FHFA Publishes Credit Risk Transfer Spreadsheet Tool
The Federal Housing Finance Agency June 2 published a Credit Risk Transfer spreadsheet tool based on the re-proposed capital rule for Fannie Mae and Freddie Mac.
FHFA said the tool is designed to provide additional transparency. It shows how CRT formulas work and allows users to input assumptions and calculate the amount of capital the Enterprises are required to hold across retained risk exposures in different types of CRT transactions.
The tool will better inform public comment on the proposed treatment of CRT,” FHFA said.
The tool can be found here.
FHFA’s re-proposed capital rule for the Enterprises, published May 20, proposes changing the amount of capital the Enterprises are required to hold against CRT deals. “This tool provides transparency about the technical aspects of current CRT calculations as well as under the re-proposed rule,” FHFA said.