Market consultation

FTSE Fixed Income Client
Consultation
Securitized products

ftserussell.com

May 2018

FTSE Fixed Income Client Consultation
Securitized products
Introduction
FTSE Russell is committed to enhancing the strength of our multi-asset benchmark franchise, which notably
includes the recent addition of the Citi Fixed Income Index business. It is FTSE Russell’s belief thatcomprehensive client engagement and market education play an important role in evolving and developing
our product offering. As part of our commitment to ensuring that our benchmarks remain representative of themarkets they are intended to track and continue to address the needs of index users, we would like to consult
with market participants on several topics related to the securitized products market. In particular, we would
like to solicit feedback as it relates to how our mortgage benchmarks reflect the evolution of the agency
mortgage backed securities market and client interest in our development agenda.
The feedback received from this consultation will assist FTSE Russell in making any final decisions related tothe topics considered. We value your input and participation.

Responding to the Consultation
The proposals set out in this consultation document are included in order to gather feedback and may or
may not result in changes to FTSE Fixed Income Index rules.
Please submit your response to the questions included in this consultation online athttps://www.surveymonkey.co.uk/r/MSRXPW7
The consultation will close on June 30. All responses will be treated as confidential. FTSE Russell may
publish a summary of the consultation results, but no individual responses will be published and no
respondents will be named.
If you have any questions about this survey, or if you encounter any technical issues, please contact
rpawson@ftserusssell.com.

FTSE Russell | FTSE Fixed Income Securitized Products Market Consultation –- 2018

2

Background
Securitized products, which pool cash flows to create investable financial instruments, are a large andimportant component of the investment choice set for a fixed income manager. Market participants require
benchmarks to accurately represent this asset class, as well as complementary analytics to assess theirrelative value and future cash flows. To consider how our benchmarks reflect the evolution and expansion ofthese asset types, FTSE Russell would like to formally consult with market participants around a number of
topics related to our coverage for securitized products.
In particular, as part of our commitment to ensure that the FTSE US Broad Investment-Grade (USBIG®)
Mortgage Index remains representative of the agency mortgage backed pass through market, we would like toreview its methodology and inclusion rules with index users, as well as consider how its design may evolvewith the implementation of the Federal Housing Finance Agency’s Single Security Initiative.

FTSE USBIG Mortgage Index Methodology
The mortgage component of the FTSE USBIG Index tracks 15- and 30-year pass-through mortgage backed
securities (MBS) guaranteed by Freddie Mac, Fannie Mae and Ginnie Mae. The index is represented byorigination year “cohorts”, which are constructed by grouping together thousands of individual, settled MBS
pass-through pools by agency, term, coupon and origination year. Each origination year cohort must meet thefollowing criteria to qualify for index inclusion:•

Coupon: fixed-rate; hybrid ARMs are not eligible.

•

Maturity: minimum 1 year, based on weighted average loan age (WALA).

•

Issue size: minimum $1 billion amount outstanding per origination year cohort when a coupon cohort
has a minimum $5 billion outstanding. Individual cohorts exit the index upon falling below the $1
billion minimum. All cohorts within a given coupon cohort will exit the index upon the coupon cohort
falling below $2.5 billion amount outstanding.

•

Program Type: Freddie Mac, Fannie Mae and Ginnie Mae programs eligible for TBA delivery are included.
Custom pools originated through the Ginnie Mae 2 program are not eligible1. High loan-to-value (LTV) program
pools are excluded.

As part of this consultation, we would like to solicit feedback on the appropriateness of continued program
inclusion based on TBA eligibility, and in particular the continued exclusion of Ginnie Mae 2 custom pools.

Index Rebalancing
The amount outstanding for an origination year cohort is updated on a monthly basis to reflect the most recent“factor” information, which incorporates net new production and pool balances that have paid down. Factor
data captured through the prior month end is updated during the current month to calculate the principal
component of total return for the index and provide preview balances as the index is rebalanced for thefollowing month’s return weighting.

