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Title:               AD&Co US Mortgage High Yield Index, Credit-and-Option-Adjusted Spread: Tier 0
Series ID:           CROASTIER0
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.
                     
                     Until February of 2022, AD&Co has been computing crOAS relative to the
                     Libor-swap rate curve that is set to retire in 2023. Following the
                     prevailing market trend and starting from its February-end report,
                     AD&Co began computing the crOAS metric relative to the Treasury-curve
                     benchmark. Given the differences between the two rate curves, this
                     change should account for approximately 6 to 12 bps widening in spread
                     for the AD&Co CRT Indices.
                     
                     <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  619.21333253537280
2015-07-01  598.78002182664190
2015-08-01  614.48081475431490
2015-09-01  620.74342330065190
2015-10-01  627.06871193260510
2015-11-01  647.68528925506620
2015-12-01  736.26839948445330
2016-01-01  809.86616272680370
2016-02-01  933.69030149465930
2016-03-01  933.03435252139090
2016-04-01  846.06626972168990
2016-05-01  869.87113269494260
2016-06-01  893.95212983053880
2016-07-01  789.19311325695000
2016-08-01  776.62565145300970
2016-09-01  697.19965839277090
2016-10-01  662.23905593667190
2016-11-01  681.00009780737310
2016-12-01  598.64622482651770
2017-01-01  539.13442713555640
2017-02-01  547.46708547701310
2017-03-01  543.49196553049640
2017-04-01  540.00409592482460
2017-05-01  542.20688007602040
2017-06-01  481.26665885557650
2017-07-01  445.70138394872280
2017-08-01  564.78311070109270
2017-09-01  561.46660680750500
2017-10-01  456.88444682292027
2017-11-01  438.03800249559010
2017-12-01  383.56395230785336
2018-01-01  340.85465767752900
2018-02-01  344.23645484029254
2018-03-01  382.97736803209926
2018-04-01  386.22284499070570
2018-05-01  417.42258574448783
2018-06-01  436.94365896656547
2018-07-01  488.22840748528210
2018-08-01  468.02765427540453
2018-09-01  469.48827411188000
2018-10-01  476.17770359897160
2018-11-01  498.39640824165220
2018-12-01  560.38490282803470
2019-01-01  550.87743963952970
2019-02-01  554.14694030663670
2019-03-01  577.12003091353000
2019-04-01  553.13202946348190
2019-05-01  529.99742198973870
2019-06-01  553.33398803695350
2019-07-01  527.74256283580470
2019-08-01  513.53552313207400
2019-09-01  523.09025671632890
2019-10-01  518.41064330881420
2019-11-01  518.48696752370130
2019-12-01  502.49881559738930
2020-01-01  481.39043036000910
2020-02-01  478.77173077913940
2020-03-01 1944.48462250512780
2020-04-01 1827.32323226605580
2020-05-01 1497.97772916103830
2020-06-01  945.18633477682350
2020-07-01  938.16524488686910
2020-08-01  656.64553116600720
2020-09-01  697.77652997898550
2020-10-01  757.30992066326430
2020-11-01  783.64749181400280
2020-12-01  636.65438296498830
2021-01-01  617.23241367065120
2021-02-01  574.07612838254450
2021-03-01  610.01792693407290
2021-04-01  592.87731287127960
2021-05-01  518.14383098665310
2021-06-01  553.67529018038840
2021-07-01  583.69752041753900
2021-08-01  601.07660893856280
2021-09-01  618.41437547273440
2021-10-01  568.55713908377290
2021-11-01  527.28076129154990
2021-12-01  564.48038006672790
2022-01-01  602.37360352848270
2022-02-01  663.31521695620100
2022-03-01  720.34126002084380
2022-04-01  708.02515311290400
2022-05-01  824.75620883512520
2022-06-01  860.11237351838760
2022-07-01  826.18982175622750
2022-08-01  790.75583122370310
2022-09-01  845.29365480392410
2022-10-01  874.37267800252680
2022-11-01  825.21306453761540
2022-12-01  805.79300379224880
2023-01-01  763.99433561483740
2023-02-01  727.77641799335340
2023-03-01  760.92688938682770
2023-04-01  735.30134013879150
2023-05-01  699.91257549625650
2023-06-01  678.81174502751970
2023-07-01  618.00157402928650
2023-08-01  658.97023270976150
2023-09-01  633.67487087930870
2023-10-01  636.68144953375490
2023-11-01  635.54372565363780
2023-12-01  613.91601444633110
2024-01-01  581.87084913385350
2024-02-01  581.78996987457070
2024-03-01  584.01322528864920
2024-04-01  570.66452533374100