Credit risk transfer approach (CRTA).

CFR · 2024-01-01 · US · Title 12

(a) (b) (1) Parameter (2) Parameter (3) Parameter (4) Parameter (5) Parameter (6) Parameter (7) Parameter (i) For a CRT with respect to single-family mortgage exposures, the counterparty haircut is set forth in table 12 to paragraph (e)(3)(ii) in § 1240.33, determined as if the counterparty to the CRT were a counterparty to loan-level credit enhancement (as defined in § 1240.33(a)) and considering the counterparty rating and mortgage concentration risk of the counterparty to the CRT and the single-family segment and product of the underlying single-family mortgage exposures. (ii) For a CRT with respect to multifamily mortgage exposures, the counterparty haircut is set forth in table 1 to this paragraph (b)(7)(ii), with counterparty rating and mortgage concentration risk having the meaning given in § 1240.33(a). (8) Parameter (9) Parameter (i) An Enterprise must have the following information to calculate (A) The remaining months to the contractual maturity of the CRT ( (B) The UPB-weighted-average remaining months to maturity of the underlying multifamily mortgage exposures that have remaining months to maturity greater than (C) The sum of UPB on the underlying multifamily mortgage exposures that have remaining loan terms less than or equal to (D) An Enterprise must use the following method to calculate (ii) An Enterprise must have the following information to calculate (A) The original closing date (or effective date) of the CRT and the maturity date on the CRT. (B) UPB shar

official document · source cfr-2024 · id 12:§ 1240.44