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Title:               AD&Co US Mortgage High Yield Index, Credit-and-Option-Adjusted Spread: Tier 2
Series ID:           CROASTIER2
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  330.16714143378660
2015-07-01  356.99502924671980
2015-08-01  382.52303016269144
2015-09-01  396.72618995584670
2015-10-01  414.57211008901040
2015-11-01  421.03578119963890
2015-12-01  433.26646216850230
2016-01-01  527.15568102623380
2016-02-01  614.59355777210910
2016-03-01  501.89293485603247
2016-04-01  416.02549209754295
2016-05-01  437.11344558290284
2016-06-01  439.66108554882400
2016-07-01  336.76221466911784
2016-08-01  321.27098858370937
2016-09-01  305.72017923128320
2016-10-01  347.36627081431556
2016-11-01  373.98746996348063
2016-12-01  328.91162320493700
2017-01-01  302.51728299282520
2017-02-01  307.08302474532000
2017-03-01  303.27855659705730
2017-04-01  254.32519268149693
2017-05-01  230.78140875487875
2017-06-01  222.66451895863230
2017-07-01  186.23934884535210
2017-08-01  215.94183471703604
2017-09-01  220.61400957399360
2017-10-01  201.69348964369368
2017-11-01  196.06990440605088
2017-12-01  156.77316325931520
2018-01-01  170.03018308318025
2018-02-01  168.59580856513992
2018-03-01  178.89033500706435
2018-04-01  182.63965587698738
2018-05-01  176.88191907185700
2018-06-01  186.50462725899030
2018-07-01  184.21717191984830
2018-08-01  172.82827936889814
2018-09-01  181.56545229797715
2018-10-01  202.71117276739380
2018-11-01  221.40168343901993
2018-12-01  243.35814664587890
2019-01-01  203.53105620428260
2019-02-01  197.27719647730822
2019-03-01  187.54026309081635
2019-04-01  187.72635544303026
2019-05-01  173.99788614711244
2019-06-01  183.78795436610665
2019-07-01  178.80550703579144
2019-08-01  185.14383718385574
2019-09-01  181.18110480219940
2019-10-01  180.43702983267410
2019-11-01  176.94039097927424
2019-12-01  166.24151542338590
2020-01-01  122.73646271808721
2020-02-01  150.21584607361330
2020-03-01 1436.57890740877100
2020-04-01  934.57667177906000
2020-05-01  393.91540687686190
2020-06-01  345.54073823116914
2020-07-01  381.45357558829915
2020-08-01  222.68241440210030
2020-09-01  261.77095623617294
2020-10-01  278.76278737961366
2020-11-01  277.10994506009320
2020-12-01  263.11031465395390
2021-01-01  243.50181522915233
2021-02-01  241.59466521297927
2021-03-01  245.93592315248924
2021-04-01  208.68183265149690
2021-05-01  213.76238072150306
2021-06-01  196.48465040588772
2021-07-01  193.18060869799200
2021-08-01  193.07128174079327
2021-09-01  180.42759351727688
2021-10-01  186.13860412090713
2021-11-01  197.86740051386084
2021-12-01  201.38247056760252
2022-01-01  197.19918325102512
2022-02-01  244.40363887790838
2022-03-01  288.70417933754270
2022-04-01  267.32676734481620
2022-05-01  354.63458742432310
2022-06-01  415.43709521379003
2022-07-01  380.95249442125936
2022-08-01  377.17175173550750
2022-09-01  474.28521619343060
2022-10-01  472.34784448112913
2022-11-01  408.55336452567593
2022-12-01  373.48429071314877
2023-01-01  346.66376137237550
2023-02-01  344.34858835723395
2023-03-01  379.84469313383516
2023-04-01  353.89041901300930
2023-05-01  343.00989560313684
2023-06-01  330.86178573768643
2023-07-01  297.71413653643464
2023-08-01  333.30207845610465
2023-09-01  323.69851594059270
2023-10-01  325.39357569854910
2023-11-01  314.79008715933210
2023-12-01  313.91667633212170
2024-01-01  283.40852963949860
2024-02-01  287.16778241865270
2024-03-01  289.36578323055875
2024-04-01  285.22805776931210