Trade groups are resigned to whatever model FHFA chooses, but they need data on how it performs compared to FICO to set up their own systems and procedures.

With their unguaranteed subordinate tranches, the K-series was the first enterprise security to transfer credit risk to private investors.

Fannie and Freddie issued CRT on a record $1.052 trillion in UPB in 2021. That’s despite Fannie staying away for the first three quarters.

Economists use risk-based models of future GSE cash flows to calculate costs of the government’s backing of catastrophic losses.

A group of 22 insurers and reinsurance companies are now on the hook for $844.8 million in mortgage credit risk on $23.1 billion in single-family loans.

The former Freddie CEO said that, by expanding the definition and use of CRT, Fannie and Freddie can offer more products with less risk.

The government-sponsored enterprise priced a CAS REMIC deal that was delayed last month. It also executed two CIRT transactions on approximately $50 billion in mortgage loans.

The mortgage giant’s credit-risk transfer program got 2022 off to a good start with its first CIRT transaction of the year.

The regulator has amended the capital rule to improve the capital treatment of credit-risk transfers and reduce the size of the leverage buffer for the GSEs.

Fannie and Freddie CRT programs shift into high gear as FHFA allows more capital relief.