asaari Securitization Engine
© 2026 Asaari Inc.
asaari

Loan Pool

Tranche Details

Subscribe to a Tranche

Connect a wallet and deposit USDC to mint tranche tokens. This demo supports a simulated wallet — no extension required.

or

No Web3 wallet detected. Use the demo wallet above, or install MetaMask (or another wallet) to connect.

Demo

Your Positions

Implied Portfolio Return
Blended Yield —
Monthly Income —
Annual Income —

Subscribe

Performance

12-month simulation results. Tranche returns, capital structure, and payment waterfall.

Tranche Subscription

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

Simulation

1Reset
→
2Pool
→
3Subscribe
→
4Loans
→
512-mo Waterfall
→
6Capital Return
Refreshing model…
Initializing...
Senior Interest
$0
Mezz Interest
$0
Junior Interest
$0
Total Distributed
$0

Settings

Configure tranche parameters and loan pool settings. Changes automatically regenerate the loan pool and rerun the simulation.

Core Structure

▼

Loan Pool & Tranche Allocation

Total pool size; tranches allocate from this

Percentages must sum to 100. Set any tranche to 0 to disable it.

Target Yields & Coupon Rates

Target: hurdle rate for performance fee comparison (shown when tranche perf fees enabled). Coupon: actual rate paid. Junior receives residual.

Reserve Settings

Percentage of remittance allocated to reserve

Liquidity Pool: optional pre-funded buffer for shortfalls and liquidations. When 0, shortfalls draw from reserve then junior. When set, draws come from liquidity pool first.

Stress Cascade (LTV Thresholds)

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

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

Revenue

Fee breakdown by category: upfront, recurring, performance, and other income. Configure assumptions in Deal Setup (Settings).

Collateral Risk Engine

Stress Test

Deterministic

Apply a specific BTC drawdown to your loan pool and observe 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.

▸ Configuration
40% drawdown 12 mo Moderate

Scenario

Percentage drop from current BTC price
Total months to simulate
Months when BTC price shock occurs (add multiple for sequential stress)

LTV cascade (Warning, Margin Call, Partial Liq) is configured in Settings → Core Structure → Stress Cascade. Use presets below or edit there and Save Settings.

% of principal recovered on full liquidation (runtime only, not saved)
Advanced Parameters
Constant Default Rate — annual rate of performing loan balance that defaults (independent of BTC price). 0 = disabled.
Conditional Prepayment Rate — annual rate of performing loans that prepay. Returns principal but reduces future interest. 0 = disabled.
Presets:
Running stress test — this may take 30–60 seconds. The main simulation will be restored automatically when done.
Cross-Tool
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 a single run to map tranche yields, liquidation losses, and find the senior break-even point. Each level runs a full stress simulation with LTV cascade.

Configuration

Total months to simulate per scenario
% of principal recovered on full liquidation
Months when BTC price shock occurs per drawdown level

Uses LTV cascade from Settings → Core Structure → Stress Cascade. CDR (Conditional Default Rate) models borrowers defaulting for non-price reasons (e.g. bankruptcy, fraud). Set to 0 for pure collateral stress; 1–3% for realistic credit risk overlay. Runtime-only — not saved to settings.

Running sensitivity sweep — this may take 60–90 seconds (8 full simulations). The main simulation will be restored automatically when done.

Scenario Library

Predefined

Run institutional stress scenarios — flash crash, bear market, crypto winter, liquidity crisis, and more. Each scenario applies its own GARCH overrides to the MC engine. Compare outcomes side-by-side for risk reporting.

Demo

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Risk Glossary