Credit Risk Transfer (CRT): The US Government Sponsored Enterprises (GSEs) Fannie Mae and Freddie Mac bundle tens of thousands of mortgage loans into mortgage-backed securities (MBS), for which they guarantee that investors will receive all interest and principal. In exchange, the GSEs charge a guarantee fee, based on what they believe would adequately cover losses and expenses. Following the global financial crisis, the GSEs began issuing securities that transfer some of the credit default risk of the underlying mortgage loans to investors via synthetic securitisation to reduce their exposure to losses. Such transfer of credit risk aims to not only protect Fannie Mae and Freddie Mac in the event of another housing crisis, but also lower systemic risk. Fannie Mae’s Credit Risk Transfer programme is called Connecticut Avenue Securities (CAS), while Freddie Mac’s is called Structured Agency Credit Risk (STACR).