1

Ginnie Mae guarantees MBS through two programs: Ginnie Mae 1 and Ginnie Mae 2, each with a unique TBA contract. Ginnie Mae 1
pools must be originated and administered by a single issuer, who markets all of the related securities. An issuer may participate in the
Ginnie Mae 2 MBS either by issuing custom, single-issuer pools or through participation in the issuance of multiple-issuer pools. Custom
pools are originated and administered by a single-issuer. Multi-issuer pools (MIP) are a single pool in which one or more issuersparticipate. The mortgages submitted by each participating issuer are referred to as a loan package and the combined loan packages areused to back a single issuance of securities. An Issuer that pools a loan package designates at the time of submission that it wishes toparticipate in a multiple Issuer pool, and each issuer originates and is responsible for administering only the package it submits. Custom
pools are not good for TBA delivery into the Ginnie Mae 2 contract.

FTSE Russell | FTSE Fixed Income Securitized Products Market Consultation –- 20183

Float Adjustments
The weights for MBS cohorts in the FTSE USBIG Mortgage Index are not float adjusted, and include bothpools that are held in Collateralized Mortgage Obligations (CMOs) and pools held in the Federal Reserve
System Open Market Account (SOMA). FTSE Russell does offer, however, the FTSE Mortgage FloatAdjusted Index, a float adjusted version of the FTSE USBIG Mortgage Index, which excludes pools backing
CMOs. As of April 2018, $480 billion of pools (by market value) held in CMOs are excluded from the USBIG
Mortgage Float-Adjusted Index, equivalent to 9.7% by market value. Figure 1 shows the sector distribution of
MBS currently tracked by the flagship FTSE USBIG Mortgage Index and the float adjusted version.
Figure 1. FTSE USBIG Mortgage Index vs FTSE Mortgage Float-Adjusted Index(excludes CMO holdings only)
FTSE USBIG
Mortgage Index

FTSE Mortgage
Float-Adjusted Index

Difference

Count

MV

MV%

Count

MV

MV%

30 Year MBS

198

4,358.5

88.4

157

3,903.9

FHLMC

55

919.0

18.6

40

FNMA

69

1,950.1

39.5

GNMA

74

1,489.5

15 Year MBS

59

FHLMC
FNMA
Total

Count

MV

MV%

87.7

-41 -454.6

-0.7

772.7

17.4

-15 -146.3

-1.3

58

1,749.5

39.3-11 -200.6

-0.2

30.2

59

1,381.8

31.0-15 -107.7

0.8

572.8

11.6

58

547.0

12.3

-1

-25.8

0.7

27

191.7

3.9

26

176.4

4.0

-1

-15.3

0.1

32

381.1

7.7

32

370.6

8.3

0

-10.5

0.6

257

4,931.3

100.0

215

4,450.9

100.0-42 -480.4

0.0

Source: FTSE Russell. Data as of April 2018.

We welcome feedback from index users on usage of the float adjusted version and views more generally
towards usability of benchmarks that make these types of adjustments as we look to evolve our product suite.

Index Pricing
As we announced in January 2018, since the acquisition of the Citi Fixed Income Index business, the FTSE index
team has been working to ensure a smooth integration of the benchmark families. In order to ensure
independence of data inputs, we are in the process of undertaking a comprehensive review of all security
prices used as an input in the calculation of these indexes.
MBS cohorts tracked by the index are assigned an index price, which is used to represents thousands of passthrough securities underlying an index-eligible instrument. This price is derived by assigning a pay-up to theassociated TBA based on vintage only, and discounting that price to same day settlement. As part of thisconsultation, FTSE Russell would like to canvass views on pricing methodologies for MBS cohorts with index
users.

FTSE Russell | FTSE Fixed Income Securitized Products Market Consultation –- 2018

