LIBOR Transition Playbook

Single-Family Credit Risk Transfer (CRT)

December 2023
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Legal information and disclaimer

Information in the London Interbank Offered Rate (“LIBOR”) Transition Playbook is preliminary and 

subject to revision and updates from time to time. This document is an indicative summary of our 

preliminary analysis regarding the potential upcoming LIBOR transition. This document and the 

analysis may be amended, superseded or replaced by subsequent summaries or actions. The 

analyses, preliminary views and opinions expressed herein are based on certain assumptions that also 

are subject to change. Readers should rely on the information contained in the loan documentation, 

securities offering documents, operative documents, etc. in order to evaluate the rights and 

obligations for each such loan or security. As a reminder, Fannie Mae and Freddie Mac (the “GSEs”) are 

in separate conservatorships and their conservator (“FHFA”) has the authority to direct either or both 

GSEs to take whatever actions it deems appropriate in respect of any LIBOR transition and product or 

contract.

Neither GSE guarantees the accuracy or completeness of information that is contained in this 

document, or that the information is appropriate or useful in any particular context, including the 

context of any investment decision, and it should not be relied upon as such. No representations or 

warranties are made as to the reasonableness of the assumptions made within or the accuracy or 

completeness of any information contained herein. All opinions and estimates are given as of the date 

hereof and are subject to change and neither GSE assumes any obligation to update this document to 

reflect any such changes. The information herein is not intended to predict actual results and no 

assurances are given with respect thereto. No representation is made that any strategy, performance, 

or result illustrated herein can or will be achieved or duplicated. The effect of factors other than those 

assumed, including factors not mentioned, considered or foreseen, by themselves or in conjunction 

with other factors, could produce dramatically different performance or results. Nothing herein will be 

deemed to constitute investment, legal, tax, financial, accounting or other advice. No part of this 

document may be duplicated, reproduced, distributed or displayed in public in any manner or by any

means without the written permission of Fannie Mae and Freddie Mac.

This playbook does not constitute an offer to sell or the solicitation of an offer to buy securities of 

either GSE. Nothing in this playbook constitutes advice on the merits of buying or selling a particular 

investment. Any investment decision as to any purchase of securities referred to herein must be made 

solely on the basis of information contained in the respective GSE’s applicable offering documents, 

and no reliance may be placed on the completeness or accuracy of the information contained in this 

playbook. You should not deal in securities unless you understand their nature and the extent of your 

exposure to risk. You should be satisfied that they are suitable for you in light of your circumstances 

and financial position. If you are in any doubt, you should consult an appropriately qualified financial 

advisor.

Please be aware that the federal Adjustable Interest Rate (LIBOR) Act (the “LIBOR Act”) became law on 

March 15, 2022. As required by the Act, the Board of Governors of the Federal Reserve System 

(“Board”) published regulations identifying Board-selected benchmark replacement rates based on 

the Secured Overnight Financing Rate (“SOFR”) on December 16, 2022. The regulations published by 

the Board have a significant impact on steps that the GSEs will take in connection with the transition 

from LIBOR-indexed products to SOFR-indexed products.

The following disclaimer has been provided by London Stock Exchange Group plc (LSEG) and the GSEs 

take no responsibility for its contents: FTSE USD IBOR Cash Fallbacks are provided by London Stock 
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Exchange Group plc (“LSEG”) and its affiliates. LSEG and its affiliates shall not be liable for any errors or 

delays in providing or making available the data contained within this service or for any actions taken in 

reliance on the same. FTSE USD IBOR Cash Fallbacks cannot be used for any commercial purpose 

(including redistribution) without a license. Please contact LSEG D&A (formerly Refinitiv) if a license is 

required. FTSE USD IBOR Cash Fallbacks are subject to LSEG’s terms of use and disclaimer available at 

https://www.lseg.com/en/ftse-russell/benchmarks/usd-ibor-cash-fallbacks. 
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4. CRT Transactions

4.1 Introduction

On December 22, 2022, the GSEs announced their selection of 30-day Average SOFR plus a fixed tenor

spread adjustment as the benchmark replacement for their LIBOR-indexed CRTs following the 

cessation of LIBOR. This decision aligns with the Board-selected benchmark replacements for cash 

transactions that are FHFA-regulated-entity contracts and is applicable to CRTs for which the GSEs are 

responsible for selecting the benchmark replacement. 

Certain CRT deals issued following March 2020 may include contractual language indicating a 

benchmark replacement of Term SOFR. Please note that Fannie Mae and Freddie Mac will refrain from 

taking any steps that would result in the conversion of any existing SOFR-indexed CRTs from 30-Day 

Average SOFR to term SOFR based on any provision that calls for such conversion when operationally, 

administratively, and technically feasible.

