These 10 index series Andrew Davidson & Company (AD & Co) track the total return of bonds issued under the CRT programs of Fannie Mae and Freddie Mac. The US Mortgage High Yield Indices are an informative monthly index that focuses on investing the elements of return: price, coupon, redemption and credit loss. Accompanied by standard risk measures from their models, the index is useful for comparisons to individual CRT bonds or relative value against other credit markets.
The crOAS (Credit and Option Adjusted Spread) series is an extension of the traditional measure of OAS. On a set of 20 standardized, probabilistically weighted market stress scenarios and model, AD & Co calculates a discount rate which assimilates the expected present value of the cash flows of a tranche to the observed market price; cash flows are adjusted for losses using the LoanDynamics Model (LDM) from AD & Co.
Warning: The AD & Co US Mortgage High Yield Index serves as an informational index and is not for trading purposes. The accuracy, completeness, timeliness and suitability for any objective of the Index are not guaranteed. The Index does not constitute (1) professional investment, legal, accounting, tax or other advice, nor (2) any recommendation or solicitation to buy, hold, sell or trade any investment. This index has been prepared for general information purposes, without taking into account the circumstances or objectives of any particular investor. Any reliance on the Index is at the reader’s own risk. Any investment is subject to many 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 the trading of investments which may be the same or similar to those shown in the Index.