71 FR 240 pgs. 75085-75106 - Risk-Based Capital Regulation Amendment
Type: RULEVolume: 71Number: 240Pages: 75085 - 75106
FR document: [FR Doc. 06-9446 Filed 12-13-06; 8:45 am]
Agency: Housing and Urban Development Department
Sub Agency: Office of Federal Housing Enterprise Oversight
Official PDF Version: PDF Version
DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT
Office of Federal Housing Enterprise Oversight
12 CFR Part 1750
RIN 2550-AA35
Risk-Based Capital Regulation Amendment
AGENCY:
Office of Federal Housing Enterprise Oversight, HUD.
ACTION:
Final rule.
SUMMARY:
The Office of Federal Housing Enterprise Oversight (OFHEO) is amending Appendix A to Subpart B of 12 CFR part 1750 Risk-Based Capital, (Risk-Based Capital Regulation). The amendments are intended to enhance the accuracy and transparency of the calculation of the risk-based capital requirement for Fannie Mae and Freddie Mac (the Enterprises) and to update the Risk-Based Capital Regulation to incorporate approved new activities treatments.
EFFECTIVE DATE:
December 14, 2006.
FOR FURTHER INFORMATION CONTACT:
David A. Felt, Deputy General Counsel, telephone (202) 414-3750, or Jamie Schwing, Associate General Counsel, telephone (202) 414-3787 (not toll free numbers), Office of Federal Housing Enterprise Oversight, Fourth Floor, 1700 G Street, NW., Washington, DC 20552. The telephone number for the Telecommunications Device for the Deaf is (800) 877-8339.
SUPPLEMENTARY INFORMATION:
Background
Title XIII of the Housing and Community Development Act of 1992, Pub. L. 102-550, titled the Federal Housing Enterprise Financial Safety and Soundness Act of 1992 (12 U.S.C. 4501 et seq. ), established OFHEO as an independent office within the Department of Housing and Urban Development to ensure that the Federal National Mortgage Association (Fannie Mae) and the Federal Home Loan Mortgage Corporation (Freddie Mac) (collectively, the Enterprises) are adequately capitalized, operate safely and soundly, and comply with applicable laws, rules and regulations.
In furtherance of its regulatory responsibilities, OFHEO published a final regulation setting forth a risk-based capital test which forms the basis for determining the risk-based capital requirement for each Enterprise.1The Risk-Based Capital Regulation has been amended to incorporate corrective and technical amendments that enhance the accuracy and transparency of the calculation of the risk-based capital requirement.2
Footnotes:
1 Risk-Based Capital, 66 FR 47730 (September 13, 2001), 12 CFR part 1750.
2 Risk-Based Capital, 66 FR 47730 (September 13, 2001), 12 CFR part 1750, as amended, 67 FR 11850 (March 15, 2002), 67 FR 19321 (April 19, 2002), 68 FR 7309 (February 13, 2003).
Since the last amendment to the Risk Based Capital Regulation, additional experience with the regulation raised further operational and technical issues. On June 26, 2006, at 71 FR 36231, OFHEO published a proposed notice of rulemaking (NPRM) for comment to incorporate a number of technical amendments to the Risk-Based Capital Regulation. The NPRM proposed amending the Risk-Based Capital Regulation to incorporate additional interest rate indices, clarify definitions, integrate Enterprise new activities and update treatment of certain mark-to-market accounting issues. As stated in the NPRM, the proposed amendments are capital neutral and largely codify existing practice pursuant to the current Risk-Based Capital Regulation.
The 30-day comment period ended July 26, 2006. All comments received have been made available to the public in the OFHEO Public Reading Room and also posted on the OFHEO Web site at http://OFHEO.gov.
Comments Received
Comments were received from the Consumer Mortgage Coalition (CMC), a trade group of national residential mortgage lenders; FM Policy Focus, a coalition of financial services and housing-related trade associations; the Mortgage Insurance Companies of America (MICA); the Mortgage Bankers Association (MBA), a national association representing the real estate finance industry; Fannie Mae; and Freddie Mac. All comments were taken into consideration. Significant comments related to the proposed regulation are discussed below.
Purpose and Scope
All of the commenters expressed support for OFHEO's decision to revise the Risk-Based Capital Regulation to address ongoing financial and mortgage market developments that impact the risk profiles of the Enterprises. Commenters also supported OFHEO's decision to provide notice and opportunity to comment on the proposed changes, notwithstanding their technical nature and capital neutrality.
As noted in the comments, the Risk-Based Capital Regulation should be revised periodically to respond to developments in the mortgage markets, address technical issues, and respond to new Enterprise activities. The technical changes proposed by OFHEO are in furtherance of its regulatory duties and enhance both the accuracy and transparency of the Risk-Based Capital Regulation. For these reasons, and the discussions that follow, OFHEO has determined to issue the amendments as discussed below.
Additional Interest Rate Indices
Due to developments in the mortgage and financial markets since the promulgation of the Risk-Based Capital Regulation and the introduction of a number of approved new activities at each Enterprise, OFHEO proposed incorporating additions to the interest rate indices used to measure Enterprise risk. OFHEO proposed the incorporation of the new indices through revisions to Table "3-18, Interest Rate and Index Inputs," and Table "3-27, Non-Treasury Interest Rates," of Appendix A to Subpart B of the Risk-Based Capital Regulation. The new interest rate indices are the Constant Maturity Mortgage Index, 12 month Moving Treasury Average, One month Freddie Mac Reference Bill, Certificate of Deposits Index, 2 Year Swap, 3 Year Swap, 5 Year Swap, 10 Year Swap and 30 Year Swap. All of the commenters addressing this issue supported the adoption of the proposed interest rate indices used to measure more accurately Enterprise risk. OFHEO has determined to adopt the amendments as proposed.
Revised Risk-Based Capital Regulation Definitions
As stated in the NPRM, additional operational experience with the Risk-Based Capital Regulation, as well as financial and mortgage market developments, motivated OFHEO to refine a number of defined terms in the regulation. Proposed amendments include changes to recognize that single family loans with interest-only periods have become common and that the Enterprises have guaranteed or acquired such loans. Sections 3.1.2.1, 3.6.3.3.1 and 3.6.3.3.3 of the appendix to the Risk-Based Capital Regulation currently provide a treatment for interest-only periods. However, sections 3.1.2.1, 3.6.3.3.1, and 3.6.3.3.2 currently assume that only multi-family loans have this feature. OFHEO's proposed amendments would adopt the changes necessary to accommodate single-family interest-only loans. In addition to the single-family interest-only issue, OFHEO proposed amendments to the definition of "float-days" in sections 3.1.2.1.1 and 3.6.3.7.2 to improve the accuracy of that definition. Finally, an additional number of definitions throughout the Risk-Based Capital Regulation were revised to ensure consistency and accuracy. All of the commenters that addressed this issue supported the adoption of the proposed amendments. OFHEO has determined to adopt the amendments as proposed.
Incorporation of New Enterprise Activities
Risk-Based Capital Regulation Section 3.11.3, Treatment of New Activities, sets forth the procedures by which new Enterprise activities are reported to OFHEO and analyzed by OFHEO to determine an appropriately conservative treatment to be incorporated into the risk-based capital calculation. The section also describes how any newly incorporated treatment is made available for public comment and possible further revision. The subheadings below describe the responses to comments received on new Enterprise activities.
a. Reverse Mortgages
OFHEO proposed revisions to Section 3.6.3.3.1 of the Risk-Based Capital Regulation to incorporate an appropriate treatment for reverse mortgages. Freddie Mac commented that the proposed treatment for reverse mortgages was operationally complex and that it did not accurately tie capital to risk. Freddie Mac also noted in its comments that it does not currently purchase or guarantee reverse mortgages. Freddie Mac suggested that it may propose an alternative treatment in the future if it ever purchases or guarantees reverse mortgages. Fannie Mae commented that the proposed treatment was "insufficiently robust with regard to accuracy." Fannie Mae did not provide an alternative treatment. OFHEO considered both comments and determined that, in the absence of suggested alternative treatments or additional information that would support development of an alternative treatment, it would adopt the provision as proposed.