4

Single Security Initiative
The Single Security Initiative represents a change to the underlying market structure of the asset class the
FTSE USBIG Mortgage Index is designed to track. Under the direction of the Federal Housing FinanceAgency (FHFA), the Single Security Initiative will create a new, common mortgage-backed security (MBS) to
be issued and guaranteed by either Fannie Mae or Freddie Mac, and backed by fixed-rate 30-, 20-, 15- and10-year single-family mortgage loans. The security will be called the “Uniform MBS” or “UMBS” and will be
issued through the enterprises' joint venture, Common Securitization Solutions (CSS), using the Common
Securitization Platform (CSP). In March 2018, the FHFA announced a June 3, 2019 implementation date for
the Single Security Initiative.
We encourage participants in this consultation to reach out to their contacts at the FHFA, Freddie Mac or
Fannie Mae for full details. Highlighted below are three key considerations of this initiative from a benchmark
perspective:
1. Issuing Entity Post Program Alignment
The single security product will align key components of each enterprise’s current pass-through programs:
Fannie Mae’s mortgage-backed securities (MBS) and Freddie Mac’s Participation Certificates (PCs).
Among a series of features that will be aligned is the payment delay: Freddie Mac PCs currently have a
45 day delay, which will be lengthened for UMBS to align with the Fannie Mae 55 day delay. Post
implementation of the Single Security Initiative, settled UMBS pools that are eligible for index inclusion will
have aligned program features, but continue to have a clearly defined issuing entity as either Freddie Mac
or Fannie Mae.
2. Exchanges of Legacy Freddie Mac Pools
Investors will be allowed to exchange their legacy 45-day delay Freddie Mac PCs for new 55-day delay
UMBS issued by Freddie Mac. The exchange will be non-mandatory and will be initiated at the option of
investors at no fee. Investors will receive compensation for the approximate fair value of 10 days’ delay inpayment. Freddie Mac will use an option–adjusted spread (OAS) valuation method, leveraging models
from dealers and analytics providers, to determine the proposed payments by valuing the difference
between the 45-day delay and 55-day delay securities. FTSE Russell do not anticipate that the index willattempt to capture this payment as part of total return.
3. Evolution of the TBA Market:
The Single Security Initiative will allow for a single TBA contract that Freddie Mac and Fannie Mae UMBS
can be delivered into. Counterparties in a TBA trade will not know the issuing entity of the pools to bedelivered until notification day. Both Fannie Mae and Freddie Mac will use the Fixed Income Clearing
Corporation (FICC) matching, netting, allocation and settlement processes for Fannie Mae (“01F”) for TBA
contracts. Freddie Mac will continue to use the FICC TBA identifier of “02R” for legacy 45-day delay
securities until activity indicates they are no longer needed.
Given its role as a benchmark and analytics provider, FTSE Russell seeks to ensure that it provides thenecessary transparency and tools to facilitate a smooth transition as the Single Security Initiative is
implemented. This also means ensuring that the benchmark remains relevant and representative of theevolved agency mortgage market structure. As part of this consultation, we would like to solicit feedback onuser preferences for UMBS index cohort construction as either separate issuer-specific cohorts or a single
combined cohort for both Freddie Mac and Fannie Mae UMBS pools. We would also like to consider theindex implications for legacy 45-day delay Freddie Mac pools and their exchanges. The future structure of the
TBA market is an important aspect of this review as TBA valuations underpin index cohort prices. Though
TBAs are not index eligible, they are often the investment vehicle used to represent mortgage index
allocations in investment funds and portfolios.

FTSE Russell | FTSE Fixed Income Securitized Products Market Consultation –- 2018

5

FTSE Russell will also be engaging with users of the Yield Book to communicate details around our support of
the Single Security Initiative transition and enhancements to the manner in which MBS are supported throughthis platform as they become available.

Securitized Products Benchmark Development and Innovation
In addition to consulting on the evolution of our existing securitized products benchmarks, we would like tosolicit feedback on future development and innovation as part of this consultation. Customer engagement(along with more practical considerations such as the provision of reference data, analytics support,
availability of pricing, issuance trends, etc.) is vital to setting our development agenda and refining new
methods of benchmark construction and design. We discuss several asset classes in the following section for
consideration as future index products.

