Mortgage Reinsurance

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JOIN US AT THE FOREFRONT OF THE FAST-CHANGING REINSURANCE MARKET

Following the advent of the credit risk transfer (CRT) program in 2012, reinsurance contracts linked to agency residential mortgage whole loan pools were introduced to the market. While these contracts perform a function similar to the CRT bonds issued by Fannie Mae and Freddie Mac, the language used by reinsurance companies can be different from that of fixed income credit portfolio managers. At AD&Co, we are fluent in both.

In addition, we closely monitor the CRT space. Working with reinsurers since the initiation of the CRT program, we have held multiple events to educate brokers, reinsurers, and rating agencies about the nuances of mortgage borrowers and the use of appropriate analytics. We closely monitor regulatory issues that impact changes to this new and expanding business opportunity for reinsurers.
 

Our products can help you:

  • Evaluate inherent risk in a loan under scenarios ranging from benign to extreme stress

  • Compare the loans insured under different CRT transactions

  • Monitor the performance of loans over time

  • Determine the adequacy of premiums initially and over time

Tools you can use

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. Whether the borrower pays an upfront premium or an ongoing premium, LoanKinetics can project the insurer’s exposure to loss.

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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.

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Insights that can help you
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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.

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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.

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