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6.13. - Page 22 of 46 <br />REDWOOD CITY <br />For the Quarter Ended March 31, 2020 <br />Market Update <br />Sector Spreads Spike to Levels Not Seen Since the Great Recession <br />Federal Agency Yield Spreads <br />2.0% <br />1.5% <br />1.0% <br />0.5% <br />0.0% <br />-0.5% <br />2007 2009 2011 2013 2015 2017 2019 <br />Corporate Notes A -AAA Yield Spreads <br />V /U <br />2007 2009 2011 2013 2015 2017 2019 <br />Mortgage -Backed Securities Yield Spreads <br />16% Agency MBS AAA CMBS Index <br />14% <br />12% <br />10% <br />8% <br />6% <br />4% <br />i 2% <br />-2% <br />2007 2009 2011 2013 2015 2017 2019 <br />Asset -Backed Securities Yield Spreads <br />10% <br />8% <br />6% <br />.. 4% <br />c� <br />2% <br />0/o <br />° <br />2007 2009 2011 <br />2013 2015 2017 2019 <br />Source: ICE BofAML 1-5 year Indices via Bloomberg, MarketAxess and PFM as of 3/31/20. Spreads on ABS and MBS are option -adjusted spreads of 0-5 year indices based on weighted average life; <br />spreads on agencies are relative to comparable -maturity Treasuries. CMBS is Commercial Mortgage -Backed Securities. <br />PFM Asset Management LLC 80 <br />