Legacy transition considerations are not applicable to Freddie Mac MF CRTs due to their fixed rate 

nature. Freddie Mac MF does not plan to issue any LIBOR-indexed CRT deals in the future.

The following section will help you understand:

• Key milestone dates for transitioning LIBOR-indexed CRTs

• Guidance on benchmark replacements and associated spread adjustments

• High-level considerations for transitioning legacy LIBOR-indexed CRTs 

• Guidance on legacy LIBOR-indexed CRTs

For more information on legacy transition can be found on Fannie Mae’s LIBOR Transition website.

4.2 Transition milestones

The GSEs defined key dates related to the transition of legacy LIBOR-indexed CRTs. Milestones will 

continue to be updated as necessary. Figure 4-1 identifies key transition milestones for CRTs.

Figure 4-1: CRT transition timeline

4.3 Replacement rate determination and spread methodology

❖ Benchmark replacement determination

The LIBOR Act required the Board to publish regulations identifying a Board-selected benchmark 

replacement based on SOFR. On December 16, 2022, the Board published its final rulemaking 

confirming the LIBOR benchmark replacements. Based on this, the GSEs will transition from 1-month 
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LIBOR to the 30-day Average SOFR rate published by the NY Fed, plus an applicable tenor spread 

adjustment (0.11448% for one-month tenor). 30-day Average SOFR for an Index Determination Date 

will be the applicable compounded average of SOFR for 30 days published for such Index 

Determination Date as such rate appears on the NY Fed's Website at 3:00 p.m. ET.

The first date on which spread-adjusted 30-day Average SOFR rate will be used as the replacement 

index for LIBOR-indexed CRT transactions will be July 21, 2023. The replacement index will be used for 

calculating accrued interest during the July 25 – August 24, 2023 Accrual Period, and the payments 

will be made to bondholders on the August 25, 2023 Payment Date.

❖ SOFR spread adjustment methodology

Under the LIBOR Act, a pre-determined fixed tenor spread adjustment will be applied to the 

benchmark replacement immediately following the cessation of LIBOR. The spread adjustment will be 

0.11448% for the 1-month tenor, meaning the spread adjustment will be fixed at 0.11448% for legacy 

CRT transactions after June 30, 2023. Figure 4-2 depicts the LIBOR benchmark replacements and 

spread adjustment methodology for SF and MF CRTs (for Fannie Mae) as defined by the LIBOR Act.

For updates on regulatory and industry efforts to advance the legacy transition, refer to the Board's 

final rulemaking and ARRC’s website.

Figure 4-2: Benchmark replacement guidance for CRTs

Board Final 

Rule Category

Current 

LIBOR Index

Spread-adjusted SOFR Replacement 

Index All-In Replacement Rate Calculation

FHFARegulatedEntity Contract

1M LIBOR 30-Day Average SOFR + 1-Month Spread 

Adjustment 30-Day Average SOFR + 0.11448 (percent)

4.4 Administering legacy LIBOR-indexed CRTs

❖ Actions to consider

Investors and vendors will need to maintain awareness of potential impacts of the LIBOR transition 

including index and calculation changes. The GSEs will transition from 1-month LIBOR to the 30-day 

Average SOFR rate published by the NY Fed, plus an applicable tenor spread adjustment (0.11448% for 

one month-tenor) as defined in the LIBOR Act.

Figure 4-3: Actions to consider when administering CRTs

Focus areas Actions to consider

Investor awareness ▪ Maintain awareness of the updates to impacted CRTs 

Use of a new index in 

rate and payment 

calculations

▪ Update and test systems, reporting and other processes or activities related 

to interest rate adjustment calculations to incorporate the benchmark 

replacement’s product parameters
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8. Appendix: Single-Family CRTs

8.1 Introduction

The purpose of this chapter is to provide market participants guidance on new SOFR-indexed SF CRT 

issuances and the transition of legacy LIBOR-indexed SF CRT transactions in the future.

8.2 SOFR-indexed SF CRT new issuance and market developments

❖ Objectives

Freddie Mac discontinued issuing LIBOR-indexed SF CRT deals and began issuing SOFR-indexed SF 

CRT deals in October 2020. Fannie Mae discontinued issuing LIBOR-indexed SF CRT deals in December 

2020 and began issuing SOFR-indexed SF CRT deals in October 2021.

Since there is a well-defined SOFR index to determine the coupon payments due on the notes, the 

move to SOFR-indexed SF CRT issuances has been relatively simple from an operational perspective.

