Data for: Asymmetric pass-through of Treasury yields to mortgage rates across US loan segments

This record rebuilds the daily data set used in the paper "Asymmetric pass-through of Treasury yields to mortgage rates across US loan segments" by Hyeon-Jin Lee, Sang-Gun Lee and Hojun Kang. All series are public on FRED (Federal Reserve Bank of St. Louis): eight Optimal Blue Mortgage Market Indices of daily rate locks (30-year conforming, prime conforming, low-FICO high-LTV conforming, FHA, jumbo, VA, USDA and 15-year conforming), ten 30-year conforming subindices by loan-to-value ratio and FICO score, and the 10-year and 2-year Treasury yields. The Optimal Blue indices are copyrighted by Optimal Blue, so the record contains a download script and the list of 2,392 trading days used in the paper (3 January 2017 to 14 August 2026), not the index values. Running get_data.py reproduces the data used in the paper exactly (verified on 27 September 2026).