b. Futures and Options on Futures
OFHEO proposed technical amendments to Section 3.8 of the Risk-Based Capital Regulation to address treatments for futures and for options on futures. OFHEO's treatment specifies a multi-step process for modeling futures and options on futures. Freddie Mac agreed with the treatment for futures but suggested a better approach to modeling futures options would be to utilize the strike price in the calculation of the cash settlement amount. The comments did not provide an alternative treatment or additional supporting data. OFHEO considered Freddie Mac's comments; however, in the absence of additional data, and given OFHEO's favorable experience with the proposed method, OFHEO has determined to adopt the amendment as proposed.
c. Split-Rate Adjustable Rate Mortgages
OFHEO proposed a new activities treatment for split rate adjustable rate mortgages in Section 3.6 of the Risk-Based Capital Regulation. The proposed treatment ignores the split-rate feature and treats split-rate ARMs as traditional ARMs. Fannie Mae commented that the treatment was "insufficiently robust." Fannie Mae did not propose an alternative treatment. OFHEO considered the comment, and, in the absence of an alternative treatment that improves upon the accuracy or transparency of the OFHEO proposal, determined to adopt the amendment as proposed.
d. CPI-Linked Floating Rate Instruments
OFHEO proposed incorporating a treatment for CPI-linked floating rate instruments in Section 3.8 of the Risk-Based Capital Regulation. Unlike interest rates, the stress test does not project the CPI. Enterprise issuance of CPI-linked instruments is tied to swap market transactions intended to create desired synthetic debt structure and terms. In such cases, the true economic position nets to the payment terms of the related derivative contract. OFHEO proposed a treatment where the net synthetic position is evaluated, whereby the Enterprises would substitute the CPI-linked instrument's coupon payment terms with those of the related swap contract. Fannie Mae commented that the treatment was incomplete and should not be incorporated into the regulation. Fannie Mae did not propose an alternative treatment. OFHEO's proposed treatment provides a transparent and accurate method to assess the impact of these instruments on the risk profiles of the Enterprises. OFHEO has determined to adopt the amendment as proposed.
Update of Mark-to-Market Accounting Treatment
Since the adoption of the Risk-Based Capital Regulation, the Financial Accounting Standards Board has adopted a number of new accounting standards that introduce fair values to the balance sheet and that are similar in complexity to FAS 115 and FAS 133. OFHEO proposed a technical amendment to Section 3.10.3.6.2 [a][1] of the Risk-Based Capital Regulation that would extend the current risk-based capital regulatory treatment of FAS 115 and FAS 133 to other accounting standards that require mark-to-market accounting. Freddie Mac offered several comments regarding the proposed amendments that clarify the scope of the proposed treatment for fair values. Freddie Mac's proposed language clarifies that applicable fair value standards will apply only to amounts that are measured at fair value, not to other amounts mentioned in such standards, and that amounts not measured at fair value are represented by and presented according to GAAP. OFHEO agrees that the language proposed by Freddie Mac will enhance the transparency and accuracy of the treatment and has amended the provision accordingly.
Fannie Mae's comment regarding Section 3.10.3.6.2.[a] 1. b. 1) requested permission to estimate amortized cost basis when implementing applicable fair value standards in order to obviate the maintenance of amortized cost basis information if GAAP no longer requires it. Fannie Mae did not provide an analysis of the impact, savings, applicability or scope of its suggested change. When and if GAAP changes as described by Fannie Mae arise, an alternative treatment could be adopted via an appropriate regulatory method. Thus, OFHEO has determined not to incorporate Fannie Mae's comment.
Other Comments
Commenters also addressed matters beyond the scope of the NPRM.
CMC suggested that OFHEO implement a new regulation mandating a scenario analysis of Enterprise capital to supplement the current analysis performed under the Risk-Based Capital Regulation. CMC suggested that OFHEO develop the alternative scenarios after a notice and comment procedure and a public hearing. This comment was beyond the scope of the NPRM and has not been considered in the current rulemaking.
FM Policy Watch raised concerns regarding the transparency and effectiveness of the new activities provisions of the Risk-Based Capital Regulation. FM Policy Watch recommended that OFHEO amend the new activities process to allow notice and comment on Enterprise new activities prior to their posting on the OFHEO Web site and incorporation into the risk-based capital calculation. Although this comment is beyond the scope of the current rulemaking, OFHEO notes that in addition to posting new activities treatments on the OFHEO Web site, new activities treatments are disclosed as part of the public information provided with the quarterly capital classification. To date, OFHEO has not received any comment on a new activities treatment posted on its Web site.
MICA commented that OFHEO should revise the treatment of loan-to-value ratios (LTVs) in the Risk Based Capital Regulation from the current approach to one that recognizes the combined LTV of all loans outstanding on a property. MICA also urged OFHEO to adopt a formal process to review the safety and soundness implications of Enterprise products, programs and activities. This comment was beyond the scope of the NPRM and has not been considered in the current rulemaking.
Regulatory Impacts
Executive Order 12866, Regulatory Planning and Review
The technical amendments address provisions of the Risk-Based Capital Regulation. The technical amendments incorporate new activities treatments of the Enterprises adopted in accordance with the Risk-Based Capital Regulation, corrections to certain definitions, updates to interest-rate indices and to incorporate recognition of accounting rule changes adopted since the Risk-Based Capital Regulation was promulgated. The technical amendments to the Risk-Based Capital Regulation are not classified as an economically significant rule under Executive Order 12866 because they do not result in an annual effect on the economy of $100 million or more or a major increase in costs or prices for consumers, individual industries, Federal, state or local government agencies, or geographic regions; or have significant adverse effects on competition, employment, investment, productivity, innovation, or on the ability of United States-based enterprises to compete with foreign-based enterprises in foreign or domestic markets. Accordingly, no regulatory impact assessment is required. Nevertheless, the technical amendments were submitted to the Office of Management and Budget (OMB) for review under the provisions of Executive Order 12866 as a significant regulatory action.
Executive Order 13132, Federalism
Executive Order 13132 requires that Executive departments and agencies identify regulatory actions that have significant federalism implications. A regulation has federalism implications if it has substantial direct effects on the states, on the relationship or distribution of power between the Federal Government and the states, or on the distribution of power and responsibilities among various levels of government. The Enterprises are federally chartered entities supervised by OFHEO. The technical amendments to the Risk-Based Capital Regulation address matters which the Enterprises must comply with for Federal regulatory purposes. The technical amendments to the Risk-Based Capital Regulation address matters regarding the risk-based capital calculation for the Enterprises and therefore do not affect in any manner the powers and authorities of any state with respect to the Enterprises or alter the distribution of power and responsibilities between Federal and state levels of government. Therefore, OFHEO has determined that the amendments to the Risk-Based Capital Regulation have no federalism implications that warrant preparation of a Federalism Assessment in accordance with Executive Order 13132.
Paperwork Reduction Act
The amendments do not contain any information collection requirements that require the approval of OMB under the Paperwork Reduction Act (44 U.S.C. 3501 et seq. ).
Regulatory Flexibility Act
The Regulatory Flexibility Act (5 U.S.C. 601 et seq. ) requires that a regulation that has a significant economic impact on a substantial number of small entities, small businesses, or small organizations must include an initial regulatory flexibility analysis describing the regulation's impact on small entities. Such an analysis need not be undertaken if the agency has certified that the regulation does not have a significant economic impact on a substantial number of small entities 5 U.S.C. 605(b). OFHEO has considered the impact of the technical amendments to the Risk-Based Capital Regulation under the Regulatory Flexibility Act. The General Counsel of OFHEO certifies that the technical amendments to the Risk-Based Capital Regulation are not likely to have a significant economic impact on a substantial number of small business entities because the regulation is applicable only to the Enterprises, which are not small entities for purposes of the Regulatory Flexibility Act.
List of Subjects in 12 CFR Part 1750
Capital classification, Mortgages, Risk-based capital.