❖ SOFR indices

• The GSEs currently are structuring SOFR-indexed CRT transactions so that they use 30-day 

Average SOFR (published by the NY Fed) as the reference rate, with a Determination Date of 

two business days (“2BD”) prior to the beginning of the accrual period for CRT securities

Certain CRT deals issued following March 2020 may include contractual language indicating a 

benchmark replacement of Term SOFR. Please note that Fannie Mae and Freddie Mac will refrain from 

taking any steps that would result in the conversion of any existing SOFR-indexed CRTs from 30-Day 

Average SOFR to term SOFR based on any provision that calls for such conversion when operationally, 

administratively, and technically feasible.

8.3 Timelines and milestones 

❖ Related SOFR market development

• SOFR market conventions: On March 2, 2020, the NY Fed began publishing a SOFR index and a 

calculator for computing compound averages of SOFR

• Development of SOFR derivatives market: The move to SOFR-indexed discounting by CME/LCH 

has helped improve the liquidity of the SOFR derivatives market 

❖ GSE alignment

The GSEs are aligned on the choice of SOFR indexes that will be utilized for future SF CRT securities. 

This alignment will ensure the SF CRT transitions are consistent between the GSEs and will minimize 

potential disruptions to the SF CRT market. Specifically, Fannie Mae’s CAS program and Freddie Mac’s 

STACR program will be aligned on the following:

• Selection of SOFR as the index for new issuances of SF CRT deals

• SOFR index and methodology (i.e., 30-day Average SOFR)

• Fallback triggers and waterfall for new SOFR issuances

❖ Actions market participants should consider

The GSEs encourage all SF CRT market participants to conduct an internal operational readiness 

assessment and start any operational build needed to participate in SOFR-indexed SF CRT 
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transactions as early as practicable. Investment guidelines and other key governance documentation 

should be reviewed to ensure that they can transact in SOFR. Please refer to Section 1.3, “Actions 

market participants should consider,” for FAQs and other resources related to the SF CRT LIBOR 

transition.
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14. Summary of Prior Changes

Section Summary of changes

July 2020

3. Single-Family 

Credit Risk Transfer 

transactions

▪ Specified that the Determination Date will be 2 Business Days (2BD) prior to the 

beginning of the accrual period for CRT securities

November 2020

3. Single-Family 

Credit Risk Transfer 

transactions

▪ Updated language to indicate Fannie will have the capability to issue SOFRindexed CRT deals in Q1 2021

▪ Updated outstanding SF CRT notes that are indexed to one-month LIBOR as of 

September 30, 2020 at Fannie Mae ($25.6 billion) and at Freddie Mac ($27.5 

billion)

▪ Updated the language and SF CRT timeline to indicate the issuance of Freddie 

Mac’s SOFR-indexed CRT

March 2021

3. Single-Family Credit 

Risk Transfer

▪ Updated figures to reflect the GSEs’ current outstanding legacy SF CRT notes

▪ Updated language around the discontinuation of LIBOR-indexed SF CRT deals 

at the end of Q4 2020 and current structure of SOFR-indexed CRT transactions

October 2021

3. Single-Family 

Credit Risk Transfer

▪ 3.2 SOFR-indexed CRT new issuance: Updated language to reflect the 

availability of Term SOFR, the issuance of SOFR-indexed CRT transactions, and 

added language about the determination of the administrative feasibility of 

Term SOFR

▪ Figure 3-1: Updated timeline to reflect Fannie Mae’s operational readiness for 

SOFR-indexed SF CRT issuance

▪ 3.3 Timeline and milestones: updates to reflect availability of Term SOFR

▪ 3.4 Legacy SF CRT transition: Updated estimates of outstanding SF CRT notes 

indexed to one-month LIBOR

June 2022

3. Single-Family 

Credit Risk Transfers

▪ Updated to reflect Fannie Mae beginning to issue SF SOFR-indexed CRTs

▪ Updated timeline to include year 2022 and tentative plans for a final legacy 

transition strategy announcement

January 2023

4. CRT Transactions

▪ Consolidated Fannie Mae and Freddie Mac details for SF and MF CRTs into one 

section

▪ Added consolidated transition milestone timeline

▪ Updated content throughout to describe the replacement rate determination 

and other details related to the transition of LIBOR-indexed CRTs

▪ Clarified plan to keep all SOFR-indexed CRTs indexed to 30-Day Average SOFR

April 2023
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4. CRT Transactions

▪ Updated 4.3 with additional clarity on spread adjustment to align with updates 

made to the FAQs

▪ Updated index description and all-in replacement rate calculation information 

in Section 4.3