CRT Hub Yield Surface Plots

May 28, 2020

Generate custom CRT cashflow visualizations.

As the market braces for a rise in mortgage default rates and continuously adapts to new forbearance rule changes, Credit Risk Transfers are quickly coming under the spotlight. Thanks to a new content partnership with CRT Hub, our latest feature provides Empirasign users with essential insight into CRT cashflows.

The Yield Surface Plot generator allows you to visualize CRT Yield across a range CPR and CDR values for a set of fixed custom inputs for price, loss severity, delinquency, and LIBOR. Simply click on the "CRT Hub Yield Surface" button at the top of the page, enter the required fixed parameters, and hit "Generate Yield Surface." Once the visual finishes rendering, scroll over any area to reveal CPR, CDR, and yield, or click and drag the graph to rotate your view of its three-dimensional surface. A link to this tool will be available at the top of every STACR and CAS bond trade history page on Empirasign for the next two months.

Yield Plot SECID link

Yield Plot Coordinates

A Bit About CRT Hub

CRT Hub was founded in 2017 by Andy Chasen as a follow up to Chasen Enterprises, which provided cashflows and analytics on structured mortgage products for 17 years before being purchased by IHS Markit. The cloud-based platform provides cashflows and analytics on Credit Risk Transfer structured transactions including Securities (STACR/CAS), Reinsurance Products (ACIS/CIRT), and Mortgage Insurance (MI-ILN). CRT Hub allows users to evaluate their CRT positions using static CPR/CDR, proprietary vectors and scenarios, or through integration with third party predictive modeling. Visit their website: www.chasenenterprises.com

A Note on Your Personal Information

Unless you click through to the CRT Hub website, no information that can personally identify you or your organization will leave Empirasign. If you only generate yield surface plots via the Empirasign web app, all of your activity data and information will stay within Empirasign.


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