Accordingly, for the reasons stated in the preamble, OFHEO amends 12 CFR part 1750 as follows:
PART 1750-CAPITAL
1. The authority citation for part 1750 continues to read as follows:
Authority:
12 U.S.C. 4513, 4514, 4611, 4612, 4614, 4615, 4618.
2. Amend Appendix A to subpart B of part 1750 as follows:
a. Revise Table 3-2 in paragraph 3.1.2.1 [c];
b. Revise Table 3-4 in paragraph 3.1.2.1 [c];
c. Revise Table 3-5 in paragraph 3.1.2.1.1;
d. Revise Table 3-8 in paragraph 3.1.2.1.1;
e. Revise Table 3-9 in paragraph 3.1.2.1.1;
f. Revise Table 3-12 in paragraph 3.1.2.2 [a];
g. Revise Table 3-13 in paragraph 3.1.2.2 [b];
h. Revise Table 3-14 in paragraph 3.1.2.2 [c];
i. Revise Table 3-15 in paragraph 3.1.2.3;
j. Revise Table 3-16 in paragraph 3.1.2.4;
k. Revise Table 3-18 in paragraph 3.1.3.1 [c];
l. Revise Table 3-27 in paragraph 3.3.3 [a] 3. b.;
m. Redesignate paragraphs 3.6.3.3.1 [d] and [e] as new paragraphs 3.6.3.3.1. [c] 5. and [c] 6., respectively;
n. Add new paragraphs 3.6.3.3.1 [c] 7. and [c] 8.;
o. Revise Table 3-32 in paragraph 3.6.3.3.2;
p. Revise Table 3-51 in paragraph 3.6.3.7.2;
q. Revise Table 3-54 in paragraph 3.6.3.8.2;
r. Revise Table 3-56 in paragraph 3.7.2.1.1;
s. Revise Table 3-57 in paragraph 3.7.2.1.2 [a];
t. Revise Table 3-58 in paragraph 3.7.2.1.3 [a];
u. Revise Table 3-66 in paragraph 3.8.2 [a];
v. Redesignate paragraph 3.8.3.6.2 [d] as new paragraph 3.8.3.6.2 [h];
w. Add new paragraphs 3.8.3.6.2 [d] thru [g];
x. Revise Table 3-70 in paragraph 3.9.2;
y. Revise paragraphs 3.10.3.6.2 [a] 1. a. and b.
z. Remove paragraphs 3.10.3.6.2 [a] 1. c. and d.
The revisions and additions read as follows:
Appendix A to Subpart B of Part 1750-Risk-Based Capital Test Methodology and Specifications
3.1.2.1* * *
[c] * * *
| Variable | Description | Range |
|---|---|---|
| Reporting Date | The last day of the quarter for the loan group activity that is being reported to OFHEO | YYYY0331 YYYY0630 YYYY0930 YYYY1231 |
| Enterprise | Enterprise submitting the loan group data | Fannie Mae Freddie Mac |
| Business Type | Single family or multifamily | Single family Multifamily |
| Portfolio Type | Retained portfolio or Sold portfolio | Retained Portfolio Sold Portfolio |
| Government Flag | Conventional or Government insured loan | Conventional Government |
| Original LTV | Assigned LTV classes based on the ratio, in percent, between the original loan amount and the lesser of the purchase price or appraised value | LTV=60 60LTV=70 70LTV=75 75LTV=80 80LTV=90 90LTV=95 95LTV=100 100LTV |
| Interest-only Flag | Indicates if the loan is currently paying interest-only. Loans that started as I/Os and are currently amortizing should be flagged as 'N' | Yes No |
| Current Mortgage Interest Rate | Assigned classes for the current mortgage interest rate | 0.0=Rate4.0 4.0=Rate5.0 5.0=Rate6.0 |
| 6.0=Rate7.0 | ||
| 7.0=Rate8.0 | ||
| 8.0=Rate9.0 | ||
| 9.0=Rate10.0 | ||
| 10.0=Rate11.0 | ||
| 11.0=Rate12.0 | ||
| 12.0=Rate13.0 | ||
| 13.0=Rate14.0 | ||
| 14.0=Rate15.0 | ||
| 15.0=Rate16.0 | ||
| Rate=16.0 | ||
| Original Mortgage Interest Rate | Assigned classes for the original mortgage interest rate | 0.0=Rate4.0 4.0=Rate5.0 5.0=Rate6.0 |
| 6.0=Rate7.0 | ||
| 7.0=Rate8.0 | ||
| 8.0=Rate9.0 | ||
| 9.0=Rate10.0 | ||
| 10.0=Rate11.0 | ||
| 11.0=Rate12.0 | ||
| 12.0=Rate13.0 | ||
| 13.0=Rate14.0 | ||
| 14.0=Rate15.0 | ||
| 15.0=Rate16.0 | ||
| Rate=16.0 | ||
| Mortgage Age | Assigned classes for the age of the loan | 0=Age=12 12Age=24 24Age=36 |
| 36Age=48 | ||
| 48Age=60 | ||
| 60Age=72 | ||
| 72Age=84 | ||
| 84Age=96 | ||
| 96Age=108 | ||
| 108Age=120 | ||
| 120Age=132 | ||
| 132Age=144 | ||
| 144Age=156 | ||
| 156Age=168 | ||
| 168Age=180 | ||
| Age180 | ||
| Rate Reset Period | Assigned classes for the number of months between rate adjustments | Period=1 1Period=4 4Period=9 |
| 9Period=15 | ||
| 15Period=60 | ||
| 60Period999 | ||
| Period=999 (not applicable) | ||
| Payment Reset Period | Assigned classes for the number of months between payment adjustments after the duration of the teaser rate | Period=9 9Period=15 15Period999 Period=999 (not applicable) |
| ARM Index | Specifies the type of index used to determine the interest rate at each adjustment | FHLB 11th District Cost of Funds. 1 Month Federal Agency Cost of Funds. 3 Month Federal Agency Cost of Funds. |
| 6 Month Federal Agency Cost of Funds. | ||
| 12 Month Federal Agency Cost of Funds. | ||
| 24 Month Federal Agency Cost of Funds. | ||
| 36 Month Federal Agency Cost of Funds. | ||
| 60 Month Federal Agency Cost of Funds. | ||
| 120 Month Federal Agency Cost of Funds. | ||
| 360 Month Federal Agency Cost of Funds. | ||
| Overnight Federal Funds (Effective). | ||
| 1 Week Federal Funds | ||
| 6 Month Federal Funds | ||
| 1 month LIBOR | ||
| 3 Month LIBOR | ||
| 6 Month LIBOR | ||
| 12 Month LIBOR | ||
| Conventional Mortgage Rate | ||
| 15 Year Fixed Mortgage Rate | ||
| 7 Year Balloon Mortgage Rate | ||
| Prime Rate | ||
| 1 Month Treasury Bill | ||
| 3 Month CMT | ||
| 6 Month CMT | ||
| 12 Month CMT | ||
| 24 Month CMT | ||
| 36 Month CMT | ||
| 60 Month CMT | ||
| 120 Month CMT | ||
| 240 Month CMT | ||
| 360 Month CMT | ||
| Cap Type Flag | Indicates if a loan group is rate-capped, payment-capped or uncapped | Payment Capped Rate Capped No periodic rate cap |
| OFHEO Ledger Code | OFHEO-specific General Ledger account number used in the Stress Test | Appropriate OFHEO Ledger Code based on the chart of accounts. |
| Variable | Description | Range |
|---|---|---|
| Multifamily Product Code | Identifies the mortgage product types for multifamily loans | Fixed Rate Fully Amortizing Adjustable Rate Fully Amortizing 5 Year Fixed Rate Balloon |
| 7 Year Fixed Rate Balloon | ||
| 10 Year Fixed Rate Balloon | ||
| 15 Year Fixed Rate Balloon | ||
| Balloon ARM | ||
| Other | ||
| New Book Flag | "New Book" is applied to Fannie Mae loans acquired beginning in 1988 and Freddie Mac loans acquired beginning in 1993, except for loans that were refinanced to avoid a default on a loan originated or acquired earlier | New Book Old Book |
| Ratio Update Flag | Indicates if the LTV and DCR were updated at origination or at Enterprise acquisition | Yes No |
| Current DCR | Assigned classes for the Debt Service Coverage Ratio based on the most recent annual operating statement | DCR1.00 1.00=DCR1.10 1.10=DCR1.20 1.20=DCR1.30 1.30=DCR1.40 |
| 1.40=DCR1.50 | ||
| 1.50=DCR1.60 | ||
| 1.60=DCR1.70 | ||
| 1.70=DCR1.80 | ||
| 1.80=DCR1.90 | ||
| 1.90=DCR2.00 | ||
| 2.00=DCR2.50 | ||
| 2.50=DCR4.00 | ||
| DCR=4.00 | ||
| Prepayment Penalty Flag | Indicates if prepayment of the loan is subject to active prepayment penalties or yield maintenance provisions | Yes No |
| Variable | Description |
|---|---|
| Rate Type (Fixed or Adjustable) | |
| Product Type (30/20/15-Year FRM, ARM, Balloon, Government, etc.) | |
| UPB ORIG | Unpaid Principal Balance at Origination (aggregate for Loan Group) |
| UPB 0 | Unpaid Principal Balance at start of Stress Test (aggregate for Loan Group), adjusted by UPB scale factor. |
| MIR 0 | Mortgage Interest Rate for the Mortgage Payment prior to the start of the Stress Test, or Initial Mortgage Interest Rate for new loans (weighted average for Loan Group) (expressed as a decimal per annum) |
| PMT 0 | Amount of the Mortgage Payment (Principal and Interest) prior to the start of the Stress Test, or first Payment for new loans (aggregate for Loan Group), adjusted by UPB scale factor. |
| AT | Original loan Amortizing Term in months (weighted average for Loan Group) |
| RM | Remaining term to Maturity in months (i.e., number of contractual payments due between the start of the Stress Test and the contractual maturity date of the loan) (weighted average for Loan Group) |
| A 0 | Age of the loan at the start of Stress Test, in months (weighted average for Loan Group) |
| IRP | Initial Rate Period, in months |
| Interest-only Flag | |