Agency Credit Risk Transfer (CRT) Securities
In 2012, the Federal Housing Finance Agency (FHFA) initiated development of a credit risk transfer program
intended to reduce Fannie Mae's and Freddie Mac’s overall risk and, therefore, the risk they pose to taxpayers
while in conservatorship. Although the program allows for credit risk transfers through a number of different
vehicles - including reinsurance transactions, senior-subordinate securitizations, and a variety of lendercollateralized recourse transactions - the majority of risk transfer has been through debt issuances. In these
instances the agencies act as intermediaries rather than guarantors of the debt. Two such programs are theFreddie Mac Structured Agency Credit Risk (STACR) and the Fannie Mae Connecticut Avenue Securities(CAS). We would like to consider these programs as possible candidates for new benchmarks and aresoliciting user views accordingly.
Under both programs, debt notes are unsecured and the principal payments of unguaranteed bonds issued
by the agency are determined by the cash flows on a reference pool of recently acquired single family
mortgages. Freddie Mac and Fannie Mae hold the senior risk, which is unfunded and not issued, and all, or a
portion of, the most junior or first loss portion of the structure. Senior mezzanine and junior mezzanine notes,
which are not guaranteed, are sold to investors. The notes are monthly pay and typically have a 10-year final
maturity for fixed-rate transactions.2 The profile for a universe of securities currently tracked in the Yield Book
portfolio platform can be found in Figure 2.
Figure 2. Agency Credit Risk Transfer Securities Universe
Count

AO
(000’s)MV(000’s)CouponYield

Effective
Duration

SpreadDuration

164

39,28042,207

5.046

3.18

-0.89

3.92

2013 Issuance

6

1,082

1,228

6.368

2.95

-2.05

3.36

2014 Issuance

24

6,367

6,867

4.750

2.71

-1.41

3.47

2015 Issuance

34

7,728

8,459

5.890

3.14

-1.93

3.43

2016 Issuance

58

11,375

12,586

5.687

3.18

-2.30

3.72

2017 Issuance42

12,72913,067

3.997

3.48

1.56

4.73

CAS Deals

68

21,28322,875

5.145

3.23

-1.01

3.87

STACR Deals

96

17,997

19,333

4.930

3.12

-0.75

3.98

SectorCAS/STACR

Source: FTSE Russell. Data as of December 2017.

2

Source: https://www.fhfa.gov/PolicyProgramsResearch/Policy/Pages/Credit-Risk-Transfer.aspx

http://www.fanniemae.com/portal/funding-the-market/credit-risk/conn-ave.html
http://www.freddiemac.com/creditriskofferings/stacr_debt.html

FTSE Russell | FTSE Fixed Income Securitized Products Market Consultation –- 2018

6

Agency Commercial Mortgage Backed Securities (CMBS)
The market for agency CMBS has grown and evolved to include a variety of issuance programs, structuresand bond types. FTSE Russell would like to consider customer interest in a FTSE benchmark that tracks one
or all of the following multifamily securitization products offered by Fannie Mae, Freddie Mac and Ginnie Mae:•

Fannie Mae MBS / DUS: pass-through pools backed by Fannie Mae Delegated Underwriting andServicing (DUS) loans. DUS loans are multifamily mortgages originated by a select set of approved
private lenders who perform “Delegated Underwriting and Servicing” on behalf of Fannie Mae.

•

Fannie Mae GeMS DUS Megas and ACES: DUS Megas are passthrough securities backed bygroups of outstanding MBS/DUS or other GeMS DUS Megas. Fannie Mae ACES are multifamily
REMICs backed by loans originated under Fannie Mae’s DUS origination platform.

•

Freddie Mac K-Certificates•Ginnie Mae Project Loans

In addition to Agency CMBS, we welcome feedback on demand for a standalone benchmark tracking privatelabel CMBS, as well as the appropriateness of inclusion of these security types in broad-market benchmarks,
such as the FTSE USBIG Index.

Fannie Mae Green MBS
As FTSE Russell looks to expand its ESG and green capabilities to fixed income, we are interested inunderstanding the role securitized products play in green bond portfolios. Introduced in 2012, one such green
securitized investment vehicle is Fannie Mae Green MBS; these are issued as multi-family DUS pools. As ofJanuary 2018 there are approximate 1,000 deals that have been issued with $25 billion in outstanding
issuance.
These single asset security deals are generally backed by one loan and one property, providing the investor
insight into both the environmental and financial attributes of the asset. Multi-family properties accessing
Fannie Green Financing must meet at least one of two criteria:
1. Possess a nationally recognized current Green Building Certificate, and/or
2. Make property improvements that target reductions in energy and / or water use.3
By starting to gauge interest in this asset type, we hope to better understand how the investment choice set
for green investors continues to evolve, and how our products can support market innovation.

