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VISTA CRT Indices™

VISTA CRT Indices are financial benchmarks based on daily pricing of Connecticut Avenue Securities (CAS) and Structured Agency Credit Risk (STACR®) debt notes issued by Fannie Mae and Freddie Mac, respectively. Collectively, these securities are known as Credit Risk Transfer (CRT) securities. CRT securities reference the payment, delinquency, and default performance of a designated group of mortgage loans guaranteed by Fannie Mae and Freddie Mac (GSEs). A significant portion of any losses experienced by GSEs is transferred to the security holders per the terms of the bonds.

VISTA CRT Indices introduce reliable and transparent measures for pricing residential mortgage credit risk instruments as well as offering standard mortgage credit performance benchmarks for investors and lenders. Overall, they reflect the health of the US housing market and residential mortgage credit conditions.

Calculating VISTA CRT Indices™

VISTA CRT Indices are intended to be accurate and reliable representations of activity in U.S. residential mortgage credit market. Indices are calculated using daily CRT security prices determined as of 4:00 p.m. Eastern time from estimates based on interactions with market participants, reported transactions, and end of business day inputs from market sources (“Sources”). Sources commonly include large underwriters and secondary-market broker dealers of CRT securities.

Source inputs are generally in the form of the estimated prices, and spread levels, at which liquidity can be obtained on behalf of the owner of such securities for a round lot transaction. Inputs also include the discount margin and estimated average life of each CRT security.

Computation of Single Security Values

VISTA, serving as Calculation Agent, computes a security price, discount margin, and average life for each CRT security by (1) extrapolating prices from observable market data; (2) reported transactions; and (3) evaluating inputs received directly from market sources – this computation results in a composite price, discount margin, and average life for each CRT security.

Discount margin and average life assume a 10 CPR and zero default rate.

Computation of VISTA CRT Index Values

VISTA computes index-related values by averaging composite CRT security prices, discount margins, average life, coupons, and factors for each index, weighted by the market value of the unpaid principal balance (UPB) of each CRT security in the index. The market value is rebalanced on the 25th day of each month, or the next business day if the 25th falls on a weekend or holiday.

VISTA also computes total return values for both CRT securities and indices from composite security prices, prepayments, coupon interest, and attributable defaults.

Data Contingency

On most days, Vista CRT Indices™ and related CRT security prices will be published based on the methods described above. If VISTA deems that available pricing data is incomplete and insufficient to publish an index or specific security price, then the publication may be delayed. Under extraordinary circumstances, when all current data sources are insufficient, VISTA may publish indices and CRT security data using the prior day’s prices in the absence of adequate data. In such conditions, the change in source will be noted when the daily reports are published.

VISTA’s Oversight Committee reviews these methodologies on a regular basis.

Governance & Oversight

VISTA maintains an internal Index Management Committee (“Committee”) that is accountable for the overall operation of the Vista CRT Benchmarks. This Committee is comprised of staff from product management, research, operations, and development functions within the Company. The Committee meets on a regular basis to discuss benchmark operational performance measures and to review key business issues and risks.

Additionally, VISTA has established an Oversight Committee responsible for effective scrutiny of the Administrator and its Code of Conduct.

Complaint Submissions

Complaints should be submitted with the appropriate contact information and as much detail as possible about the concern to allow the Administrator to properly assess the complaint. Stakeholder may submit complaints to the following email address: complaints@vistacap.com. When submitting a complaint via email please write in the subject line the nature of your complaint.

Stakeholder may also submit complaints in directly in writing by mail to:

Compliance Department
C/O Vista Data Services
1775 Tysons Boulevard, 5th Floor
Tysons, Virginia 22102

Non-Publication Days

VISTA CRT Indices™ are not published on certain days, but will be published on days with an early close. The following table sets out relevant holidays.

Holiday - 2018

New Years Day – Monday, January 1
Early Close (2:00 p.m. Eastern Time): Friday, December 29, 2017
Martin Luther King Jr. Day – Monday, January 15
Presidents Day – Monday, February 19
Good Friday – Friday, March 30
Early Close (2:00 p.m. Eastern Time): Thursday, March 29, 2018
Memorial Day – Monday, May 28
Early Close (2:00 p.m. Eastern Time): Friday, May 25, 2018
Independence Day – Wednesday, July 4
Early Close (2:00 p.m. Eastern Time): Tuesday, July 3, 2018
Labor Day – Monday, September 3
Columbus Day – Monday, October 8
Veterans Day – Monday, November 12
Thanksgiving Day – Thursday, November 22
Early Close (2:00 p.m. Eastern Time): Friday, November 23, 2018
Christmas – Tuesday, December 25 
Early Close (2:00 p.m. Eastern Time): Monday, December 24, 2018

Holiday - 2019

New Years Day – Tuesday, January 1
Early Close (2:00 p.m. Eastern Time): Monday, December 31, 2018
Martin Luther King Jr. Day – Monday, January 21
Presidents Day – Monday, February 18
Good Friday – Friday, April 19
Early Close (2:00 p.m. Eastern Time): Thursday, April 18, 2019
Memorial Day – Monday, May 27
Early Close (2:00 p.m. Eastern Time): Friday, May 24, 2019
Independence Day – Thursday, July 4
Early Close (2:00 p.m. Eastern Time): Wednesday, July 3, 2019
Labor Day – Monday, September 2
Columbus Day – Monday, October 14
Veterans Day – Monday, November 11
Thanksgiving Day – Thursday, November 28
Early Close (2:00 p.m. Eastern Time): Friday, November 29, 2019
Christmas Day – Wednesday, December 25
Early Close (2:00 p.m. Eastern Time): Tuesday, December 24, 2019
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