Table Data - AD&Co US Mortgage High Yield Index: Tier 1
| 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 2026-07-01 |
| Last Updated | 2026-08-11 3:36 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. Cross-reference CROASGSECALLTIER1 as a version computed with GSE call consideration. Disclaimer: 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. Index Inclusion Rules 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 – all Tranche names – B, B1, B2, M3, M2, M1, M1A, M1B, A1 Normally listed on GSE websites: Freddie Mac, Fannie Mae No private placements No Child Classes (Exchangeable into) or Retained Classes (H bonds) No CIRT, ACIS, SPI Original attachment points and CAS STACR TierAttachment PointsCAS STACR Class0> = 0.00 < .25STACR Class B, B2; CAS Class B1> = 0.25 < .95STACR Class B1, Old M3; CAS Class B12> = 0.95 < 1.75STACR Class M3, M2; CAS Class M23> = 1.75 < 3.75STACR Class M2, M1; CAS Class M1Mid> = 0.25 < 3.75STACR Class Mixed; CAS Class Mixed Input data provided by Intex and ICE Data Services. © Andrew Davidson & Co., Inc. All rights reserved. |
| DATE | VALUE |
|---|---|
| 2015-06-01 | 100.0000000000 |
| 2015-07-01 | 98.9701257818 |
| 2015-08-01 | 98.2241172841 |
| 2015-09-01 | 98.4815362779 |
| 2015-10-01 | 97.9898258957 |
| 2015-11-01 | 99.0805295856 |
| 2015-12-01 | 98.9960774668 |
| 2016-01-01 | 96.3264116406 |
| 2016-02-01 | 95.3099819458 |
| 2016-03-01 | 100.9569639463 |
| 2016-04-01 | 103.7561981407 |
| 2016-05-01 | 104.2166514368 |
| 2016-06-01 | 104.0883686090 |
| 2016-07-01 | 108.3677617500 |
| 2016-08-01 | 109.7284957593 |
| 2016-09-01 | 111.0504924569 |
| 2016-10-01 | 110.8030285063 |
| 2016-11-01 | 111.2608523534 |
| 2016-12-01 | 112.8138348653 |
| 2017-01-01 | 114.9309512434 |
| 2017-02-01 | 115.3948874194 |
| 2017-03-01 | 116.7355581223 |
| 2017-04-01 | 119.2778135616 |
| 2017-05-01 | 120.0614764780 |
| 2017-06-01 | 121.3836829244 |
| 2017-07-01 | 122.4750603287 |
| 2017-08-01 | 120.5009420064 |
| 2017-09-01 | 120.7010616976 |
| 2017-10-01 | 121.8985010383 |
| 2017-11-01 | 122.7609957618 |
| 2017-12-01 | 124.7189842881 |
| 2018-01-01 | 126.4251735893 |
| 2018-02-01 | 126.6678359971 |
| 2018-03-01 | 126.4777545653 |
| 2018-04-01 | 127.3487968389 |
| 2018-05-01 | 127.8468286473 |
| 2018-06-01 | 128.2349001375 |
| 2018-07-01 | 129.1398601131 |
| 2018-08-01 | 130.2756215619 |
| 2018-09-01 | 130.9384933547 |
| 2018-10-01 | 130.6623392391 |
| 2018-11-01 | 129.6220173779 |
| 2018-12-01 | 128.2981934943 |
| 2019-01-01 | 130.7512730441 |
| 2019-02-01 | 131.8976146591 |
| 2019-03-01 | 132.1402808992 |
| 2019-04-01 | 133.7033026652 |
| 2019-05-01 | 133.6299605597 |
| 2019-06-01 | 133.8676143820 |
| 2019-07-01 | 135.7694098732 |
