Presumably, counterparties can manage this risk effectively through the use of credit limits, netting, and collateral agreements. The broader risks for financial markets and the economy result from the perception of government support for these corporations and the resulting implicit subsidization of GSEs. Subsidies, by intent, distort the normal balance of markets.
In this case, the perception of government support may induce the counterparties of GSEs to apply less vigorously some of the risk controls that they apply to manage their over-the-counter derivatives exposures. More generally, we need to be careful not to allow subsidies to unduly disturb an efficient financial structure that has so clearly contributed to increased economic stability.