asaari Securitization Engine
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© 2026 Asaari Inc.
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Pool Manager

Select a pool to open it in Pool Detail, or use the gear to configure that pool’s settings.

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Tranche Subscription

Subscription status: Total = tranche size (authorized). On-chain = tokenized supply. Off-chain = subscribed but not yet tokenized.

Waterfall Priority

Tranche returns are determined by their position in the waterfall: senior tranches receive priority payments and bear lower risk, while junior tranches absorb first losses and earn residual returns.

Senior — Priority Payment Mezzanine — Subordinated Junior — First-Loss / Residual
Yield Methodology · Interest-Only, Bullet Maturity YTD Ann. Yield = (Σ coupon payments ÷ initial capital) × (12 ÷ periods elapsed)
Excludes principal return at maturity Compared against target annual yield

Invest

Connect a wallet to subscribe to tranches and track your portfolio.

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Your Portfolio

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Projected Return
Blended Yield —
Monthly Income —
Annual Income —
Refreshing model…
Initializing...
▶ Full 12-Month Waterfall 12 months

Enter your target yields (%) and get a suggested allocation and coupon structure.

①Enter your target yields
→
②Optimizer searches hundreds of combinations
→
③Returns the best-matching structure
Structuring Constraints

Sweep a structuring parameter to see how it impacts tranche yields and credit enhancement.

Compare current warehouse funding vs securitization. See equity released, cost savings, ROE, and break-even default rates.

Settings

Global defaults for loan pool configuration and revenue. Used for new pools or when a pool has no override. Accessible by Admin and Originator roles.

Loan Pool Configuration

▼
Total number of loans in the pool (random pool: 200-500)
Random seed for loan generation (deterministic)
BTC price for collateral calculations
Minimum initial LTV for generated loans
Maximum initial LTV for generated loans

Simulate early loan payoffs where principal is returned but future interest cashflows are lost.

Revenue Assumptions

▼

Configure fee rates and revenue model assumptions. View calculated revenues in the Revenue tab.

Transaction Fees

Upfront Fees (bps, one-time at deal close)
Recurring Fees (bps, annual, on outstanding balance)

These fees are deducted monthly from interest collections before waterfall distribution.

Revenue Participation

Platform retains a portion of the junior tranche position, participating in residual cashflows after all tranche obligations are met.

Percentage of junior tranche principal retained
Percentage of residual cashflows allocated to platform

Platform captures a share of the spread between borrower rates and liability costs.

Fee on platform's retained junior when ROI exceeds hurdle (requires Retain Residual Participation).

Investor Tranche Performance Fees

Fee on investor tranches when YTD yield exceeds hurdle (per tranche).

Enabled
Hurdle (%)
Fee (%)
Senior
Mezzanine
Junior

Secondary Market & Scale

Fees collected from secondary market trading activity.

Portfolio Scale
For single deal, equals pool size
No unsaved changes

Pool Settings

Set tranche allocation, coupon rates, and reserve for this pool.

⚙

No pool selected

Select a pool from Pool Manager, then use the gear on that row to open Pool Settings.

Structure & risk

▼

Loan Pool & Tranche Allocation

Total Loan Pool: — Derived from the sum of all loans in this pool

Junior is auto-calculated as 100% minus Senior and Mezzanine.

Target Yields & Coupon Rates

Target: hurdle for performance fee. Coupon: rate paid to investors. Junior receives residual.

100 bps = 1%. E.g. 650 bps = 6.50%

Reserve Settings

Reserve top-up from remittance; cap limits size. Liquidity pool: optional pre-funded buffer for shortfalls.

% of remittance to reserve
Advanced: Stress Cascade (LTV Thresholds)

Used by Stress Test and Sensitivity. Flow: Warning → Margin Call → Partial Liq → Full Liq.

Loan Pool Configuration

▼

Number of loans, seed for reproducibility, and BTC price for collateral. LTV range applies to generated loans.

Total loans in this pool
Deterministic generation
For collateral calculations
Minimum initial LTV for generated loans
Maximum initial LTV for generated loans

Simulate early loan payoffs; principal returned but future interest cashflows are lost.

Revenue Assumptions

▼

Fee rates and revenue model for this pool. View calculated revenues in the Revenue tab.

Transaction Fees

Upfront fees (bps, one-time at deal close)
Recurring fees (bps/yr, on outstanding balance)

Deducted monthly from interest collections before waterfall.

Revenue Participation

Platform retains a portion of the junior tranche; participates in residual cashflows.

% of junior principal retained
% of residual to platform

Platform captures a share of the spread between borrower rates and liability costs.

Fee on platform retained junior when ROI exceeds hurdle (requires Retain Residual).

Investor Tranche Performance Fees

Fee on investor tranches when YTD yield exceeds hurdle (per tranche).

Enabled
Hurdle (%)
Fee (%)
Senior
Mezzanine
Junior

Secondary Market & Scale

Fees from secondary market trading activity.