Alternative Mortgage Index Structure
Since its inception, the FTSE USBIG Mortgage Index has represented the agency MBS market with index
cohorts constructed by aggregating individual pass-through pools based on agency, program, coupon andvintage. As the market has evolved, other characteristics, such as average loan balance and geography, havebecome relevant in the trading of what is referred to as the “specified pool” market. We would like to solicit
feedback from index users on an alternate structure of the index that incorporates additional granularity forspecified pool characteristics. Users of The Yield Book can already view “CMO generics” that are produced incollaboration with the Citi MQA team and provide such additional granularity for specified pools. One potential
benchmark innovation could be to extend this cohort construction structure to form the basis of a moregranular MBS Index; this in turn could lend itself to more sophisticated smart beta type benchmark
construction.

3

Source: https://www.fanniemae.com/multifamily/green-initiative-green-mbs#

FTSE Russell | FTSE Fixed Income Securitized Products Market Consultation –- 20187

Figure 3 provides a sample segmentation for 30-Year Fannie Mae and 30-Year Freddie Mac specified poolsby loan balance, with the buckets defined as follows:•

Low Loan Balance (LLB): average loan balance of less than $85k at origination•

Medium Loan Balance (MLB): average loan balance of between $85k – $110k at origination•

Medium High Loan Balance (MHLB): average loan balance of between $110k – $125k at origination•

High Loan Balance (HLB): average loan balance of between $125k – $150k at origination•

High High Loan Balance (HHLB): average loan balance of between $150k – $175k at origination

Figure 3. Loan Balance Breakout for FNMA and FHLMC 30-Year Universe
Total Cohort
AO
$bn