| RIOP | Remaining Interest-only period, in months (weighted average for loan group) |
| UPB Scale Factor | Factor determined by reconciling reported UPB to published financials.\ |
| Additional Interest Rate Inputs | |
| GFR | Guarantee Fee Rate (weighted average for Loan Group) (decimal per annum) |
| SFR | Servicing Fee Rate (weighted average for Loan Group) (decimal per annum) |
| Additional Inputs for ARMs (weighted averages for Loan Group, except for Index) | |
| INDEX m | Monthly values of the contractual Interest Rate Index |
| LB | Look-Back period, in months |
| MARGIN | Loan Margin (over index), decimal per annum |
| RRP | Rate Reset Period, in months |
| Rate Reset Limit (up and down), decimal per annum | |
| Maximum Rate (life cap), decimal per annum | |
| Minimum Rate (life floor), decimal per annum | |
| NAC | Negative Amortization Cap, decimal fraction of UPB ORIG |
| Unlimited Payment Reset Period, in months | |
| PRP | Payment Reset Period, in months |
| Payment Reset Limit, as decimal fraction of prior payment | |
| Variable | Description |
|---|---|
| GF | Guarantee Fee rate (weighted average for Loan Group) (decimal per annum) |
| FDS | Float Days for Scheduled Principal and Interest (weighted average for Loan Group) |
| FDP | Float Days for Prepaid Principal (weighted average for Loan Group) |
| FREP | Fraction Repurchased (weighted average for Loan Group) (decimal) |
| RM | Remaining Term to Maturity in months |
| UPD 0 | Sum of all unamortized discounts, premiums, fees, commissions, etc. for the loan group, such that the unamortized balance equals the book value minus the face value for the loan group at the start of the Stress Test, adjusted by the Unamortized Balance Scale Factor |
| Unamortized Balance Scale Factor | Factor determined by reconciling reported Unamortized Balance to published financials |
| Variable | Description |
|---|---|
| Wtd Ave Percent Repurchased | For sold loan groups, the percent of the loan group UPB that gives the actual dollar amount of loans that collateralize single class MBSs that the Enterprise holds in its own portfolio |
| SUPD 0 | The aggregate sum of all unamortized discounts, premiums, fees, commissions, etc. associated with the securities modeled using the Wtd Ave Percent Repurchased, such that the unamortized balance equals the book value minus the face value for the relevant securities at the start of the Stress Test, adjusted by the percent repurchased and the Security Unamortized Balance Scale Factor |
| Security Unamortized Balances Scale Factor | Factor determined by reconciling reported Security Unamortized Balances to published financials |
3.1.2.2* * *
[a] * * *
| Variable | Description |
|---|---|
| Pool Number | A unique number identifying each mortgage pool |
| CUSIP Number | A unique number assigned to publicly traded securities by the Committee on Uniform Securities Identification Procedures |
| Issuer | Issuer of the mortgage pool |
| Government Flag | Indicates Government insured collateral |
| Original UPB Amount | Original pool balance adjusted by UPB scale factor and multiplied by the Enterprise's percentage ownership |
| Current UPB Amount | Initial Pool balance (at the start of the Stress Test), adjusted by UPB scale factor and multiplied by the Enterprise's percentage ownership |
| Product Code | Mortgage product type for the pool |
| Security Rate Index | If the rate on the security adjusts over time, the index that the adjustment is based on |
| Unamortized Balance | The sum of all unamortized discounts, premiums, fees, commissions, etc., such that the unamortized balance equals book value minus face value, adjusted by Unamortized Balance Scale Factor |
| Wt Avg Original Amortization Term | Original amortization term of the underlying loans, in months (weighted average for underlying loans) |
| Wt Avg Remaining Term of Maturity | Remaining maturity of the underlying loans at the start of the Stress Test (weighted average for underlying loans) |
| Wt Avg Age | Age of the underlying loans at the start of the Stress Test (weighted average for underlying loans) |
| Wt Avg Current Mortgage Interest Rate | Mortgage Interest Rate of the underlying loans at the start of the Stress Test (weighted average for underlying loans) |
| Wt Avg Pass-Through Rate | Pass-Through Rate of the underlying loans at the start of the Stress Test (Sold loans only) (weighted average for underlying loans) |
| Wtg Avg Original Mortgage Interest Rate | The current UPB weighted average mortgage interest rate in effect at origination for the loans in the pool |
| Security Rating | The most current rating issued by any Nationally Recognized Statistical Rating Organization (NRSRO) for this security, as of the reporting date |
| Wt Avg Gross Margin | Gross margin for the underlying loans (ARM MBS only) (weighted average for underlying loans) |
| Wt Avg Net Margin | Net margin (used to determine the security rate for ARM MBS) (weighted average for underlying loans) |
| Wt Avg Rate Reset Period | Rate reset period in months (ARM MBS only) (weighted average for underlying loans) |
| Wt Avg Rate Reset Limit | Rate reset limit up/down (ARM MBS only) (weighted average for underlying loans) |
| Wt Avg Life Interest Rate Ceiling | Maximum rate (lifetime cap) (ARM MBS only) (weighted average for underlying loans) |
| Wt Avg Life Interest Rate Floor | Minimum rate (lifetime floor) (ARM MBS only) (weighted average for underlying loans) |
| Wt Avg Payment Reset Period | Payment reset period in months (ARM MBS only) (weighted average for underlying loans) |
| Wt Avg Payment Reset Limit | Payment reset limit up/down (ARM MBS only) (weighted average for underlying loans) |
| Wt Avg Lockback Period | The number of months to look back from the interest rate change date to find the index value that will be used to determine the next interest rate (weighted average for underlying loans) |
| Wt Avg Negative Amortization Cap | The maximum amount to which the balance can increase before the payment is recast to a fully amortizing amount. It is expressed as a fraction of the original UPB (weighted average for underlying loans) |
| Wt Avg Original Mortgage Interest Rate | The current UPB weighted average original mortgage interest rate for the loans in the pool |
| Wt Avg Initial Interest Rate Period | Number of months between the loan origination date and the first rate adjustment date (weighted average for underlying loans) |
| Wt Avg Unlimited Payment Reset Period | Number of months between unlimited payment resets i.e., not limited by payment caps, starting with origination date (weighted average for underlying loans) |
| Notional Flag | Indicates if the amounts reported in Original Security Balance and Current Security Balance are notional |
| UPB Scale Factor | Factor determined by reconciling reported UPB to published financials |
| Unamortized Balance Scale Factor | Factor determined by reconciling reported Unamortized Balance to published financials |
| Whole Loan Modeling Flag | Indicates that the Current UPB Amount and Unamortized Balance associated with this repurchased MBS are included in the Wtg Avg Percent Repurchased and Security Unamortized Balance fields |
| FAS 115 Classification | The financial instrument's classification according to FAS 115 |
| HPGR K | Vector of House Price Growth Rates for quarters q=1. . .40 of the Stress Period |
[b] * * *
| Variable | Description |
|---|---|
| CUSIP Number | A unique number assigned to publicly traded securities by the Committee on Uniform Securities Identification Procedures |
| Issuer | Issuer of the security: FNMA, FHLMC, GNMA or other |
| Original Security Balance | Original principal balance of the security (notional amount for interest-only securities) at the time of issuance, adjusted by UPB scale factor, multiplied by the Enterprise's percentage ownership |
