Monthly
Index
2015 - 2026
Jun 1, 2015 to Jan 1, 2026
FRED
2 weeks ago
RecentMay 12, 2026
The AD&Co US Mortgage High Yield Index crOAS, credit-and-option-adjusted spread, is 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 tranche's cash flows to the observed market price; the cash flows are loss-adjusted using AD&Co's LoanDynamics Model (LDM). 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 ori
As of January 1, 2026 • M data • Source: FRED
This dataset contains 128 monthly observations, over 10 years, 10 months, updated monthly from FRED. View Methodology
Data Points
128
Coverage
10 years, 10 months
Updates
monthly
This dataset's metadata was updated on 5/14/2026. The current data may be outdated.