Strengthen your Credit Risk Transfer analysis with Yield Book

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.  

Watch this webinar for more information about Yield Book’s coverage of CRT deals, an overview of our models, and to better understand the types of analysis that can be performed.

Coverage

Bonds offered by credit risk sharing programs:

  • Freddie Mac Structured Agency Credit Risk (STACR®)
  • Freddie Mac Agency Credit Insurance Structure (ACIS®)
  • Freddie Mac Whole Loan Securities (WLSSM)
  • Fannie Mae Connecticut Avenue Securities (CAS)

Notable features

  • Daily prices with pre-calculated analytics
  • Modifiable margins for pre-closing analysis
  • Customizable collateral for model insight and transparency

See Yield Book in action

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