| Current Security Balance | Initial principal balance, or notional amount, at the start of the Stress Period, adjusted by UPB scale factor, multiplied by the Enterprise's percentage ownership |
| Current Security Percentage Owned | The percentage of a security's total current balance owned by the Enterprise |
| Notional Flag | Indicates if the amounts reported in Original Security Balance and Current Security Balance are notional |
| Unamortized Balance | The sum of all unamortized discounts, premiums, fees, commissions, etc., such that the unamortized balance equals book value minus face value, adjusted by the Unamortized Balance Scale Factor |
| Unamortized Balance Scale Factor | Factor determined by reconciling reported Unamortized Balance to published financials |
| UPB Scale Factor | Factor determined by reconciling the reported current security balance to published financials |
| Security Rating | The most current rating issued by any Nationally Recognized Statistical Rating Organization (NRSRO) for this security, as of the reporting date |
[c] * * *
| Variable | Description |
|---|---|
| CUSIP Number | A unique number assigned to publicly traded securities by the Committee on Uniform Securities Identification Procedures |
| Original Security Balance | Original principal balance, adjusted by UPB scale factor and multiplied by the Enterprise's percentage ownership |
| Current Security Balance | Initial Principal balance (at start of Stress Period), adjusted by UPB scale factor and multiplied by the Enterprise's percentage ownership |
| Unamortized Balance | The sum of all unamortized discounts, premiums, fees, commissions, etc., such that the unamortized balance equals book value minus face value, adjusted by Unamortized Balance scale factor |
| Unamortized Balance Scale Factor | Factor determined by reconciling reported Unamortized Balance to published financials |
| UPB Scale Factor | Factor determined by reconciling the reported current security balance to published financials |
| Floating Rate Flag | Indicates the instrument pays interest at a floating rate |
| Issue Date | The issue date of the security |
| Maturity Date | The stated maturity date of the security |
| Security Interest Rate | The rate at which the security earns interest, as of the reporting date |
| Principal Payment Window Starting Date, Down-Rate Scenario | The month in the Stress Test that principal payment is expected to start for the security under the statutory "down" interest rate scenario, according to Enterprise projections |
| Principal Payment Window Ending Date, Down-Rate Scenario | The month in the Stress Test that principal payment is expected to end for the security under the statutory "down" interest rate scenario, according to Enterprise projections |
| Principal Payment Window Starting Date, Up-Rate Scenario | The month in the Stress Test that principal payment is expected to start for the security under the statutory "up" interest rate scenario, according to Enterprise projections |
| Principal Payment Window Ending Date, Up-Rate Scenario | The month in the Stress Test that principal payment is expected to end for the security under the statutory "up" interest rate scenario, according to Enterprise projections |
| Notional Flag | Indicates if the amounts reported in Original Security Balance and Current Security Balance are notional |
| Security Rating | The most current rating issued by any Nationally Recognized Statistical Rating Organization (NRSRO) for this security, as of the reporting date |
| Security Rate Index | If the rate on the security adjusts over time, the index on which the adjustment is based |
| Security Rate Index Coefficient | If the rate on the security adjusts over time, the coefficient is the number used to multiply by the value of the index |
| Security Rate Index Spread | If the rate on the security adjusts over time, the spread is added to the value of the index multiplied by the coefficient to determine the new rate |
| Security Rate Adjustment Frequency | The number of months between rate adjustments |
| Security Interest Rate Ceiling | The maximum rate (lifetime cap) on the security |
| Security Interest Rate Floor | The minimum rate (lifetime floor) on the security |
| Life Ceiling Interest Rate | The maximum interest rate allowed throughout the life of the security |
| Life Floor Interest Rate | The minimum interest rate allowed throughout the life of security |
3.1.2.3* * *
| Data elements | Description |
|---|---|
| Amortization Methodology Code | Enterprise method of amortizing deferred balances (e.g., straight line) |
| Asset ID | CUSIP or Reference Pool Number identifying the asset underlying a derivative position |
| Asset Type Code | Code that identifies asset type used in the commercial information service (e.g. ABS, Fannie Mae pool, Freddie Mac pool) |
| Associated Instrument ID | Instrument ID of an instrument linked to another instrument |
| Coefficient | Indicates the extent to which the coupon is leveraged or de-leveraged |
| Compound Indicator | Indicates if interest is compounded |
| Compounding Frequency | Indicates how often interest is compounded |
| Counterparty Credit Rating | NRSRO's rating for the counterparty |
| Counterparty Credit Rating Type | An indicator identifying the counterparty's credit rating as short-term ('S') or long-term ('L') |
| Counterparty ID | Enterprise counterparty tracking ID |
| Country Code | Standard country codes in compliance with Federal Information Processing Standards Publication 10-4 |
| Credit Agency Code | Identifies NRSRO (e.g., Moody's) |
| Current Asset Face Amount | Current face amount of the asset underlying a swap adjusted by UPB scale factor |
| Current Coupon | Current coupon or dividend rate of the instrument |
| Current Unamortized Discount | Current unamortized premium or unaccreted discount of the instrument adjusted by Unamortized Balance Scale Factor. If the proceeds from the issuance of debt or derivatives or the amount paid for an asset were greater than par, the value should be positive. If the proceeds or the amounts paid were less than par, the value should be negative |
| Current Unamortized Fees | Current unamortized fees associated with the instrument adjusted by Unamortized Balance Scale Factor. Generally fees associated with the issuance of debt or derivatives should be negative numbers. Fees associated with the purchase of an asset should generally be reported as positive numbers |
| Current Unamortized Hedge | Current unamortized hedging gains (positive) or losses (negative) associated with the instrument adjusted by the Unamortized Balance Scale Factor |
| Current Unamortized Other | Any other unamortized items originally associated with the instrument adjusted by Unamortized Balance Scale Factor. If the proceeds from the issuance of debt or derivatives or the amount paid for an asset were greater than par, the value should be positive. If the proceeds or the amounts paid were less than par, the value should be negative |
| CUSIP_ISIN | CUSIP or ISIN Number identifying the instrument |
| Day Count | Day count convention (e.g. 30/360) |
| End Date | The last index repricing date |
| EOP Principal Balance | End of Period face, principal or notional, amount of the instrument adjusted by UPB scale factor |
| Exact Representation | Indicates that an instrument is modeled according to its contractual terms |
| Exercise Convention | Indicates option exercise convention (e.g., American Option) |
| Exercise Price | Par = 1.0; Options |
| First Coupon Date | Date first coupon is received or paid |
| Index Cap | Indicates maximum index rate |
| Index Floor | Indicates minimum index rate |
| Index Reset Frequency | Indicates how often the interest rate index resets on floating-rate instruments |
| Index Code | Indicates the interest rate index to which floating-rate instruments are tied (e.g., LIBOR) |
| Index Term | Point on yield curve, expressed in months, upon which the index is based |
