Best’s Special Report: AM Best Updates Net Capital Charge Tables Associated With Fannie-Freddie Mortgage Risk Transfers
These tables also highlight some of the key components of the factor-based method used to calculate net capital charges in the Best’s Capital Adequacy Ratio (BCAR) model.
- These tables also highlight some of the key components of the factor-based method used to calculate net capital charges in the Best’s Capital Adequacy Ratio (BCAR) model.
- The net capital charge of CRT transactions is represented as B5m—mortgage-related net loss and LAE reserves risk—in the net required capital formula that is part of BCAR.
- For this Best’s Special Report, “Updated Net Capital Charge Tables for ACIS/CIRT Reinsurance Transactions,” AM Best has selected approximately half the 164 CRT transactions effective through December 2023 to calculate the net capital charges associated with individual layers of the CRT transactions.
- AM Best publishes these net capital charge tables semi-annually, using the most current performance data available from the government-sponsored enterprises’ websites.