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Title:               AD&Co US Mortgage High Yield Index: Tier 1
Series ID:           CRTINDEXTIER1
Source:              Andrew Davidson & Co., Inc.
Release:             AD&Co US Mortgage High Yield Index
Seasonal Adjustment: Not Seasonally Adjusted
Frequency:           Monthly
Units:               Index Jun 2015=100
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 (USMHY) tracks the total return
                     of the bonds issued within the CRT programs of Fannie Mae and Freddie
                     Mac. USMHY is an informational, investment-oriented monthly index of
                     the return components: price, coupon, paydown, and credit loss.
                     Accompanied by standard risk metrics from our models, the index is
                     useful for comparisons with individual CRT bonds or relative value to
                     other credit markets.
                     
                     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  100.00000000000000
2015-07-01   98.97012578181406
2015-08-01   98.22411728411659
2015-09-01   98.48153627788640
2015-10-01   97.98982589571224
2015-11-01   99.08052958557592
2015-12-01   98.99607746677596
2016-01-01   96.32641164058047
2016-02-01   95.30998194576009
2016-03-01  100.95696394629870
2016-04-01  103.75619814066100
2016-05-01  104.21665143681699
2016-06-01  104.08836860900487
2016-07-01  108.36776174998039
2016-08-01  109.72849575927161
2016-09-01  111.05049245688404
2016-10-01  110.80302850634077
2016-11-01  111.26085235338940
2016-12-01  112.81383486531135
2017-01-01  114.93095124341508
2017-02-01  115.39488741937181
2017-03-01  116.73555812230948
2017-04-01  119.27781356156154
2017-05-01  120.06147647804062
2017-06-01  121.38368292435024
2017-07-01  122.47506032867673
2017-08-01  120.50094200641213
2017-09-01  120.70106169761544
2017-10-01  121.89850103834563
2017-11-01  122.76099576180744
2017-12-01  124.71898428811146
2018-01-01  126.42517358932803
2018-02-01  126.66783599705025
2018-03-01  126.47775456529759
2018-04-01  127.34879683887132
2018-05-01  127.84682864730132
2018-06-01  128.23490013746274
2018-07-01  129.13986011312804
2018-08-01  130.27562156187906
2018-09-01  130.93849335474516
2018-10-01  130.66233923914840
2018-11-01  129.62201737790735
2018-12-01  128.29819349428374
2019-01-01  130.75127304411694
2019-02-01  131.89761465912798
2019-03-01  132.14028089921100
2019-04-01  133.70330266521663
2019-05-01  133.62996055969282
2019-06-01  133.86761438204215
2019-07-01  135.76940987324548
2019-08-01  135.32801210043965
2019-09-01  136.60325290911985
2019-10-01  136.87733790277565
2019-11-01  137.70689771980906
2019-12-01  138.89594875511918
2020-01-01  141.09042629213950
2020-02-01  140.27082628406200
2020-03-01   93.37700716396097
2020-04-01   94.54000701618420
2020-05-01  111.29381904899134
2020-06-01  126.92747731963443
2020-07-01  122.53972768158674
2020-08-01  127.17279985067199
2020-09-01  129.11039832759724
2020-10-01  130.96374580450342
2020-11-01  137.12105226224114
2020-12-01  140.57958864569346
2021-01-01  142.86504238473006
2021-02-01  143.23168170003453
2021-03-01  142.10633540908765
2021-04-01  144.83669147739100
2021-05-01  145.85800714339643
2021-06-01  147.69056882006166
2021-07-01  148.33377868742320
2021-08-01  148.85900706981700
2021-09-01  150.09140390120623
2021-10-01  150.13355260569895
2021-11-01  150.32587683630064
2021-12-01  151.08509724042320
2022-01-01  150.42035675164817
2022-02-01  145.62713298302904
2022-03-01  143.96680234493562
2022-04-01  145.78598512981682
2022-05-01  141.26110625698060
2022-06-01  138.72490412017137
2022-07-01  144.11173398218796
2022-08-01  148.15561362812167
2022-09-01  143.34336585546757
2022-10-01  143.03446474743703
2022-11-01  145.00922776667522
2022-12-01  149.37261571428870
2023-01-01  155.28570455700242
2023-02-01  157.44556026245962
2023-03-01  156.71266907769697
2023-04-01  161.43627264027370
2023-05-01  164.57082039544252
2023-06-01  169.43630044547498
2023-07-01  174.58935150625035
2023-08-01  175.69724854591283
2023-09-01  178.04265992053814
2023-10-01  178.78825390485355
2023-11-01  182.65694122433345
2023-12-01  185.72600332984098
2024-01-01  190.94851354010015
2024-02-01  192.41867521838810
2024-03-01  195.15140585252146
2024-04-01  197.45419389476376