| Instrument Credit Rating | NRSRO credit rating for the instrument |
| Instrument Credit Rating Type | An indicator identifying the instruments credit rating as short-term ('S') or long-term ('L') |
| Instrument ID | An integer used internally by the Enterprise that uniquely identifies the instrument |
| Interest Currency Code | Indicates currency in which interest payments are paid or received |
| Interest Type Code | Indicates the method of interest rate payments (e.g., fixed, floating, step, discount) |
| Issue Date | Indicates the date that the instrument was issued |
| Life Cap Rate | The maximum interest rate for the instrument throughout its life |
| Life Floor Rate | The minimum interest rate for the instrument throughout its life |
| Look-Back Period | Period from the index reset date, expressed in months, that the index value is derived |
| Maturity Date | Date that the instrument contractually matures |
| Notional Indicator | Identifies whether the face amount is notional |
| Instrument Type Code | Indicates the type of instrument to be modeled (e.g., ABS, Cap, Swap) |
| Option Indicator | Indicates if instrument contains an option |
| Option Type | Indicates option type (e.g., Call option) |
| Original Asset Face Amount | Original face amount of the asset underlying a swap adjusted by UPB scale factor |
| Original Discount | Original premium or discount associated with the purchase or sale of the instrument adjusted by Unamortized Balance Scale Factor. If the proceeds from the issuance of debt or derivatives or the amount paid for an asset were greater than par, the value should be positive. If the proceeds or the amounts paid were less than par, the value should be negative |
| Original Face | Original face, principal or notional, amount of the instrument adjusted by UPB scale factor |
| Original Fees | Fees or commissions paid at the time of purchase or sale adjusted by the Unamortized Balance Scale Factor. Generally fees associated with the issuance of debt or derivatives should be negative numbers. Fees associated with the purchase of an asset should generally be reported as positive numbers |
| Original Hedge | Gains (positive) or losses (negative) from closing out a hedge associated with the instrument at settlement, adjusted by the Unamortized Balance Scale Factor |
| Original Other | Any other items originally associated with the instrument to be amortized or accreted adjusted by the Unamortized Balance Scale Factor. If the proceeds from the issuance of debt or derivatives or the amount paid for an asset were greater than par, the value should be positive. If the proceeds of the amounts paid were less than par, the value should be negative |
| Parent Entity ID | Enterprise internal tracking ID for parent entity |
| Payment Amount | Interest payment amount associated with the instrument (reserved for complex instruments where interest payments are not modeled) adjusted by UPB scale factor |
| Payment Frequency | Indicates how often interest payments are made or received |
| Performance Date | "As of" date on which the data is submitted |
| Periodic Adjustment | The maximum amount that the interest rate for the instrument can change per reset |
| Position Code | Indicates whether the Enterprise pays or receives interest on the instrument |
| Principal Currency Code | Indicates currency in which principal payments are paid or received |
| Principal Factor Amount | EOP Principal Balance expressed as a percentage of Original Face |
| Principal Payment Date | A valid date identifying the date that principal is paid |
| Settlement Date | A valid date identifying the date the settlement occurred |
| Spread | An amount added to an index to determine an instrument's interest rate |
| Start Date | The date, spot or forward, when some feature of a financial contract becomes effective (e.g., Call Date), or when interest payments or receipts begin to be calculated |
| Strike Rate | The price or rate at which an option begins to have a settlement value at expiration, or, for interest-rate caps and floors, the rate that triggers interest payments |
| Submitting Entity | Indicates which Enterprise is submitting information |
| Trade ID | Unique code identifying the trade of an instrument |
| Transaction Code | Indicates the transaction that an Enterprise is initiating with the instrument (e.g. buy, issue reopen) |
| Transaction Date | A valid date identifying the date the transaction occurred |
| UPB Scale Factor | Factor determined by reconciling reported UPB to published financials |
| Unamortized Balances Scale Factor | Factor determined by reconciling reported Unamortized Balances to published financials |
3.1.2.4* * *
| Variable | Description |
|---|---|
| TYPE | Type of item (asset, liability or off-balance sheet item) |
| BOOK | Book Value of item (amount outstanding adjusted for deferred items) |
| FACE | Face Value or notional balance of item for off-balance sheet items |
| REMATUR | Remaining Contractual Maturity of item in whole months. Any fraction of a month equals one whole month |
| RATE | Interest Rate |
| INDEX | Index used to calculate Interest Rate |
| FAS115 | Designation that the item is recorded at fair value, according to FAS 115 |
| RATING | Instrument or counterparty rating |
| FHA | In the case of off-balance sheet guarantees, a designation indicating 100% of collateral is guaranteed by FHA |
| MARGIN | Margin over an Index |
3.1.3.1* * *
[c] * * *
| Interest rate Index | Description | Source |
|---|---|---|
| 1 MO Treasury Bill | One-month Treasury bill yield, monthly simple average of daily rate, quoted as actual/360 | Bloomberg Generic 1 Month. U.S. Treasury bill. Ticker: GB1M (index). |
| 3 MO CMT | Three-month constant maturity Treasury yield, monthly simple average of daily rate, quoted as bond equivalent yield | Federal Reserve H.15 Release. |
| 6 MO CMT | Six-month constant maturity Treasury yield, monthly simple average of daily rate, quoted as bond equivalent yield | Federal Reserve H.15 Release. |
| 1 YR CMT | One-year constant maturity Treasury yield, monthly simple average of daily rate, quoted as bond equivalent yield | Federal Reserve H.15 Release. |
| 2 YR CMT | Two-year constant maturity Treasury yield, monthly simple average of daily rate, quoted as bond equivalent yield | Federal Reserve H.15 Release. |
| 3 YR CMT | Three-year constant maturity Treasury yield, monthly simple average of daily rate, quoted as bond equivalent yield | Federal Reserve H.15 Release. |
| 5 YR CMT | Five-year constant maturity Treasury yield, monthly simple average of daily rate, quoted as bond equivalent yield | Federal Reserve H.15 Release. |
| 10 YR CMT | Ten-year constant maturity Treasury yield, monthly simple average of daily rate, quoted as bond equivalent yield | Federal Reserve H.15 Release. |
| 20 YR CMT | Twenty-year constant maturity Treasury yield, monthly simple average of daily rate, quoted as bond equivalent yield | Federal Reserve H.15 Release. |
| 30 YR CMT | Thirty-year constant maturity Treasury yield, monthly simple average of daily rate, quoted as bond equivalent yield; after February 15, 2002, estimated according to the Department of Treasury methodology using long-term average rates and extrapolation factors as referenced in OFHEO guideline 402 | Federal Reserve H.15 Release, Extrapolation Factors used for estimation, U.S. Dept. of Treasury. |
| 12-mo Moving Treasury Average (MTA) | 12-month Federal Reserve cumulative average 1 year CMT, monthly simple average of daily rate | Bloomberg Ticker: 12MTA (Index). |
| Overnight Fed Funds (Effective) | Overnight effective Federal Funds rate, monthly simple average of daily rate | Federal Reserve H.15 Release. |
| Certificate of Deposits Index (CODI) | 12-month average of monthly published yields on 3-month certificates of deposit, based on the Federal Reserve Board statistical release, H-15 | Bloomberg Ticker: COF CODI (index). |
