CRT love

Category: Capital Relief Trades Risk Management

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FHFA promotes CRT usage and tempts Fannie back into the mix

The Federal Housing Finance Agency (FHFA) hopes to both lure Fannie Mae back to the CRT market and increase access to affordable housing with its proposed amendments to the Enterprise Regulatory Capital Framework (ECRF) unveiled two days ago, suggest sources.

By replacing the fixed leverage buffer with a dynamic leverage buffer, it becomes more likely that risk-based capital will become the binding constraint upon the GSEs while the RWA floor on CRT exposures has been halved.

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