Portfolio scale
For single deal, equals pool size
No unsaved changes

Your Positions

Holdings across all pools.

Returns

Yield Streams

Browse products grouped by pool. Enter an amount on any row to add it to your cart, then subscribe to everything in one go.

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Composer

0 items

Select products and enter amounts to compose your portfolio.

Yield Impact
Blended Yield —
Monthly Income —
Annual Income —
Total Capital —

My Yield Streams

Yield streams you are currently subscribed to across all pools.

My Synthetic Yield Streams

Your saved bundle strategies. Activate to subscribe to all positions at once.

Stress Test

Deterministic

Apply a specific BTC drawdown to your loan pool and see the full LTV cascade: Warning → Margin Call → Partial Liquidation → Full Liquidation. Compare base-case vs stressed tranche outcomes month by month. Start here for a quick "what if" check.

Quick steps
  1. Choose a drawdown % and when the price shock hits (stress months).
  2. Use a preset or open Configuration to tweak LTV thresholds and recovery.
  3. Click Run Stress Test — results show senior coverage, losses, and tranche impact.
▸ Scenario & parameters
40% drawdown 12 mo Moderate

1. Scenario

Set how far BTC drops and over how many months to simulate.

Percentage drop from current BTC price. Slider and number stay in sync.
Total months to run the simulation (base and stress).
Add one or more months when the BTC drop is applied (e.g. Month 1 for immediate shock). Remove with × on each chip.

2. Liquidation & recovery

LTV cascade (Warning → Margin Call → Partial Liq)

Thresholds are set in Settings → Pool parameters → Stress Cascade. Use the presets below to apply common levels, or edit there and Save Settings. This panel only shows your current cascade and recovery.

Share of principal recovered when a loan is fully liquidated. Used for this run only (not saved to settings).
Advanced: CDR & CPR

Optional: model defaults and prepayments alongside the price shock.

Constant Default Rate — annual rate of performing balance that defaults (e.g. bankruptcy). 0 = off.
Conditional Prepayment Rate — annual rate of early payoffs. Principal returned; future interest reduced. 0 = off.
Quick setup
Running stress test — this may take 30–60 seconds. The main simulation will be restored automatically when done.
Next step
Pool Health ?
--
Expected Loss ?
--
Liq. Rate ?
--
ES 99% ?
--
Rec. Reserve ?
--
Recommended workflow: 1 Stress Test → 2 Sensitivity → 3 Monte Carlo → 4 Scenarios

Monte Carlo Simulation

Probabilistic

Run GARCH(1,1) + Student-t Monte Carlo to estimate loan liquidation probabilities and tranche loss distributions. Run after stress and sensitivity to get the full probabilistic risk picture.

Simulation

Auto-populated from settings; edit to override
Multiplier on slippage tiers
Market Model DEFAULTS

GARCH(1,1) ? + Student-t ? parameters for BTC return dynamics. Edit manually or calibrate from historical data.

5 years
Persistence (α+β): 0.98

Sensitivity Analysis

Multi-Scenario

Sweep BTC drawdowns from 10% to 70% in one run to map tranche yields, liquidation losses, and the senior break-even point. Each level runs a full stress simulation with the same LTV cascade.

Quick steps
  1. Set simulation length and when the price shock hits (stress months) — same idea as Stress Test.
  2. Optionally add CDR for credit-risk overlay. LTV cascade comes from Settings → Pool parameters → Stress Cascade.
  3. Click Run Sensitivity Sweep — you get a table and charts for 7 drawdown levels and the break-even point.

1. Scenario parameters

Same as Stress Test: how long to simulate and in which months the BTC shock is applied (for every drawdown level).

Total months per scenario (each of the 7 drawdown levels runs this many months).
Share of principal recovered on full liquidation. Used for this sweep only.
Add one or more months when the drawdown is applied (same for all 7 levels). Remove with × on each chip.

2. LTV cascade & optional CDR

LTV cascade

Thresholds (Warning, Margin Call, Partial Liq) are set in Settings → Pool parameters → Stress Cascade. CDR (Conditional Default Rate) adds borrower defaults for non-price reasons (e.g. bankruptcy). Set to 0 for pure collateral stress; 1–3% for a credit overlay. Not saved to settings.

0 = collateral-only stress. 1–3% = realistic credit risk overlay.
Running sensitivity sweep — this may take 60–90 seconds (1 base + 7 drawdown levels). The main simulation will be restored automatically when done.

Scenario Library

Predefined

Stress scenarios ranked by likelihood — from routine volatility spikes to rare black swan events. Each shows what happens to your portfolio in plain English, with historical precedent. Click any scenario to run it, or compare all side-by-side.

KYB Review

Review and approve or reject Know Your Business applications from Originators and Investors.

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Business Profile

Your verified business identity and account details.

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