In 2012 the Federal Housing Finance Agency (FHFA) initiated a plan to reduce Fannie Mae’s and Freddie Mac’s overall risk. A market for Credit Risk Transfer (CRT) securities developed in 2013 with the introduction of structured debt issuances, known as Structured Agency Credit Risk (STACR) for Freddie Mac, and Connecticut Avenue Securities (CAS) for Fannie Mae.
For more than 30 years, Yield Book has been a trusted source for analyzing Residential Mortgage-Backed Securities (RMBS). With the rapid growth of the Agency CRT market, we have developed a comprehensive framework for analyzing and valuing CRT bonds within our products. Our analysis leverages a series of market-tested models, including our agency prepayment model, stochastic HPA model, credit roll rate model, and loss severity model.