| 2019-08-01 | 135.3280121004 |
| 2019-09-01 | 136.6032529091 |
| 2019-10-01 | 136.8773379028 |
| 2019-11-01 | 137.7068977198 |
| 2019-12-01 | 138.8959487551 |
| 2020-01-01 | 141.0904262921 |
| 2020-02-01 | 140.2708262841 |
| 2020-03-01 | 93.3770071640 |
| 2020-04-01 | 94.5400070162 |
| 2020-05-01 | 111.2938190490 |
| 2020-06-01 | 126.9274773196 |
| 2020-07-01 | 122.5397276816 |
| 2020-08-01 | 127.1727998507 |
| 2020-09-01 | 129.1103983276 |
| 2020-10-01 | 130.9637458045 |
| 2020-11-01 | 137.1210522622 |
| 2020-12-01 | 140.5795886457 |
| 2021-01-01 | 142.8650423847 |
| 2021-02-01 | 143.2316817000 |
| 2021-03-01 | 142.1063354091 |
| 2021-04-01 | 144.8366914774 |
| 2021-05-01 | 145.8580071434 |
| 2021-06-01 | 147.6905688201 |
| 2021-07-01 | 148.3337786874 |
| 2021-08-01 | 148.8590070698 |
| 2021-09-01 | 150.0914039012 |
| 2021-10-01 | 150.1335526057 |
| 2021-11-01 | 150.3258768363 |
| 2021-12-01 | 151.0850972404 |
| 2022-01-01 | 150.4203567516 |
| 2022-02-01 | 145.6271329830 |
| 2022-03-01 | 143.9668023449 |
| 2022-04-01 | 145.7859851298 |
| 2022-05-01 | 141.2611062570 |
| 2022-06-01 | 138.7249041202 |
| 2022-07-01 | 144.1117339822 |
| 2022-08-01 | 148.1556136281 |
| 2022-09-01 | 143.3433658555 |
| 2022-10-01 | 143.0344647474 |
| 2022-11-01 | 145.0092277667 |
| 2022-12-01 | 149.3726157143 |
| 2023-01-01 | 155.2857045570 |
| 2023-02-01 | 157.4455602625 |
| 2023-03-01 | 156.7126690777 |
| 2023-04-01 | 161.4362726403 |
| 2023-05-01 | 164.5708203954 |
| 2023-06-01 | 169.4363004455 |
| 2023-07-01 | 174.5893515063 |
| 2023-08-01 | 175.6972485459 |
| 2023-09-01 | 178.0426599205 |
| 2023-10-01 | 178.7882539049 |
| 2023-11-01 | 182.6569412243 |
| 2023-12-01 | 185.7260033298 |
| 2024-01-01 | 190.9485135401 |
| 2024-02-01 | 192.4186752184 |
| 2024-03-01 | 195.1514058525 |
| 2024-04-01 | 197.4541938948 |
| 2024-05-01 | 199.9614614610 |
| 2024-06-01 | 201.5676563886 |
| 2024-07-01 | 203.5569915921 |
| 2024-08-01 | 204.4614378220 |
| 2024-09-01 | 206.5936078994 |
| 2024-10-01 | 207.9687311534 |
| 2024-11-01 | 209.8050424442 |
| 2024-12-01 | 211.9175503744 |
| 2025-01-01 | 214.5412816603 |
| 2025-02-01 | 215.8852974121 |
| 2025-03-01 | 214.9826187061 |
| 2025-04-01 | 214.7516499521 |
| 2025-05-01 | 218.3980421156 |
| 2025-06-01 | 220.2522452683 |
| 2025-07-01 | 221.8644729249 |
| 2025-08-01 | 223.1880447943 |
| 2025-09-01 | 224.4939414339 |
| 2025-10-01 | 225.9963360296 |
| 2025-11-01 | 226.9044224903 |
| 2025-12-01 | 228.3071965104 |
| 2026-01-01 | 230.3618243441 |
| 2026-02-01 | 231.4539169219 |
| 2026-03-01 | 231.8910643612 |
| 2026-04-01 | 233.1827350834 |
| 2026-05-01 | 233.9954402092 |
| 2026-06-01 | 235.1988974772 |
| 2026-07-01 | 236.5849592665 |