Board of Governors of Federal Reserve System : FRED Adds U.S. Mortgage High Yield Indexes from Andrew Davidson and Co.

05/25/2021 | 11:47am
FRED Adds U.S. Mortgage High Yield Indexes from Andrew Davidson and Co.
Posted onMay 25, 2021

These 10 index series from Andrew Davidson & Company (AD&Co) track the total return of the bonds issued within the CRT programs of Fannie Mae and Freddie Mac. The U.S. Mortgage High Yield Indexes is an informational, investment-oriented monthly index of the return components: price, coupon, paydown, and credit loss. Accompanied by standard risk metrics from their models, the index is useful for comparisons with individual CRT bonds or relative value to other credit markets.

The crOAS (credit-and-option-adjusted spread) series are an extension of the traditional OAS measure. On a set of 20 standardized, probabilistically weighted, market-and-model stress scenarios, AD&Co computes a discount rate that equates expected present value of a tranche's cash flows to the observed market price; the cash flows are loss-adjusted using AD&Co's LoanDynamics Model (LDM).

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.

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Federal Reserve Bank of St. Louis published this content on 25 May 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 25 May 2021 15:46:02 UTC.

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