% Cpn

WTD/ Other
Spec

LLB

MLB

MHLB

HLB

HHLB

AO
$bn % Cpn

AO
$bn % Cpn

AO
$bn % Cpn

AO
$bn % Cpn

AO
$bn % Cpn

AO
$bn % Cpn

30-Year FHLMC
Coupon 2.5

5.7 100.0%

5.5

97.1%

0.0

0.3%

0.0

0.4%

0.0

0.4%

0.1

1.1%

0.0

0.7%

Coupon 3

339.3 100.0%

309.3

91.2%

2.1

0.6%

4.3

1.3%

2.6

0.8%

12.7

3.7%

8.2

2.4%

Coupon 3.5

449.4 100.0%

368.9

82.1%

6.9

1.5%

12.8

2.9%

6.9

1.5%

32.5

7.2%

21.4

4.8%

Coupon 4

254.2 100.0%

181.6

71.4%

8.7

3.4%

13.2

5.2%

6.2

2.4%

28.4

11.2%

16.0

6.3%

Coupon 4.5

90.3 100.0%

61.7

68.4%

5.4

6.0%

6.4

7.1%

2.1

2.3%

10.2

11.3%

4.4

4.9%

Coupon 5

35.1 100.0%

25.6

73.1%

2.0

5.8%

2.3

6.5%

0.5

1.6%

3.8

10.8%

0.8

2.2%

Coupon 5.5

22.4 100.0%

13.2

59.0%

2.4

10.7%

1.9

8.3%

0.7

3.1%

3.6

16.0%

0.7

3.0%

Coupon 6

14.1 100.0%

6.2

44.3%

2.4

17.1%

1.7

12.3%

0.5

3.4%

2.5

17.9%

0.7

5.0%

Coupon 6.5

4.8 100.0%

1.6

32.7%

1.2

24.7%

0.7

13.6%

0.2

5.0%

0.9

18.1%

0.3

5.9%

Coupon 2.5

13.1 100.0%

0.0

0.0%

0.0

0.0%

0.0

0.0%

0.0

0.0%

0.0

0.2%

0.0

0.2%

Coupon 3

497.6 100.0%

454.8

91.4%

3.0

0.6%

6.1

1.2%

3.9

0.8%

16.8

3.4%

13.0

2.6%

Coupon 3.5

675.2 100.0%

556.1

82.3%

10.4

1.5%

19.0

2.8%

10.8

1.6%

48.4

7.2%

30.6

4.5%

Coupon 4443.2 100.0%

314.5

71.0%

15.2

3.4%

23.1

5.2%

11.9

2.7%

50.2

11.3%

28.3

6.4%

Coupon 4.5

153.7 100.0%

99.8

65.0%

9.4

6.1%

11.6

7.5%

5.1

3.3%

19.7

12.8%

8.2

5.3%

Coupon 5

54.9 100.0%

39.4

71.9%

3.5

6.4%

3.6

6.6%

1.3

2.4%

5.5

10.0%

1.5

2.7%

Coupon 5.5

37.7 100.0%

23.6

62.5%

3.9

10.2%

3.4

9.0%

1.0

2.7%

4.7

12.4%

1.2

3.1%

Coupon 6

23.2 100.0%

11.7

50.6%

3.3

14.3%

2.6

11.1%

0.8

3.4%

3.7

15.8%

1.1

4.8%

Coupon 6.5

8.4 100.0%

3.0

36.0%

2.0

24.0%

1.0

12.5%

0.4

4.7%

1.4

16.3%

0.5

6.4%

30-Year FNMA

Source: FTSE Russell. Data as of April 2017.

In addition to loan balance, segmentation is also possible across a number of other pool characteristics suchas servicer, FICO and state / geography. We would look to users for feedback around other specified poolcohorts that we may want to reflect in alternative benchmark designs.

FTSE Russell | FTSE Fixed Income Securitized Products Market Consultation –- 20188

Consultation questions
FTSE USBIG Mortgage Index – Single Security Initiative
The Single Security Initiative will create a new mortgage-backed security to be issued and guaranteed byeither Fannie Mae or Freddie Mac called the “Uniform MBS” or “UMBS.” The single security product will alignkey components of each enterprise’s current pass-through programs: Fannie Mae’s mortgage-backed
securities (MBS) and Freddie Mac’s Participation Certificates (PCs). Among a series of features that will bealigned is the payment delay; Freddie Mac PCs currently have a 45 day delay, which will be lengthened for
UMBS to align with the Fannie Mae 55 day delay. FTSE Russell would like to solicit feedback from index
users as to how to best reflect the transition and reflect the investment opportunity set for agency UMBS
investors.

1. What do you believe is the most appropriate inclusion criterion for legacy 45-day Freddie Mac
pools that are not exchanged into UMBS?
Continue to include the legacy 45-day Freddie Mac pools provided they meet the minimum outstanding
criterion of the index
Continue to include provided the sum of their balance and the adjacent coupon / vintage 55-day delay
UMBS pools’ balance meets the minimum outstanding criterion of the index
Continue to include provided their TBA market exists
Exit immediately at the next month-end post Single Security Initiative implementation
Other
Please enter your comments here:

FTSE Russell | FTSE Fixed Income Securitized Products Market Consultation –- 20189

2. What is your preference for how the FTSE USBIG Mortgage Index cohort construction will reflect
new UMBS issuance?
UMBS issuance from Fannie Mae and Freddie Mac should be tracked by the same cohort
Fannie Mae UMBS and Freddie Mac UMBS should be tracked as separate cohorts by issuer initially(in line with current index construction) but with the option to combine into a single cohort in the future
subject to governance and ongoing review of the market
Other
Please enter your comments here:

3. If Fannie Mae and Freddie Mac UMBS were tracked by the same cohort, what is your preference
for implementation?
Freddie Mac UMBS pools should contribute to existing Fannie Mae cohorts, allowing for time seriescontinuity for Fannie Mae cohorts
Fannie Mae UMBS and Freddie Mac UMBS should be tracked together in an entirely new cohort,which would not comingle Fannie Mae securities issued pre and post Single Security Initiative
implementation
Other
Please enter your comments here:

4. If Fannie Mae UMBS and Freddie Mac UMBS were tracked by separate cohorts, do you believe it
would be appropriate to track legacy 45-day Freddie Mac pools in the same cohort as new issue55-day Freddie Mac UMBS?
Yes
No
Other
Please enter your comments here:

5. How important is it for the index to provide more frequent daily previews of exchanges of Freddie
Mac 45-day PCs for UMBS post implementation?
Extremely important
Helpful, but not required

FTSE Russell | FTSE Fixed Income Securitized Products Market Consultation –- 201810

Not required
Please enter your comments here:

FTSE Russell | FTSE Fixed Income Securitized Products Market Consultation –- 201811

FTSE USBIG Mortgage Index Construction
Two key index design features for the FTSE USBIG Mortgage Index are program eligibility and the float
adjustment of cohort balances. The index currently includes only those programs that are good for TBA
delivery, and does not float adjust holdings to exclude pools backing Collateralized Mortgage Obligations(CMOs).

