Page 31 - The GSE Report March-April 2018

g Finance Agency (FHFA) r
F t e a t r
e u r
R e
a
i z
e o e
o o
R
2013 through the end of 2017, Fannie Mae and Freddie Mac have
ning single-family credit risk reddie Mac (the Enterprises)
heir overall risk and,
transferred a portion of credit risk on $2.1 trillion of unpaid principal
balance (UPB), with a combined Risk in Force (RIF) of about $69 billion,
or 3.2 percent of UPB. An additional $972 billion of UPB and $246
FANNIE MAE AND FREDDIE MAC MJARN.U-ARPYR.20210818
to taxpayers while they are in e and Freddie Mac started to
ransfer (CRT) programs in ivate investors a substantial new acquisitions the
s in targeted loan categories. single-family fixed-rate
e ratios (LTVs) greater than 60
eater than 20 years. efinance/Fannie Mae Refi Plus
r minimal exclusions apply.)
ms include credit risk
es, insurance/reinsurance nate securitizations, and a ed recourse transactions. As
rvatorship Scorecard, the vate and experiment with mpt to expand the scope of
f their efforts to further nomically sensible.
isk Transfer Structures, see
billion of RIF has been transferred to primary mortgage insurers from 2013 through the end of 2017 as described on page 4. Through CRT and mortgage insurance, the majority of the underlying mortgage credit risk on mortgages targeted for CRT has been transferred to private
investors.
ENTERPRISE SINGLE-FAMILY MORTGAGE CRT ACTIVITY
Enterprise Single-Family Mortgage CRT Activity, 2013 - 2017
Cumulative Reference Pool UPB1
Fannie Mae $1,254
Freddie Mac 873 600 Total $2,127
$689
Reference Pool UPB1
$ in billions
400 200
$378
$549 $420
$90
Fannie Mae
Freddie Mac
$32
$58
$231
$147
$239
$181
$335
$214
$417
$272
0
1 The UPB shown in the table is 100 percent of each associated reference pool at issuance.
2013 2014
2015 2016 2017
page 2
The Progress Report also shows that, in 2017:
• The Enterprises transferred risk on $689 billon of UPB with a total RIF of $20.6 billion. Debt issuances, like Structured Agency Credit Risk (STACR) and Connecticut Avenue Securities (CAS), accounted for 69 percent of RIF.
• Freddie Mac expanded its STACR program to a new series of STACR debt notes, called SHRP. SHRP notes are backed by loans that meet the Home Affordable Refinance Program eligibility criteria and have mark-to-market loan-to-value ratios between 60 and 150 percent, allowing Freddie Mac to transfer risk on some of its most seasoned loans.
© 2018 by Canfield Press, LLC. All rights reserved.
www.canfieldpress.com 31