Credit Risk Transfer

The credit risk transfer (CRT) programs at Fannie Mae and Freddie Mac (the Enterprises) were established to reduce taxpayer exposure to risks arising from credit guarantees extended by the Enterprises through their normal courses of business. The Federal Housing Finance Agency (FHFA) initiated development of a CRT program in 2012 to reduce risk at the Enterprises during their conservatorships, and Fannie Mae and Freddie Mac began implementing their CRT programs in 2013. Under FHFA’s oversight through guidelines, instructions, strategic plans, and Scorecard objectives, the programs have since become a core part of the Enterprises’ single-family guarantee businesses, similar to how risk sharing with the private sector is an integral part of the Enterprises’ multifamily businesses. Using a range of different transaction structures, the Enterprises have transferred to private investors a substantial amount of credit risk assumed through the acquisition of single-family loans in targeted loan categories. The programs include or have included CRTs via capital markets issuances (both corporate debt and bankruptcy remote trust structures), insurance/reinsurance transactions, senior/subordinate transactions, and a variety of lender collateralized recourse transactions. The Enterprises continue to evaluate the scope of their CRT programs and innovate within the CRT market by employing different structures as part of their efforts to further reduce risk, all while using transactions that are economically sensible.

Links:

Credit Risk Transfer Progress Report Fourth Quarter 2023 (4/11/2024)

Credit Risk Transfer Progress Report Fourth Quarter 2022 (5/31/2023)

Credit Risk Transfer Progress Report Fourth Quarter 2021 (5/2/2022)

FHFA Announces Final Rule Amending the Enterprise Regulatory Capital Framework (2/25/2022)

Final Rule: Enterprise Regulatory Capital Framework - Prescribed Leverage Buffer Amount and Credit Risk Transfer (2/25/2022)

Fact Sheet: Final Rule to Amend the Enterprise Regulatory Capital Framework (2/25/2022)

Enterprise Capital Credit Risk Transfer Tool (XLS) (2/25/2022)

FHFA Issues Notice or Proposed Rulemaking to Amend the Enterprise Regulatory Capital Framework (9/15/2021)

Proposed Rule: Amendments to the Enterprise Regulatory Capital Framework Rule - Prescribed Leverage Buffer Amount and Credit Risk Transfer (9/15/2021)

Fact Sheet: Proposed Rule to Amend Enterprise Regulatory Capital Framework (9/15/2021)

Enterprise Capital Credit Risk Transfer Tool (XLS) (9/15/2021)