6. Do you support the existing FTSE USBIG Mortgage Index eligibility requirement that agency MBS
programs be TBA eligible?
Yes, the index should track TBA eligible MBS programs onlyNo, program inclusion should include Ginnie Mae 2 custom pools
No, program inclusion should include Ginnie Mae 2 custom pools, and other programs, such as highLTV programs
Please enter your comments here:

7. The USBIG Mortgage Index includes bonds that back Collateralized Mortgage Obligations (CMOs).
Do you believe the standard index should be float adjusted to exclude pools held in CMOs?
Yes, the flagship index should be float adjusted for CMO holdings
No
Please enter your comments here:

8. If a change were implemented to float adjust the standard FTSE USBIG Mortgage Index for pools
backing CMOs, what amount of lead time would you need?
1 month
3 months
6 months
Other
Please enter your comments here:

9. As FTSE Russell looks to review the sources of index cohort prices, please provide any feedbackon the preferred MBS cohort pricing methodology and sources.
Please enter your comments here:

FTSE Russell | FTSE Fixed Income Securitized Products Market Consultation –- 201812

FTSE Securitized Products Development and Innovation
Please provide your feedback on the extension of securitized products asset class coverage and productinnovation within the FTSE Fixed Income benchmark suite.

10. How interested would you be in a benchmark that tracked Agency Credit Risk Transfer (CRT)
securities?
Very interested, for benchmarking purposes
Very interested, but only for informational purposes
Somewhat interested
Not interested at all
Please enter your comments here:

11. How would you characterize your interest in a benchmark that tracked US Commercial Mortgage
Backed Securities?
High, as a tool for dedicated CMBS or securitized products funds
High, as a way to facilitate broader asset allocation decisions
Somewhat interested, but for informational purposes only
Not interested at all
Please enter your comments here:

12. Which security types do you believe are appropriate for a US Agency Commercial Mortgage
Backed Securities Index? Please select only one option for Fannie Mae to avoid double counting.
Fannie Mae CMBS - GeMS DUS Megas and ACES only
Fannie Mae CMBS - DUS pools only
Freddie Mac K-certificatesGinnie Mae Project Loans
Other / not sure
Please enter your comments here:

FTSE Russell | FTSE Fixed Income Securitized Products Market Consultation –- 201813

13. If your firm has a green bond portfolio, are green securitized products, such as Fannie Mae Green
MBS, part of your investment choice set?
Yes, we currently include securitized products
No, we do not yet invest in securitized products as part of our green bond portfolio, but we are looking
to do so in the near future
No, we do not yet invest in securitized products as part of our green bond portfolio, but we do have agreen bond portfolio or allocation
No, we do not have a green bond fund or allocation
Other / not sure
Please enter your comments here:

14. How would you characterize your interest in an alternative version of the FTSE MBS Index thatused specified pool characteristics such as loan balance in cohort construction in addition toexisting agency, coupon and vintage characteristics?
Very interested, as a replacement for the mortgage component of a broad-based index
Very interested, to incorporate as part of a smart beta design
Somewhat interested, but for informational purposes
Not interested at all
Please enter your comments here:

FTSE Russell | FTSE Fixed Income Securitized Products Market Consultation –- 201814

