in 2024, reflecting the robust demand for securitized mortgage assets worldwide. The Agency MBS market is expected to expand at a CAGR of 4.2% from 2025 to 2033, with the market forecasted to reach USD 13.3 trillion by 2033. This growth is driven by the increasing appetite for fixed-income securities among institutional investors, ongoing government support for housing finance, and the evolution of risk management strategies in the global financial ecosystem.

One of the primary growth factors for the Agency MBS market is the consistent demand for safe, liquid, and yield-generating assets in a low-interest-rate environment. Agency MBS, backed by government-sponsored enterprises (GSEs) such as Fannie Mae, Freddie Mac, and Ginnie Mae, offer investors a unique blend of credit risk mitigation and attractive returns compared to other fixed-income instruments. The explicit or implicit government guarantee associated with these securities further enhances their appeal, particularly during periods of economic uncertainty. Additionally, the expansion of mortgage lending and refinancing activity, especially in developed markets, has fueled the supply of new Agency MBS, supporting market growth.

Another significant driver is the evolving regulatory landscape that encourages financial institutions to hold high-quality liquid assets (HQLA) for capital adequacy and risk management purposes. Agency MBS are typically classified as HQLA under Basel III regulations, making them a preferred choice for banks and other financial institutions seeking to optimize their balance sheets. Moreover, technological advancements in securitization, data analytics, and trading platforms have improved transparency, efficiency, and accessibility in the Agency MBS market, attracting a broader range of investors, including retail participants and non-traditional asset managers.

The diversification of investor profiles and the globalization of capital flows have also contributed to the expansion of the Agency MBS market. International investors, sovereign wealth funds, and central banks are increasingly allocating capital to Agency MBS as part of their portfolio diversification and risk-adjusted return strategies. This influx of global capital has enhanced market liquidity and depth, while also fostering innovation in product structures and risk transfer mechanisms. Furthermore, the growing recognition of Agency MBS as a tool for macroprudential policy and monetary operations by central banks underscores their strategic importance in the global financial system.

From a regional perspective, North America continues to dominate the Agency MBS market, accounting for the majority of issuance, trading volume, and investor participation. The United States, in particular, benefits from a mature mortgage finance system, strong regulatory oversight, and the presence of major GSEs. However, other regions such as Europe and Asia Pacific are witnessing steady growth, driven by financial market development, regulatory harmonization, and increasing cross-border investment flows. The regional dynamics are further influenced by macroeconomic factors, housing market trends, and government policies aimed at supporting homeownership and financial stability.

Product Type Analysis

The Agency MBS market is segmented by product type into Residential MBS, Commercial MBS, Collateralized Mortgage Obligations (CMOs), and Pass-Through Securities. Residential MBS remain the largest segment, underpinned by the substantial volume of residential mortgage loans originated and securitized by GSEs. These securities are widely regarded as a cornerstone of the fixed-income market, providing investors with exposure to the U.S. housing market and a steady stream of principal and interest payments. The standardized nature and government backing of residential MBS contribute to their high liquidity and low credit risk profile, making them a staple in institutional portfolios.

Commercial MBS, while smaller in scale compared to their residential counterparts, have gained prominence as institutional investors seek diversification across property types and geographic locations. These securities are backed by income-generating commercial real estate assets such as office buildings, shopping centers

Residential Mortgage-Backed Securities (RMBS) Market Outlook

According to our latest research, the global Residential Mortgage-Backed Securities (RMBS) market size reached USD 2.38 trillion in 2024, demonstrating robust activity across primary and secondary markets. The RMBS market is expected to expand at a CAGR of 6.1% during the forecast period, with the total market value projected to reach USD 4.06 trillion by 2033. Key growth drivers include ongoing demand for housing finance, the resurgence of securitization activity in developed economies, and evolving investor appetite for diversified fixed-income products.

The growth trajectory of the RMBS market is fundamentally underpinned by the sustained demand for residential mortgage loans globally. As homeownership remains a core aspiration in both developed and emerging economies, financial institutions continue to originate large volumes of residential mortgages. Securitizing these loans into RMBS allows lenders to recycle capital, manage risk exposure, and meet regulatory requirements. Additionally, the low-interest-rate environment seen in many regions during the last decade has spurred refinancing activity and increased the volume of eligible mortgages for securitization. These macroeconomic factors, coupled with supportive government policies in several key markets, have contributed to the steady expansion of the RMBS landscape.

Another significant growth factor is the rising sophistication and risk appetite among institutional investors. With traditional fixed-income yields remaining compressed, RMBS offer an attractive risk-return profile, particularly for pension funds, insurance companies, and asset managers seeking higher yields without exposing themselves to excessive credit risk. The development of advanced credit rating methodologies and enhanced transparency in RMBS structures have further bolstered investor confidence. Moreover, the diversification of RMBS products, including the expansion of non-agency RMBS and the inclusion of green and social housing mortgages, is broadening the investor base and driving incremental demand in global capital markets.

