Credit Risk Transfer


At AD&Co, we were instrumental in the creation of Structured Agency Credit Risk (STACR) from Freddie Mac and Connecticut Avenue Securities (CAS) from Fannie Mae, two risk-sharing transactions that brought together issuers, investors, policy makers, regulators and others. Now that credit risk-sharing has surpassed the $3 trillion threshold as an asset class, we continue to be at the forefront of anticipating how risk-sharing programs will evolve.

We understand the credit risk options originators face and the relative value of Credit Risk Transfer (CRT) in the bond sector from a buy-side perspective. We also understand mortgage insurance (MI), as well as the evolution of Agency Credit Insurance Structures (ACIS) and Credit Insurance Risk Transfer (CIRT) transactions from a reinsurance point-of-view. In looking at these developments in the composite, we also recognize their impact on the future of Government Sponsored Enterprise (GSE) reform.

Our products can help you:

  • Project loan level collateral performance for a given transaction over a range of scenarios and understand tail risk

  • Compare collateral across various transactions and monitor historical performance



Tools you can use

LoanDynamics logoAgency LDM+ is a version of our LDM borrower behavior model, which is designed to evaluate and quantify the credit risk in mortgage assets. It is the best LDM option for CRT deals with actual severity and agency-quality whole loans.

LoanKinetics logoLoanKinetics (LK) is our multi-functional whole-loan application that allows users to evaluate legacy and newly originated residential loans in the context of credit performance, valuation, loan loss analysis/attribution, and stress testing.

RiskProfiler logoRiskProfiler (RP) is our comprehensive valuation solution that integrates our LoanDynamics Model and OAS Subroutine into a single, flexible platform. It offers built-in reporting and parallel and distributed (cluster) computing, as well as a database in which to store positions and past performance.

Insights that can help you
Contact our Client Support Team for access
CRT Monitor

The CRT Monitor is a monthly report analyzing traded tranches of Agency Credit Risk Transfer deals. We evaluate the CreditProfile Category (CPC), the underlying credit metrics, and Option-Adjusted Spreads (OAS) given market levels at the close of a month. The underlying analysis is performed using RiskProfiler, our end-user valuation solution, and LoanDynamics credit model.

US Mortgage High-Yield Index

The AD&Co US Mortgage High Yield Index (USMHY) tracks the total return of the bonds issued within the CRT programs of Fannie Mae and Freddie Mac. USMHY is an informational, investment-oriented monthly index of the return components: price, coupon, paydown, and credit loss. Accompanied by standard risk metrics from our models, the index is useful for comparisons with individual CRT bonds or relative value to other credit markets.