| 1 Week Federal Funds | 1 week Federal Funds rate, monthly simple average of daily rates | Bloomberg Term Fed Funds U.S. Domestic Ticker: GFED01W (index). |
| 6 Month Fed Funds | 6 month Federal Funds rate, monthly simple average of daily rates | Bloomberg Term Fed Funds U.S. Domestic Ticker: GFED06M (index). |
| Conventional Mortgage Rate | FHLMC (Freddie Mac) contract interest rates for 30 YR fixed-rate mortgage commitments, monthly average of weekly rates | Federal Reserve H.15 Release. |
| Constant Maturity Mortgage (CMM) Index | Bond equivalent yield on TBA mortgage-backed security which prices at the par price | TradeWeb. |
| 1-mo Freddie Mac Reference Bill | 1-month Freddie Mac Reference Bill, actual price and yield by auction date | Freddiemac.com website: http://www.freddiemac.com/debt/data/cgi-bin/refbillaucres.cgi?order=AD . |
| FHLB 11th District COF | 11th District (San Francisco) weighted average cost of funds for savings and loans, monthly | Bloomberg Cost of Funds for the 11th District Ticker: COF11 (index). |
| 1 MO LIBOR | One-month London Interbank Offered Rate, average of bid and asked, monthly simple average of daily rates, quoted as actual/360 | British Bankers Association Bloomberg Ticker: US0001M (index). |
| 3 MO LIBOR | Three-month London Interbank Offered Rate, average of bid and asked, monthly simple average of daily rates, quoted as actual/360 | British Bankers Association Bloomberg Ticker: US0003M (index). |
| 6 MO LIBOR | Six-month London Interbank Offered Rate, average of bid and asked, monthly simple average of daily rates, quoted as actual/360 | British Bankers Association Bloomberg Ticker: US0006M (index). |
| 12 MO LIBOR | One-year London Interbank Offered Rate, average of bid and asked, monthly simple average of daily rates, quoted as actual/360 | British Bankers Association Bloomberg Ticker: US0012M (index). |
| Prime Rate | Prevailing rate as quoted, monthly average of daily rates | Federal Reserve H.15 Release. |
| 1 MO Federal Agency COF | One-month Federal Agency Cost of Funds, monthly simple average of daily rates, quoted as actual/360 | Bloomberg Generic 1 Month Agency Discount Note Yield Ticker: AGDN030Y (index). |
| 3 MO Federal Agency COF | Three-month Federal Agency Cost of Funds, monthly simple average of daily rates, quoted as actual/360 | Bloomberg Generic 3 Month Agency Discount Note Yield Ticker: AGDN090Y (index). |
| 6 MO Federal Agency COF | Six-month Federal Agency Cost of Funds, monthly simple average of daily rates, quoted as actual/360 | Bloomberg Generic 6 Month Agency Discount Note Yield Ticker: AGDN180Y (index). |
| 1 YR Federal Agency COF | One-year Federal Agency Cost of Funds, monthly simple average of daily rates, quoted as actual/360 | Bloomberg Generic 12 Month Agency Discount Note Yield. Ticker: AGDN360Y (index). |
| 2 YR Federal Agency COF | Two-year Federal Agency Fair Market Yield, monthly simple average of daily rates | Bloomberg Generic 2 Year Agency Fair Market Yield. Ticker: CO842Y (index). |
| 3 YR Federal Agency COF | Three-year Federal Agency Fair Market Yield, monthly simple average of daily rates | Bloomberg Generic 3 Year Agency Fair Market Yield. Ticker: CO843Y (index). |
| 5 YR Federal Agency COF | Five-year Federal Agency Fair Market Yield, monthly simple average of daily rates | Bloomberg Generic 5 Year Agency Fair Market Yield. Ticker: CO845Y (index). |
| 10 YR Federal Agency COF | Ten-year Federal Agency Fair Market Yield, monthly simple average of daily rates | Bloomberg Generic 10 Year Agency Fair Market Yield. Ticker: CO8410Y (index). |
| 30 YR Federal Agency COF | Thirty-year Federal Agency Fair Market Yield, monthly simple average of daily rates | Bloomberg Generic 30 Year Agency Fair Market Yield. Ticker: CO8430Y (index). |
| 15 YR fixed-rate mortgage | FHLMC (Freddie Mac) contract interest rates for 15 YR fixed-rate mortgage commitments, monthly average of FHLMC (Freddie Mac) contract interest rates for 15 YR | Bloomberg FHLMC 15 YR, 10 day commitment rate Ticker: FHCR1510 (index). |
| 7-year balloon mortgage rate | Seven-year balloon mortgage, equal to the Conventional Mortgage Rate less 50 basis points | Computed. |
| 2-yr Swap | 2-yr U.S. Dollar Swap Rate, quoted as semi-annually fixed rate vs. 3-mo U.S. dollar | Bloomberg Ticker: USSWAP2 (index). |
| 3-yr Swap | 3-yr U.S. Dollar Swap Rate, quoted as semi-annually fixed rate vs. 3-mo U.S. dollar LIBOR | Bloomberg Ticker: USSWAP3 (Index). |
| 5-yr Swap | 5-yr U.S. Dollar Swap Rate, quoted as semi-annually fixed rate vs. 3-mo U.S. dollar LIBOR | Bloomberg Ticker: USSWAP5 (Index). |
| 10-yr Swap | 10-yr U.S. Dollar Swap Rate, quoted as semi-annually fixed rate vs. 3-mo U.S. dollar LIBOR | Bloomberg Ticker: USSWAP10 (Index). |
| 30-yr Swap | 30-yr U.S. Dollar Swap Rate, quoted as semi-annually fixed rate vs. 3-mo U.S. dollar LIBOR | Bloomberg Ticker: USSWAP30 (Index). |
3.3.3* * *
[a] * * *
3. * * *
b. * * *
| Mortgage Rates | Spread Based on |
|---|---|
| 15-year Fixed-rate Mortgage Rate | 10-year CMT |
| 30-year Conventional Mortgage Rate | 10-year CMT |
| 7-year Balloon Mortgage Rate | (computed from Conventional Mortgage Rate) |
| Constant Maturity Mortgage Index | 10-year CMT |
| Other Non-Treasury Interest Rates | |
| Overnight Fed Funds | 1-month Treasury Yield |
| 7-day Fed Funds | 1-month Treasury Yield |
| 1-month LIBOR | 1-month Treasury Yield |
| 1-month Federal Agency Cost of Funds | 1-month Treasury Yield |
| 1-mo Freddie Mac Reference Bill | 1-month Treasury Yield |
| 3-month LIBOR | 3-month CMT |
| 3-month Federal Agency Cost of Funds | 3-month CMT |
| PRIME | 3-month CMT |
| 6-month LIBOR | 6-month CMT |
| 6-month Federal Agency Cost of Funds | 6-month CMT |
| 6-month Fed Funds | 6-month CMT |
| FHLB 11th District Cost of Funds | 1-year CMT |
| 12-month LIBOR | 1-year CMT |
| 12-mo Moving Treasury Average | 1-year CMT |
| Certificate of Deposits Index | 1-year CMT |
| 1-year Federal Agency Cost of Funds | 1-year CMT |
| 2-year Federal Agency Cost of Funds | 2-year CMT |
| 3-year Federal Agency Cost of Funds | 3-year CMT |
| 5-year Federal Agency Cost of Funds | 5-year CMT |
| 10-year Federal Agency Cost of Funds | 10-year CMT |
| 30-year Federal Agency Cost of Funds | 30-year CMT |
| 2-yr Swap | 2-year CMT |
| 3-yr Swap | 3-year CMT |
| 5-yr Swap | 5-year CMT |
| 10-yr Swap | 10-year CMT |
| 30-yr Swap | 30-year CMT |
3.6.3.3.1* * *
[c] * * *
7. Reverse Mortgages. In a reverse mortgage, a borrower receives one or more payments from the lender and the lender is repaid with a lump sum when the borrower dies, sells the property or moves out of the home permanently. The stress test models reverse mortgages as a ladder of zero-coupon securities:
a. 11 proxy securities for each reverse mortgage program are created.
b. A 10% conditional payment rate is used to create the zero-coupon securities that will mature in every year of the stress test. The zero-coupon securities are a laddered series of floating-rate coupon-bearing accreting bonds with a first payment date at maturity.
c. The 11th zero-coupon security will mature three months after the stress test to reflect the 35% of UPB not paid down during the stress period.
d. An OFHEO credit rating equivalent to AAA for the FHA insured programs and AA for other reverse mortgage programs is assigned.
8. Split-Rate ARM Loans . In split-rate ARM loans, the principal portion of the payment is based on a fixed-rate amortization schedule while the interest portion is based on a floating rate index. These multifamily loans are available as fully amortizing product or with a balloon feature. The stress test model does not provide treatment for split-rate ARM loans. Split-rate loans shall be treated as ARMs when they are issued without a balloon payment feature or as Balloon ARMs when the loans contain a balloon payment feature.