Technological advancements and regulatory reforms are also shaping the RMBS marketÂ’s growth. Automation in loan origination, servicing, and securitization processes has improved operational efficiency and reduced transaction costs. Simultaneously, regulatory bodies have implemented stricter disclosure and risk retention requirements post-2008, enhancing the resilience and credibility of the market. These measures have not only restored investor trust but have also attracted new participants, including non-bank financial institutions and fintech platforms. As a result, the RMBS market is witnessing heightened innovation in structuring and distribution, further fueling its upward momentum.

Regionally, North America continues to dominate the RMBS market, accounting for the largest share due to the sheer scale of the U.S. mortgage industry and the presence of government-sponsored enterprises (GSEs) like Fannie Mae and Freddie Mac. Europe is also witnessing renewed activity, particularly in the UK and Germany, as regulatory clarity and investor confidence return. Meanwhile, the Asia Pacific region is emerging as a high-growth market, driven by rapid urbanization, expanding middle-class populations, and increasing mortgage penetration in countries such as China, Australia, and Japan. Latin America and the Middle East & Africa, while smaller in scale, are showing promising signs of growth as financial systems mature and housing finance markets develop.

In parallel to the Residential Mortgage-Backed Securities market, the Commercial Mortgage-Backed Securities (CMBS) sector is also experiencing notable growth. CMBS are securities backed by commercial real estate loans, and they play a crucial role in providing liquidity to the commercial real estate market. This market is driven by the demand for financing in sectors such as office spaces, retail centers, and industrial properties. As economies recover and commercial real estate markets stabilize, the CMBS market is expected to see increased issuance and investor interest. The diversification of commercial property types and the development of innovative financing structures are further enhancing the attractiveness of CMBS to

Mortgage-Backed Securities Market Outlook

According to our latest research, the global Mortgage-Backed Securities (MBS) market size reached USD 12.8 trillion in 2024, with a compound annual growth rate (CAGR) of 5.1% from 2025 to 2033. The market is expected to grow steadily, reaching a forecasted value of USD 20.1 trillion by 2033, driven by increasing demand for diversified investment instruments, ongoing government support for housing finance, and the robust expansion of secondary mortgage markets worldwide. This growth reflects a combination of strong investor appetite for fixed-income assets and continued innovation in securitization structures, as per our most recent research findings.

A major growth factor shaping the Mortgage-Backed Securities market is the persistent global demand for yield-generating assets in a low-interest-rate environment. Institutional investors, such as pension funds and insurance companies, are increasingly allocating capital to MBS products to secure stable, long-term returns. This trend is further amplified by the relative stability of mortgage payments compared to other forms of debt, making MBS an attractive asset class for risk-averse investors. Additionally, the standardization and transparency of MBS structures have improved significantly over the past decade, restoring investor confidence and facilitating greater market participation. The integration of advanced analytics and risk management tools has also played a crucial role in enhancing the assessment of underlying mortgage pools, thereby reducing perceived risk and encouraging further investment.

Technological advancements and regulatory reforms have also been pivotal in accelerating the growth of the Mortgage-Backed Securities market. The adoption of blockchain, artificial intelligence, and big data analytics in the securitization process has led to improved efficiency, transparency, and accuracy in the origination and servicing of mortgage loans. These innovations have enabled market participants to better manage credit risk, streamline due diligence, and enhance the overall liquidity of MBS instruments. Furthermore, post-2008 regulatory measures, such as the implementation of Basel III and Dodd-Frank Act provisions, have strengthened the resilience of the MBS ecosystem by introducing stricter capital requirements and greater transparency. These measures have not only mitigated systemic risks but also attracted a broader spectrum of investors, including those previously wary of mortgage-backed instruments.

Global macroeconomic trends, including urbanization, rising homeownership rates, and expanding real estate markets, are fueling the underlying mortgage origination volumes that support the MBS market. Emerging economies, particularly in Asia Pacific and Latin America, are witnessing rapid growth in residential and commercial property markets, creating new opportunities for the securitization of mortgage assets. In developed markets such as North America and Europe, the ongoing evolution of housing finance systems and increased government intervention through agencies like Fannie Mae, Freddie Mac, and the European Central Bank have provided further impetus to MBS issuance. This sustained growth in mortgage origination and securitization activity is expected to underpin the long-term expansion of the global MBS market.

