Jump to ContentJump to Main Navigation
The Handbook of Mortgage-Backed Securities7th Edition$
Users without a subscription are not able to see the full content.

Frank J. Fabozzi

Print publication date: 2016

Print ISBN-13: 9780198785774

Published to Oxford Scholarship Online: October 2016

DOI: 10.1093/acprof:oso/9780198785774.001.0001

Show Summary Details
Page of

PRINTED FROM OXFORD SCHOLARSHIP ONLINE (www.oxfordscholarship.com). (c) Copyright Oxford University Press, 2019. All Rights Reserved. An individual user may print out a PDF of a single chapter of a monograph in OSO for personal use. date: 13 December 2019

GSE Credit Risk Transfer Deals

GSE Credit Risk Transfer Deals

Chapter:
(p.235) Chapter 10 GSE Credit Risk Transfer Deals
Source:
The Handbook of Mortgage-Backed Securities
Author(s):

Debra Chen

Publisher:
Oxford University Press
DOI:10.1093/acprof:oso/9780198785774.003.0010

This chapter analyzes the government-sponsored enterprise (GSE) credit risk transfer (CRT) deals of Fannie Mae and Freddie Mac, part of the Federal Housing Finance Agency’s (FHFA) initiative to bring private capital back to the mortgage market after the global financial crisis. Credit risk transfer bonds are unsecured obligations of the GSEs and the cash flows of credit risk transfer bonds are linked to the performance of the reference mortgage pools. The deal structure of the CRT is different from traditional non-agency residential mortgage-based securities (RMBS) due to the default definition and a fixed severity schedule. The collateral for credit risk transfer bonds consists of 30-year amortizing fixed-rate loans that originated post crisis with the loan-to-value ratios falling in a certain range. Freddie Mac’s risk transfer shelf is Structured Agency Credit Risk (STACR), while Fannie Mae’s is Connecticut Avenue Securities (CAS).

Keywords:   government-sponsored enterprise, GSE, credit risk transfer, CRT, Fannie Mae, Freddie Mac, Federal Housing Finance Agency, mortgage market, Structured Agency Credit Risk, Connecticut Avenue Securities

Oxford Scholarship Online requires a subscription or purchase to access the full text of books within the service. Public users can however freely search the site and view the abstracts and keywords for each book and chapter.

Please, subscribe or login to access full text content.

If you think you should have access to this title, please contact your librarian.

To troubleshoot, please check our FAQs , and if you can't find the answer there, please contact us .