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Title:               AD&Co US Mortgage High Yield Index, Credit-and-Option-Adjusted Spread: Mid-Tier
Series ID:           CROASMIDTIER
Source:              Andrew Davidson & Co., Inc.
Release:             AD&Co US Mortgage High Yield Index
Seasonal Adjustment: Not Seasonally Adjusted
Frequency:           Monthly
Units:               Index
Date Range:          2015-06-01 to 2024-04-01
Last Updated:        2024-05-06 12:32 PM CDT
Notes:               The AD&Co US Mortgage High Yield Index crOAS,
                     credit-and-option-adjusted spread, is an extension of the traditional
                     OAS measure. On a set of 20 standardized, probabilistically weighted,
                     market-and-model stress scenarios, AD&Co computes a discount rate that
                     equates expected present value of tranche's cash flows to the observed
                     market price; the cash flows are loss-adjusted using AD&Co's
                     LoanDynamics Model (LDM).
                     
                     Investors and fund managers can use the index to assess the broad
                     market returns, risks and opportunities available through investing in
                     a market-weighted, passive portfolio of US mortgage credit risk
                     transfer instruments. The Index also provides a means of comparing the
                     returns of an actively managed portfolio against a passive, naive
                     market portfolio as approximated by the Index. The Mid-Tier and its
                     sub-indices allow for approximations of performance comparisons by
                     vintage or age, across the capital stack, and by initial credit risk
                     level and/or vintage as indicated by original attachment point.
                     
                     <b>Disclaimer:</b> The AD&Co U.S. Mortgage High-Yield Index serves as
                     an informational index and is not for commercial-use purposes. The
                     Index's accuracy, completeness, timeliness and suitability for any
                     purpose are not guaranteed. The Index does not constitute (1)
                     investment, legal, accounting, tax, or other professional advice or
                     (2) any recommendation or solicitation to purchase, hold, sell, or
                     otherwise deal in any investment. This Index has been prepared for
                     general informational purposes, without consideration of the
                     circumstances or objectives of any particular investor. Any reliance
                     on the Index is at the reader's sole risk. All investment is subject
                     to numerous risks, known and unknown. Past performance is no guarantee
                     of future results. For investment advice, seek a qualified investment
                     professional. Not for redistribution without permission. Note: An
                     affiliate of Andrew Davidson & Co., Inc. engages in trading activities
                     in investments that may be the same or similar to those featured in
                     the Index.
                     
                     <b>Index Inclusion Rules</b>
                     Only cash CAS and STACR bonds offered to the public, whether they are
                     exchangeable or not, that have or have had IDC prices.
                     Bond factor > = .25
                     Floating rate bonds only. 
                     Collateral Types 30 Year Residential. 
                     Fixed Rate: STACR-DN, DNA, HQ, HQA, HRP, CAS – C0
                     Tranche names – B, B1, B2, M3, M2, M1
                     Normally listed on GSE websites: <a
                     href='https://crt.freddiemac.com/offerings/stacr.aspx#issuance-details'>Freddie
                     Mac</a>, <a
                     href='http://www.fanniemae.com/portal/funding-the-market/credit-risk/transactions.html'>Fannie
                     Mae</a> 
                     No private placements
                     No Child Classes (Exchangeable into) or Retained Classes (H bonds)
                     No CIRT, ACIS, SPI
                     Original attachment points and CAS STACR 
                     
                      <table style='width:50%'><tr><th>Tier</th><th>Attachment
                     Points</th><th>CAS STACR Class</th></tr><tr><td>0</td><td>> = 0.00 <
                     .25</td><td>STACR Class B, B2; CAS Class
                     B</td></tr><tr><td>1</td><td>> = 0.25 < .95</td><td>STACR Class B1,
                     Old M3; CAS Class B1</td></tr><tr><td>2</td><td>> = 0.95 <
                     1.75</td><td>STACR Class M3, M2; CAS Class
                     M2</td></tr><tr><td>3</td><td>> = 1.75 < 3.75</td><td>STACR Class M2,
                     M1; CAS Class M1</td></tr><tr><td>Mid</td><td>> = 0.25 <
                     3.75</td><td>STACR Class Mixed; CAS Class Mixed</td></tr></table>
                     
                     Input data provided by Intex and ICE Data Services.
                     
