FHFA Provides Guidance to FHLBs For Using Own Asset Risk Models
April 27, 2018
The Federal Home Loan Banks will be able to use their own models and methodologies for internal assessments of mortgage asset credit risk next year, according to a bulletin issued by the Federal Housing Finance Agency late this week. The FHFA provided guidance on the models, which would apply to acquired member asset (AMA) mortgage pools, mortgage-backed securities, and collateralized mortgage obligations. “A bank should select a credit-risk model that is capable of producing loan-level estimates of potential credit loss, and that can accept as an input user-defined macroeconomic stress scenarios disaggregated to at least the state level,” said the FHFA.