Regionally, North America continues to dominate the Mortgage-Backed Securities market, accounting for the largest share due to its mature housing finance infrastructure and the presence of prominent government-sponsored enterprises. However, Europe and Asia Pacific are rapidly gaining traction, propelled by regulatory harmonization, financial innovation, and the increasing involvement of private institutions. In Latin America and the Middle East & Africa, the market is at a nascent stage but is projected to grow at a faster pace over the coming years, supported by financial sector reforms and rising demand for alternative investment products. This regional diversification is expected to further enhance the stability and resilience of the global MBS market.

Security Type Analysis

The Mortgage-Backed Securities market is segmented by security type into Residential MBS, Commercial MBS, Collateralized Mortgage Obligations (CMOs), and Others. Among these, Residential Mortgage-Backed Securities (RMBS) represent the largest segment, driven by the sheer volume of residential

Lender Type Loan Size CLTV Interest Rate Total Loan Costs BPS Monthly Payment (HMDA) Totals $315,000 69.40% 6.863% 158 $2,081 MBS of state member bank $305,000 69.80% 6.99% 197 $1,989 Bank $255,000 63.30% 6.875% 140 $1,697 Affiliate of a depository $210,000 63.00% 6.875% 165 $1,353 Independent $345,000 70.70% 6.75% 165 $2,266 Credit Union $265,000 62.10% 6.75% 132 $1,711 MBS of bank holding company $315,000 69.55% 6.688% 141 $2,045 Filters : Year: 2024 / Action Type: Originations / Open-End LOC: Closed / Business or Commercial Purpose: Not for Business Purpose / Loan Term: 360 / Interest Rate: 9280 of 16711 / ARM/FRM: FRM / Loan Purpose: Refi / Occupancy Type: Primary Residence / Lien Status: First Lien / Purchaser Type: Fannie Mae, Freddie Mac / Construction Method: Site-built

this graph was created in PowerBI,Loocker Studio and Tableau :

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Components may not sum to totals because of rounding. 1. Includes securities lent to dealers under the overnight securities lending facility; refer to table 1A. 2. Face value of the securities. 3. Compensation that adjusts for the effect of inflation on the original face value of inflation-indexed securities. 4. Guaranteed by Fannie Mae, Freddie Mac, and Ginnie Mae. The current face value shown is the remaining principal balance of the securities. 5. Reflects the premium or discount, which is the difference between the purchase price and the face value of the securities that has not been amortized. For U.S. Treasury securities, Federal agency debt securities, and mortgage-backed securities, amortization is on an effective-interest basis. 6. Cash value of agreements. 7. Includes outstanding loans to depository institutions that were subsequently placed into Federal Deposit Insurance Corporation (FDIC) receivership, including depository institutions established by the FDIC. The Federal Reserve Banks' loans to these depository institutions are secured by pledged collateral and the FDIC provides repayment guarantees. 8. Includes assets purchased pursuant to terms of the credit facility and amounts related to Treasury contributions to the facility. Refer to note on consolidation below. 9. Dollar value of foreign currency held under these agreements valued at the exchange rate to be used when the foreign currency is returned to the foreign central bank. This exchange rate equals the market exchange rate used when the foreign currency was acquired from the foreign central bank. 10. Includes bank premises, accrued interest, and other accounts receivable. 11. Revalued daily at current foreign currency exchange rates. 12. Estimated. 13. Cash value of agreements, which are collateralized by U.S. Treasury securities, federal agency debt securities, and mortgage-backed securities 14. Includes deposits held at the Reserve Banks by international and multilateral organizations, government-sponsored enterprises, designated financial market utilities, and deposits held by depository institutions in joint accounts in connection with their participation in certain private-sector payment arrangements. Also includes certain deposit accounts other than the U.S. Treasury, General Account, for services provided by the Reserve Banks as fiscal agents of the United States. 15. Book value. Amount of equity investments in MS Facilities 2020 LLC. 16. Includes the liability for earnings remittances due to the U.S. Treasury. Sources: Federal Reserve Banks and the U.S. Department of the Treasury

Price-To-Cashflow-Ratio Time Series for Dynex Capital Inc. Dynex Capital, Inc., a mortgage real estate investment trust, invests in mortgage-backed securities (MBS) in the United States. It invests in agency MBS consisting of residential MBS and commercial MBS (CMBS); and agency and non-agency CMBS interest-only securities. Agency MBS have a guaranty of principal payment by an agency of the U.S. government or a U.S. government-sponsored entity, such as Fannie Mae and Freddie Mac. Non-Agency MBS do not have a guaranty of principal or interest payments. The company has qualified as a real estate investment trust for federal income tax purposes. It generally would not be subject to federal income taxes if it distributes at least 90% of its taxable income to its shareholders. Dynex Capital, Inc. was incorporated in 1987 and is headquartered in Glen Allen, Virginia.