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Title:               AD&Co US Mortgage High Yield Index: Tier 3
Series ID:           CRTINDEXTIER3
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  100.46248090136353
2015-08-01  100.45396319399231
2015-09-01  100.60348488052509
2015-10-01  100.56893218875090
2015-11-01  100.74759046130305
2015-12-01  100.69953292096112
2016-01-01  100.78791369386848
2016-02-01  100.88948673399962
2016-03-01  101.52849140108832
2016-04-01  102.20153366746743
2016-05-01  102.80618280005297
2016-06-01  102.96353699727707
2016-07-01  103.56567482663974
2016-08-01  104.01584313274103
2016-09-01  104.22296421530203
2016-10-01  104.06877804757536
2016-11-01  104.18904142032319
2016-12-01  104.55589244016912
2017-01-01  105.02570589635076
2017-02-01  105.34755291692050
2017-03-01  105.72929508964809
2017-04-01  106.09830575976898
2017-05-01  106.36044592943136
2017-06-01  106.66719381412766
2017-07-01  107.12839163081690
2017-08-01  107.02606117754459
2017-09-01  107.16432886823252
2017-10-01  107.45221174973443
2017-11-01  107.62423270102673
2017-12-01  107.88998772872350
2018-01-01  108.15804176034223
2018-02-01  108.28762463692940
2018-03-01  108.45591521441415
2018-04-01  108.71925952983189
2018-05-01  108.97278772871815
2018-06-01  109.20518766996427
2018-07-01  109.47723378611397
2018-08-01  109.78879666779828
2018-09-01  110.06077967242271
2018-10-01  110.22654861011704
2018-11-01  110.25131623822196
2018-12-01  110.42392086560206
2019-01-01  110.94063091890682
2019-02-01  111.35373410641017
2019-03-01  111.66840554770404
2019-04-01  112.05015468068719
2019-05-01  112.39944105438275
2019-06-01  112.58558147767329
2019-07-01  112.95188715164136
2019-08-01  113.09244458812697
2019-09-01  113.37981695346112
2019-10-01  113.64285795227731
2019-11-01  113.86313498399555
2019-12-01  114.16462591128573
2020-01-01  114.49256523029021
2020-02-01  114.59552977852312
2020-03-01  109.45161431997407
2020-04-01  108.76874061951749
2020-05-01  112.21077832652999
2020-06-01  115.36907417232557
2020-07-01  115.90263136629570
2020-08-01  116.19944344895181
2020-09-01  116.66511981514084
2020-10-01  117.25571598513832
2020-11-01  118.04009342640931
2020-12-01  118.63586119728824
2021-01-01  119.13732313423425
2021-02-01  119.15241304611725
2021-03-01  119.26650998587219
2021-04-01  119.79860993936747
2021-05-01  119.82784780752041
2021-06-01  120.14943256662873
2021-07-01  120.13299156158004
2021-08-01  120.39577206189382
2021-09-01  120.52854420399649
2021-10-01  120.65482658381850
2021-11-01  120.66643553622039
2021-12-01  120.74578716934803
2022-01-01  120.81154482319926
2022-02-01  119.94391015859787
2022-03-01  118.82613841066530
2022-04-01  119.13892049621448
2022-05-01  117.87002483667710
2022-06-01  116.53684655930499
2022-07-01  118.37236551149353
2022-08-01  120.42681040198599
2022-09-01  117.89733750322976
2022-10-01  118.07056620951525
2022-11-01  119.84421447332853
2022-12-01  122.06544601472153
2023-01-01  124.18662905323622
2023-02-01  124.99954845928757
2023-03-01  124.79193649047697
2023-04-01  126.36930557577095
2023-05-01  127.25436361120059
2023-06-01  128.28067456354287
2023-07-01  130.38162816359235
2023-08-01  131.04260478552374
2023-09-01  132.23969340375922
2023-10-01  132.97567226338710
2023-11-01  134.31662209239667
2023-12-01  135.75173665394095
2024-01-01  137.54986196415558
2024-02-01  138.18435340628270
2024-03-01  138.98826359471985
2024-04-01  140.05461439343060