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Title:               AD&Co US Mortgage High Yield Index: Tier 2
Series ID:           CRTINDEXTIER2
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   99.37586955138451
2015-08-01   98.81573053855821
2015-09-01   99.07825702817192
2015-10-01   98.67652674990127
2015-11-01   99.38583407504781
2015-12-01   99.11912828505075
2016-01-01   96.57245964218599
2016-02-01   94.38572684582970
2016-03-01  100.13494591609167
2016-04-01  103.95468946518730
2016-05-01  103.76781276974867
2016-06-01  104.13247051538238
2016-07-01  108.39270921809977
2016-08-01  109.40541632538248
2016-09-01  110.53760660967102
2016-10-01  109.77634446555504
2016-11-01  110.22926585917418
2016-12-01  113.00163479626634
2017-01-01  115.79103164444734
2017-02-01  115.69354582914700
2017-03-01  116.93007274578660
2017-04-01  119.96499040409510
2017-05-01  121.92091270491684
2017-06-01  122.78261147027128
2017-07-01  125.07932714416808
2017-08-01  123.04268149630555
2017-09-01  123.61664294380425
2017-10-01  125.00100004315377
2017-11-01  125.75663232112544
2017-12-01  128.12413059697300
2018-01-01  129.26084114680086
2018-02-01  130.18552186757628
2018-03-01  129.92467721332412
2018-04-01  131.14723039484826
2018-05-01  131.61912272771522
2018-06-01  131.59224456279432
2018-07-01  132.78192143833837
2018-08-01  133.66693463438534
2018-09-01  134.20637251568672
2018-10-01  133.73688716244570
2018-11-01  132.80737171631546
2018-12-01  131.61300786217490
2019-01-01  134.33535058680510
2019-02-01  135.36584939642140
2019-03-01  135.26414235488910
2019-04-01  136.38674535327834
2019-05-01  136.12806214988487
2019-06-01  135.81598844565620
2019-07-01  136.47439114693086
2019-08-01  135.89981973509794
2019-09-01  136.85836674347576
2019-10-01  137.26757290856264
2019-11-01  138.05438507954990
2019-12-01  138.90018419142953
2020-01-01  140.01030831396636
2020-02-01  139.42306187757840
2020-03-01  115.04849888594666
2020-04-01  123.27324269010530
2020-05-01  134.46689816614446
2020-06-01  137.18341967944679
2020-07-01  136.38122859646205
2020-08-01  138.93178837418247
2020-09-01  139.48641904015950
2020-10-01  139.95168134160892
2020-11-01  141.45565392692200
2020-12-01  142.26857946785793
2021-01-01  143.27735781703400
2021-02-01  143.53075914195585
2021-03-01  143.70402442085262
2021-04-01  145.19062732622712
2021-05-01  145.49490117895218
2021-06-01  145.94297061527922
2021-07-01  146.05782575818452
2021-08-01  146.26548971398594
2021-09-01  146.79924111945994
2021-10-01  146.94658016907835
2021-11-01  147.00663661405915
2021-12-01  147.24757729872280
2022-01-01  147.52639304949423
2022-02-01  146.54504726128934
2022-03-01  145.74125573017355
2022-04-01  146.87199428344329
2022-05-01  144.48766223933737
2022-06-01  143.11145224002970
2022-07-01  146.41742034752290
2022-08-01  148.62358774749770
2022-09-01  144.28744893459069
2022-10-01  145.31410743312816
2022-11-01  147.44614462812385
2022-12-01  151.14851513724590
2023-01-01  154.74678519701467
2023-02-01  156.40091585838016
2023-03-01  155.44735315803905
2023-04-01  158.38047187556260
2023-05-01  160.32731677655926
2023-06-01  162.72697005246073
2023-07-01  165.97688160301666
2023-08-01  166.57526067014572
2023-09-01  168.06013321056204
2023-10-01  169.15231662747970
2023-11-01  171.42294664636498
2023-12-01  173.02265023562157
2024-01-01  176.42489029884135
2024-02-01  177.55169007424192
2024-03-01  179.30727265297142
2024-04-01  180.75152598610720