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Title:               AD&Co US Mortgage High Yield Index, Credit-and-Option-Adjusted Spread: Tier 3
Series ID:           CROASTIER3
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
2015-06-01 193.804705567247140
2015-07-01 174.729115202974920
2015-08-01 185.935210666160460
2015-09-01 188.756299834247240
2015-10-01 198.330192622367520
2015-11-01 206.817721113365300
2015-12-01 215.424763873460200
2016-01-01 234.687870639355800
2016-02-01 248.942726695377640
2016-03-01 226.631642156919240
2016-04-01 192.296384336325760
2016-05-01 165.273583338831660
2016-06-01 154.319095290754180
2016-07-01 125.556062105304790
2016-08-01 100.531246135751090
2016-09-01  90.428397615767780
2016-10-01 122.766839509306760
2016-11-01 144.829365380197340
2016-12-01 137.499384294345480
2017-01-01 130.794738800194200
2017-02-01 121.818497652728700
2017-03-01 113.502563936511320
2017-04-01  95.928884999217260
2017-05-01  86.062378051651500
2017-06-01  79.159305318246770
2017-07-01  56.365218318579510
2017-08-01  60.060116617156545
2017-09-01  65.818145062712620
2017-10-01  55.559520438062120
2017-11-01  58.573517799560340
2017-12-01  49.969340251825620
2018-01-01  60.658854914103890
2018-02-01  69.986510929764440
2018-03-01  70.443300188569470
2018-04-01  76.621935484353000
2018-05-01  73.070062243897840
2018-06-01  72.306634257100770
2018-07-01  78.859992839259750
2018-08-01  72.849676195120010
2018-09-01  74.317511616006260
2018-10-01  83.265765004996700
2018-11-01  96.214045499066070
2018-12-01 126.726313256048070
2019-01-01 116.656569500706200
2019-02-01 111.892985849344060
2019-03-01 107.384490544386470
2019-04-01 105.546497630046990
2019-05-01  95.403219624708540
2019-06-01 102.947570529320020
2019-07-01  99.534336081566170
2019-08-01 108.170772330672360
2019-09-01 118.522442351061850
2019-10-01 122.041577818485650
2019-11-01 128.466318118857170
2019-12-01 128.142261742005700
2020-01-01 118.801414779851640
2020-02-01 120.142403214145960
2020-03-01 825.776335878414000
2020-04-01 916.144695910779900
2020-05-01 546.737375427002500
2020-06-01 351.553411761357900
2020-07-01 317.511156905294100
2020-08-01 208.768236415434100
2020-09-01 268.620209676908700
2020-10-01 248.410360772474600
2020-11-01 253.105556898804370
2020-12-01 222.142593394317880
2021-01-01 189.225614446801000
2021-02-01 179.437626421459020
2021-03-01 179.461095488988380
2021-04-01 149.414401354795330
2021-05-01 161.629137894184420
2021-06-01 137.266606815027360
2021-07-01 147.580306973021150
2021-08-01 133.436577969783260
2021-09-01 134.291325538961960
2021-10-01 112.280372081648710
2021-11-01 122.195602963099230
2021-12-01 132.026061952839030
2022-01-01 113.240894261790840
2022-02-01 156.179479641729200
2022-03-01 221.720577255663400
2022-04-01 193.086384146136700
2022-05-01 293.535195715758850
2022-06-01 358.696871147043700
2022-07-01 309.846857678512660
2022-08-01 273.144550877161800
2022-09-01 371.875253431720470
2022-10-01 383.536346725133970
2022-11-01 312.426594791525250
2022-12-01 276.669538991636560
2023-01-01 250.202993159939780
2023-02-01 252.124849142837000
2023-03-01 277.857691725238100
2023-04-01 250.946987755591700
2023-05-01 247.307906413060520
2023-06-01 248.458345377704830
2023-07-01 210.596977008570300
2023-08-01 233.763645623289450
2023-09-01 221.971841713631870
2023-10-01 223.561271416288860
2023-11-01 212.070485738856660
2023-12-01 199.316655237611500
2024-01-01 173.478364055864120
2024-02-01 183.977271731008410
2024-03-01 190.165242131893400
2024-04-01 184.181427286859640