Washington, D.C. – To provide additional transparency to the public, today the Federal Housing Finance Agency (FHFA) published a Credit Risk Transfer (CRT) spreadsheet tool (tool) based on the re-proposed capital rule for Fannie Mae and Freddie Mac (The Enterprises). The tool 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. The tool can be found here.
FHFA’s re-proposed capital rule for the Enterprises, published on 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.