 |
 |
Exhibit 1. Recent History of Par-Coupon OAS (AD&Co’s Valuation Model)
The fixed-rates have widened by 20 bps whereas the hybrids have widened by 35 to 60 bps. In compiling the data for Exhibit 1 we employed our published OAS results that reflect the disclosed changes in prepayment views. In particular, we have been using the 0.85 turnover scale for 30-yr fixed-rate TBAs