For more information about our indexes, please visit ftserussell.com.
© 2018 London Stock Exchange Group plc and its applicable group undertakings (the “LSE Group”). The LSE Group includes (1) FTSE
International Limited (“FTSE”), (2) Frank Russell Company (“Russell”), (3) FTSE TMX Global Debt Capital Markets Inc. and FTSE TMX
Global Debt Capital Markets Limited (together, “FTSE TMX”), (4) MTSNext Limited (“MTSNext”), (5) Mergent, Inc. (“Mergent”), (6) FTSE
Fixed Income LLC (“FTSE FI”) and (7) The Yield Book Inc (“YB”). All rights reserved.
FTSE Russell® is a trading name of FTSE, Russell, FTSE TMX, MTS Next Limited, Mergent, FTSE FI and YB. “FTSE®”, “Russell®”,“FTSE Russell®”, “MTS®”, “FTSE TMX®”, “FTSE4Good®”, “ICB®”, “Mergent®”, “WorldBIG®”, “USBIG®”, “EuroBIG®”, “AusBIG®”, “The Yield
Book®”, and all other trademarks and service marks used herein (whether registered or unregistered) are trademarks and/or service
marks owned or licensed by the applicable member of the LSE Group or their respective licensors and are owned, or used under licence,by FTSE, Russell, MTSNext, FTSE TMX, Mergent, FTSE FI or YB.
All information is provided for information purposes only. All information and data contained in this publication is obtained by the LSEGroup, from sources believed by it to be accurate and reliable. Because of the possibility of human and mechanical error as well as otherfactors, however, such information and data is provided "as is" without warranty of any kind. No member of the LSE Group nor theirrespective directors, officers, employees, partners or licensors make any claim, prediction, warranty or representation whatsoever,expressly or impliedly, either as to the accuracy, timeliness, completeness, merchantability of any information or of results to be obtained
from the use of the FTSE Russell Products or the fitness or suitability of the FTSE Russell Products for any particular purpose to which
they might be put. Any representation of historical data accessible through FTSE Russell Products is provided for information purposes
only and is not a reliable indicator of future performance.
No responsibility or liability can be accepted by any member of the LSE Group nor their respective directors, officers, employees, partners
or licensors for (a) any loss or damage in whole or in part caused by, resulting from, or relating to any error (negligent or otherwise) orother circumstance involved in procuring, collecting, compiling, interpreting, analysing, editing, transcribing, transmitting, communicating
or delivering any such information or data or from use of this document or links to this document or (b) any direct, indirect, special,consequential or incidental damages whatsoever, even if any member of the LSE Group is advised in advance of the possibility of suchdamages, resulting from the use of, or inability to use, such information.
No member of the LSE Group nor their respective directors, officers, employees, partners or licensors provide investment advice andnothing contained in this document or accessible through FTSE Russell Products, including statistical data and industry reports, should
be taken as constituting financial or investment advice or a financial promotion.
No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic,
mechanical, photocopying, recording or otherwise, without prior written permission of the applicable member of the LSE Group. Use anddistribution of the LSE Group data requires a licence from FTSE, Russell, FTSE TMX, MTSNext, Mergent, FTSE FI, YB and/or theirrespective licensors.

FTSE Russell

15About FTSE Russell
FTSE Russell is a leading global index provider creating and managing a wide
range of indexes, data and analytic solutions to meet client needs across asset
classes, style and strategies. Covering 98% of the investable market, FTSE
Russell indexes offer a true picture of global markets, combined with thespecialist knowledge gained from developing local benchmarks around the world.
FTSE Russell index expertise and products are used extensively by institutionaland retail investors globally. For over 30 years, leading asset owners, asset
managers, ETF providers and investment banks have chosen FTSE Russell
indexes to benchmark their investment performance and create investment
funds, ETFs, structured products and index-based derivatives. FTSE Russell
indexes also provide clients with tools for asset allocation, investment strategy
analysis and risk management.
A core set of universal principles guides FTSE Russell index design andmanagement: a transparent rules-based methodology is informed byindependent committees of leading market participants. FTSE Russell is focusedon index innovation and customer partnership applying the highest industry
standards and embracing the IOSCO Principles. FTSE Russell is wholly owned
by London Stock Exchange Group.
For more information, visit ftserussell.com.

To learn more, visit ftserussell.com; email info@ftserussell.com; or call your regional
Client Service Team office:EMEA+44 (0) 20 7866 1810

North America+1 877 503 6437

FTSE Russell | FTSE Fixed Income Securitized Products Market Consultation –- 2018

Asia-PacificHong Kong +852 2164 3333
Tokyo +81 3 3581 2764
Sydney +61 (0) 2 8823 3521

16