CRT investors and reinsurers gain new valuation insights

PEEKSKILL, NY, February 23, 2023: CRT Hub, a wholly-owned subsidiary of Chasen Enterprises and specialty provider of data, tools and analytics for the structured finance industry, is pleased to announce it has entered into an alliance with Andrew Davidson & Co., Inc. (“AD&Co”), a provider of risk analytics and consulting for residential mortgage loans and mortgage-backed securities. Through this new arrangement, CRT Hub will integrate AD&Co’s LoanDynamics Model into its platform giving Credit Risk Transfer (“CRT”) investors and reinsurers the ability to leverage AD&Co’s mortgage credit model and forecast prepayment, delinquency, default, and loss severity on Agency CRT Securities, Reinsurance and Mortgage Insurance Linked Notes.

“With a focus on transparency and inter-operability, CRT Hub is well positioned to become the market leader in CRT risk management analytics,” said Andy Chasen, Founder and President of CRT Hub. “Our strategy over the long term includes expansion into additional structured products, as we strive to provide greater products and services for the marketplace. The alliance with an industry leader like AD&Co is part of this client-focused game plan to deliver superior insights.”

CRT Hub provides users with the ability to analyze and generate cashflows from a comprehensive library of credit risk transfer securities and reinsurance transactions issued by Freddie Mac, Fannie Mae, and various mortgage insurers. The deal models incorporate key transaction components including information on the underlying reference pool, the liability structure, and such waterfall components as key dates, trigger tests and call provisions.

“Our industry leading LoanDynamics Model (www.ad-co.com/loandynamics) is a perfect addition to the CRT Hub,” said Michelle Stepien, Vendor Relations Manager at AD&Co. “With deep knowledge of mortgage insurers, especially the GSEs, and a commitment to continuously updating our model to ensure maximum valuation outputs, CRT Hub users should benefit from our insights.”

About CRT Hub

CRT Hub is an open environment for data, tools and analytics. The platform supports cashflow generation of credit risk transfer securities and reinsurance transactions based on user inputs for CPR, CDR, Severity, Delinquency and Rates. The inputs can be entered as simple scalars, individual vectors, or as multiple vectors (“scenarios”). CRT Hub allows users to integrate user-provided third-party scenarios or users can access predictive models available on the Hub from leading market vendors. The CRT Hub website offers users the ability to analyze an individual securitization, a specific bond, or a reinsurance transaction. Multiple holdings can be combined with use of the Hub’s portfolio functionality which also allows the user to run portfolios in multiple scenarios simultaneously. For more information, visit www.crt-hub.com or contact: Bob Miller at robert.miller@chasenenterprises.com.

About Andrew Davidson & Co., Inc.

Andrew Davidson & Co., Inc. is known for its leadership in the development of financial research and analytics, mortgage-backed securities product development, valuation and hedging, housing policy and GSE reform, and credit risk transfer transactions. AD&Co develops and licenses prepayment and credit models, as well as risk measurement tools that are used as benchmark analytics by a roster of the world’s largest and most successful financial institutions including top mortgage and commercial banks, insurance companies, mortgage insurers, reinsurers, credit unions, broker-dealers and investment management firms. For more products and services information, visit www.ad-co.com and for direct inquiries contact support@ad-co.com. For media inquiries, contact Ashlea Bonds at ashlea@ad-co.com.