It is likely that credit risk sharing transactions on mortgages will increase in frequency, diversity, and volume as government-sponsored enterprises’ capital is mandated to decrease over the next several years. The risk-and-reward profile of these credit risk sharing transactions can be an attractive avenue for insurance companies to deploy capital, either from the asset side of the balance sheet or through participation in the insurance structures. Before deciding to invest or insure such risks, it’s important to understand the drivers of default and potential performance volatility inherent in participation.