                     © Andrew Davidson & Co., Inc. All rights reserved.

DATE                     VALUE
2015-06-01  361.58925102061710
2015-07-01  386.87604204690120
2015-08-01  404.51701958320035
2015-09-01  414.19084734916123
2015-10-01  433.30289772086810
2015-11-01  421.92148317260603
2015-12-01  438.77035418848770
2016-01-01  506.66959224466390
2016-02-01  549.84149260609100
2016-03-01  451.08107891897060
2016-04-01  391.92657180886800
2016-05-01  392.26668044679860
2016-06-01  402.62086485372424
2016-07-01  306.99716257786895
2016-08-01  284.68899629223074
2016-09-01  266.77490763316890
2016-10-01  297.61597959227214
2016-11-01  316.71757342393290
2016-12-01  286.85999845578715
2017-01-01  262.75881183477900
2017-02-01  262.18809306689510
2017-03-01  255.75743032164323
2017-04-01  213.46023079705012
2017-05-01  201.05777790475352
2017-06-01  191.08912448703757
2017-07-01  165.87966176554332
2017-08-01  200.39704877481645
2017-09-01  209.01898419546612
2017-10-01  194.05955747535512
2017-11-01  187.66310791545496
2017-12-01  156.77432715827644
2018-01-01  161.48589838054227
2018-02-01  163.71645413460715
2018-03-01  176.46667238066362
2018-04-01  181.27210256212890
2018-05-01  180.42013245584346
2018-06-01  189.10344196821896
2018-07-01  187.49667571756902
2018-08-01  177.34347735490397
2018-09-01  183.07319318998282
2018-10-01  202.21343095698393
2018-11-01  222.86887562829858
2018-12-01  252.80012033023667
2019-01-01  220.12974907945141
2019-02-01  213.19789644602895
2019-03-01  211.81567620302700
2019-04-01  209.82567329817974
2019-05-01  203.58077526848652
2019-06-01  214.49197736347193
2019-07-01  205.94137874237620
2019-08-01  215.51161608912088
2019-09-01  211.10373070144686
2019-10-01  214.32010648989630
2019-11-01  212.99345456298070
2019-12-01  204.57047538520882
2020-01-01  168.86047507028330
2020-02-01  192.79981089193143
2020-03-01 1393.19866552028430
2020-04-01 1110.48282551136980
2020-05-01  596.91259545690470
2020-06-01  451.51712842072020
2020-07-01  499.35148112930980
2020-08-01  296.97545322844235
2020-09-01  347.59878581046390
2020-10-01  375.71841540086480
2020-11-01  369.56161351953364
2020-12-01  344.56776670859140
2021-01-01  322.58194875674420
2021-02-01  314.50266520719157
2021-03-01  335.02519678732640
2021-04-01  309.29091070760063
2021-05-01  301.82169381004440
2021-06-01  287.56069683344464
2021-07-01  293.29685873137500
2021-08-01  296.33412511830500
2021-09-01  292.14837467386764
2021-10-01  294.10489530705644
2021-11-01  324.30869702555810
2021-12-01  333.87364673909270
2022-01-01  335.24412610346580
2022-02-01  384.27675209759053
2022-03-01  423.62663134772214
2022-04-01  394.04483912292113
2022-05-01  486.54243791323427
2022-06-01  540.30035662521470
2022-07-01  494.48376393692206
2022-08-01  469.91351219850690
2022-09-01  539.33381720084440
2022-10-01  549.09634726991080
2022-11-01  480.85600302441827
2022-12-01  447.04347054109616
2023-01-01  416.26723787926240
2023-02-01  413.70398945142720
2023-03-01  443.71565617667930
2023-04-01  408.41138308191190
2023-05-01  397.57536922436940
2023-06-01  378.06264443021280
2023-07-01  339.56493806330053
2023-08-01  380.71052029003874
2023-09-01  368.59071679131745
2023-10-01  372.66599693335440
2023-11-01  362.10996007378117
2023-12-01  358.13184866479213
2024-01-01  327.07821512993480
2024-02-01  333.62762272483410
2024-03-01  331.29356884201354
2024-04-01  321.96447946672595