CRT: Tranching & Leveraging Homeowner Credit Risk


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The Federal Housing Finance Agency’s oversight role (conservatorship) of Fannie Mae and Freddie Mac includes insuring the availability and efficient functioning of the mortgage-finance market. FHFA’s mandate also covers strategic efforts, to be designed in consultation with the GSEs, to reduce the exposure of the US taxpayer and restore greater balance in the ownership of credit risk within the single-family mortgage universe.

In 2012 the Agency released guidelines (“Credit Risk Transfer”) for distributing this loss exposure towards private capital. Implementation (launched in 2013) has comprised a blend of capital-markets transactions, pool-level reinsurance contracts, and loan-specific mortgage insurance (on higher-LTV loans).

From 2013 through 2017 a portion of the credit risk on $2.1 trillion of outstanding principal on single-family loans was sold into private hands; capital-markets vehicles (Fannie and Freddie debentures with principal payments linked to reference-pool loss realizations) have been the dominant strategy.

These "CRT mortgage bonds" now constitute an actively-traded segment of the "credit MBS" sector. Relative-value and risk analysis of CRT product references fundamental techniques from mortgage modeling as well as the basic underpinnings and rationale of structured finance (tranching, leverage).

The webinar will:

  • Provide an overview of the program’s concept and structural attributes;
  • Describe how mortgage strategists view this asset class;
  • Discuss how to rationalize spread performance; and
  • Examine pricing in line with the unlevered pricing of mortgage credit risk


Thursday, June 6, 2019


2:00-3:30 p.m. EST

Attendees should expect to understand:
  • Rationale for the various CRT programs.
  • How CRT structuring mechanics borrow concepts from other sectors in securitization finance.
  • Background on how structural specifics have evolved since program launch.
  • How the agency MBS market's data and analytics toolkit gets deployed in analyzing CRT product for both issuer and investor.
  • Relative-value metrics currently in use and how have they been adapted and refined over the program’s six-year history.
  • The current approach for market-risk coverage of this asset class and how that can inform investor decision-making.


  • Leon Tatevossian, Executive Consultant, Quantitative Modeling of Capital Markets & Derivative Products, FIRM Advisors LLC
  • Mohit Sudhakar, Partner, FIRM Advisors LLC

Who Should Attend?

  • Traditional agency and non-agency MBS investors (banks, money managers).
  • Potential cross-market investors from other sectors in structured finance.
  • Leveraged investors in mortgage credit (hedge funds).
  • Mortgage sellers (mortgage bankers, originators, aggregators).
  • Mortgage and fixed-income strategists.
  • REIT Community


Call begins on June 6, 2019 from 2:00 - 3:30 pm EST.

Login instructions will be sent to paid attendees in advance of the webinar.

All paid attendees will receive a copy of the audio recording and PowerPoint deck at the conclusion of the webinar.