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Title:               AD&Co US Mortgage High Yield Index, Credit-and-Option-Adjusted Spread: Tier 1
Series ID:           CROASTIER1
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  421.18400959969120
2015-07-01  451.45787081800546
2015-08-01  473.41911025702507
2015-09-01  484.24158697890107
2015-10-01  500.97368668888845
2015-11-01  486.30604478117993
2015-12-01  503.92212932153130
2016-01-01  580.74581665463600
2016-02-01  625.09539640306280
2016-03-01  494.47571059037450
2016-04-01  435.07400551661220
2016-05-01  434.03691244271060
2016-06-01  447.15582657919820
2016-07-01  337.26868070466210
2016-08-01  310.06059053389760
2016-09-01  285.18616173045050
2016-10-01  304.91431938127096
2016-11-01  319.02084274636440
2016-12-01  293.37728469298810
2017-01-01  265.69640063374090
2017-02-01  259.52703854687184
2017-03-01  247.38958177007450
2017-04-01  200.45572918114723
2017-05-01  196.86165488375700
2017-06-01  184.02526470092727
2017-07-01  170.95238937570170
2017-08-01  218.20377820027957
2017-09-01  231.88135269390378
2017-10-01  218.87232902142630
2017-11-01  208.13581602160010
2017-12-01  182.84832647944728
2018-01-01  174.09771929630793
2018-02-01  179.93810785346827
2018-03-01  198.31009317755166
2018-04-01  205.05761409339670
2018-05-01  211.28489721861447
2018-06-01  219.46067701326368
2018-07-01  218.76268837222497
2018-08-01  208.69867423246438
2018-09-01  210.54694014679075
2018-10-01  228.32506790119328
2018-11-01  254.20552589185877
2018-12-01  300.44582657472080
2019-01-01  272.44616944745640
2019-02-01  263.79462513224380
2019-03-01  270.16738270808670
2019-04-01  265.14606165249614
2019-05-01  262.91928380565270
2019-06-01  271.25708607380113
2019-07-01  254.37154981140756
2019-08-01  261.69462731331490
2019-09-01  256.03466002966670
2019-10-01  261.86106681510074
2019-11-01  262.26952845339170
2019-12-01  254.50132620195387
2020-01-01  219.28993782462360
2020-02-01  240.53686666924240
2020-03-01 1396.74213183396520
2020-04-01 1351.96123767177780
2020-05-01  842.46472875504510
2020-06-01  560.04788974395060
2020-07-01  633.33838962389630
2020-08-01  394.88695595304970
2020-09-01  444.92779540314586
2020-10-01  484.58746747130630
2020-11-01  457.69237823876760
2020-12-01  417.47867804439600
2021-01-01  390.88336825000334
2021-02-01  379.30750807694980
2021-03-01  411.26490276913876
2021-04-01  388.09356354176253
2021-05-01  371.35902722188280
2021-06-01  356.90231460157850
2021-07-01  360.56101366721160
2021-08-01  363.17859363305564
2021-09-01  358.37384210757500
2021-10-01  361.42906076878450
2021-11-01  391.48693243305720
2021-12-01  403.83225032123505
2022-01-01  416.43005568323457
2022-02-01  474.44425200415014
2022-03-01  518.00020994718770
2022-04-01  494.96498941588794
2022-05-01  596.75195123529520
2022-06-01  645.88329168412550
2022-07-01  590.84622858504780
2022-08-01  560.94970095988260
2022-09-01  621.24713990958660
2022-10-01  635.77235021290710
2022-11-01  569.84468088788810
2022-12-01  536.73718264447330
2023-01-01  502.40731365263270
2023-02-01  502.37191315008306
2023-03-01  531.78375388633290
2023-04-01  489.99263051923990
2023-05-01  485.31426877126340
2023-06-01  458.46420177311353
2023-07-01  417.90216226789704
2023-08-01  464.60670503831350
2023-09-01  453.95943096409445
2023-10-01  465.53321404351420
2023-11-01  454.00225922404087
2023-12-01  447.03906611513970
2024-01-01  413.20324076063247
2024-02-01  424.61081602950120
2024-03-01  415.13381535369120
2024-04-01  405.16438422221245