3.6.3.3.2* * *
| Variable* | Description | Source |
|---|---|---|
| Rate Type (Fixed or Adjustable) | RBC Report | |
| Product Type (30/20/15-Year FRM, ARM, Balloon, Government, etc.) | RBC Report | |
| UPB ORIG | Unpaid Principal Balance at Origination (aggregate for Loan Group) | RBC Report |
| UPB 0 | Unpaid Principal Balance at start of Stress Test (aggregate for Loan Group) | RBC Report |
| MIR 0 | Mortgage Interest Rate for the Mortgage Payment prior to the start of the Stress Test, or Initial Mortgage Interest Rate for new loans (weighted average for Loan Group) (expressed as a decimal per annum) | RBC Report |
| PMT 0 | Amount of the Mortgage Payment (Principal and Interest) prior to the start of the Stress Test, or first payment for new loans (aggregate for Loan Group) | RBC Report |
| AT | Original loan Amortizing Term in months (weighted average for Loan Group) | RBC Report |
| RM | Remaining term to Maturity in months (i.e., number of contractual payments due between the start of the Stress Test and the contractual maturity date of the loan) (weighted average for Loan Group) | RBC Report |
| A 0 | Age immediately prior to the start of the Stress Test, in months (weighted average for Loan Group) | RBC Report |
| Interest-only Flag | RBC Report | |
| RIOP | Remaining Interest-only period, in months (weighted average for loan group) | RBC Report |
| Additional Interest Rate Inputs | ||
| GFR | Guarantee Fee Rate (weighted average for Loan Group) (decimal per annum) | RBC Report |
| SFR | Servicing Fee Rate (weighted average for Loan Group) (decimal per annum) | RBC Report |
| Additional Inputs for ARMs (weighted averages for Loan Group, except for Index) | ||
| INDEX m | Monthly values of the contractual Interest Rate Index | section 3.3, Interest Rates |
| LB | Look-Back period, in months | RBC Report |
| MARGIN | Loan Margin (over index), decimal per annum | RBC Report |
| RRP | Rate Reset Period, in months | RBC Report |
| Rate Reset Limit (up and down), decimal per annum | RBC Report | |
| Maximum Rate (life cap), decimal per annum | RBC Report | |
| Minimum Rate (life floor), decimal per annum | RBC Report | |
| NAC | Negative Amortization Cap, decimal fraction of UPB ORIG | RBC Report |
| Unlimited Payment Reset Period, in months | RBC Report | |
| PRP | Payment Reset Period, in months | RBC Report |
| Payment Reset Limit, as decimal fraction of prior payment | RBC Report | |
| IRP | Initial Rate Period, in months | RBC Report |
| * Variable name is given when used in an equation | ||
3.6.3.7.2* * *
| Variable | Description | Source |
|---|---|---|
| UPB m | Aggregate Unpaid Principal Balance in month m = 0 ... RM | section 3.6.3.3.4, Mortgage Amortization Schedule Outputs |
| NYR m | Net Yield Rate in month m = 1 ... RM | section 3.6.3.3.4, Mortgage Amortization Schedule Outputs |
| GF | Guarantee Fee rate (weighted average for Loan Group) (decimal per annum) | RBC Report |
| PTR m | Pass-Through Rate in month m = 1 ... RM | section 3.6.3.3.4, Mortgage Amortization Schedule Outputs |
| SP m | Aggregate Scheduled Principal (Amortization) in month m = 1 ... RM | section 3.6.3.3.4, Mortgage Amortization Schedule Outputs |
| PRE m SF PRE m MF | Prepaying Fraction of original Loan Group in month m = 1 ... RM | section 3.6.3.4.4, Single Family Default and Prepayment Outputs and, section 3.6.3.5.4, Multifamily Default and Prepayment Outputs |
| DEF m SF DEF m MF | Defaulting Fraction of original Loan Group in month m = 1 ... RM | section 3.6.3.4.4, Single Family Default and Prepayment Outputs and, section 3.6.3.5.4, Multifamily Default and Prepayment Outputs |
| PERF m SF PERF m MF | Performing Fraction of original Loan Group in month m = 1 ... RM | section 3.6.3.4.4, Single Family Default and Prepayment Outputs and, section 3.6.3.5.4, Multifamily Default and Prepayment Outputs |
| FDS | Float Days for Scheduled Principal and Interest (weighted average for Loan Group) | RBC Report |
| FDP | Float Days for Prepaid Principal (weighted average for Loan Group) | RBC Report |
| FER m | Float Earnings Rate in month m = 1 ... RM | 1 week Fed Funds Rate; section 3.3, Interest Rates |
| LS m SF | Loss Severity Rate in month m = 1 ... RM | section 3.6.3.6.5.2, Single Family and Multifamily Net Loss Severity Outputs |
| FREP | Fraction Repurchased (weighted average for Loan Group) (decimal) | RBC Report |
3.6.3.8.2* * *
| Variable | Description | Source |
|---|---|---|
| RM | Remaining Term to Maturity in months | RBC Report |
| UPD 0 | Sum of all unamortized discounts, premiums, fees, commissions, etc. for the loan group, such that the unamortized balance equals the book value minus the face value for the loan group at the start of the Stress Test, adjusted by the Unamortized Balance Scale Factor | RBC Report |
| NYR 0 | Net Yield Rate at time zero | section 3.6.3.3.4, Mortgage Amortization Schedule Outputs |
| PUPB m | Performing Loan Group UPB in months m = 0 ... RM | section 3.6.3.7.4, Stress Test Whole Loan Cash Flow Outputs |
| PTR 0 | Pass-Through Rate at time zero | section 3.6.3.3.4, Mortgage Amortization Schedule Outputs |
| SPUPB m | Security Performing UPB in months m = 0 ... RM | section 3.6.3.7.4, Stress Test Whole Loan Cash Flow Outputs |
| SUPD 0 | The sum of all unamortized discounts, premiums, fees, commissions, etc. associated with the securities modeled using the Wtd Ave Percent Repurchased, such that the unamortized balance equals the book value minus the face value for the relevant securities at the start of the Stress Test, adjusted by the percent repurchased and the Security Unamortized Balance Scale Factor | RBC Report |
3.7.2.1.1* * *
| Variable | Description |
|---|---|
| Pool Number | A unique number identifying each mortgage pool |
| CUSIP Number | A unique number assigned to publicly traded securities by the Committee on Uniform Securities Identification Procedures |
| Issuer | Issuer of the mortgage pool |
| Original UPB Amount | Original pool balance multiplied by the Enterprise's percentage ownership |
| Current UPB Amount | Initial Pool balance (at the start of the Stress Test), multiplied by the Enterprise's percentage ownership |
| Product Code | Mortgage product type for the pool |
| Security Rate Index | If the rate on the security adjusts over time, the index that the adjustment is based on |
| Unamortized Balance | The sum of all unamortized discounts, premiums, fees, commissions, etc., such that the unamortized balance equals book value minus face value, adjusted by the Unamortized Balance Scale Factor |
| Wt Avg Original Amortization Term | Original amortization term of the underlying loans, in months (weighted average for underlying loans) |
| Wt Avg Remaining Term of Maturity | Remaining Maturity of the underlying loans at the start of the Stress Test (weighted average for underlying loans) |
| Wt Avg Age | Age of the underlying loans at the start of the Stress Test (weighted average for underlying loans) |
| Wt Avg Current Mortgage Interest rate | Mortgage Interest Rate of the underlying loans at the start of the Stress Test (weighted average for underlying loans) |
| Wt Avg Pass-Through Rate | Pass-Through Rate of the underlying loans at the start of the Stress Test (weighted average for underlying loans) |
| Wtg Avg Original Mortgage Interest Rate | The current UPB weighted average Mortgage Interest Rate in effect at Origination for the loans in the pool |
| Security Rating | The most current rating issued by any Nationally Recognized Statistical Rating Organization (NRSRO) for this security, as of the reporting date. In the case of a "split" rating, the lowest rating should be given |
| Wt Avg Gross Margin | Gross margin for the underlying loans (ARM MBS only) (weighted average for underlying loans) |
| Wt Avg Net Margin | Net margin (used to determine the security rate for ARM MBS) (weighted average for underlying loans) |
| Wt Avg Rate Reset Period | Rate reset period in months (ARM MBS only) (weighted average for underlying loans) |
| Wt Avg Rate Reset Limit | Rate reset limit up/down (ARM MBS only) (weighted average for underlying loans) |
| Wt Avg Life Interest Rate Ceiling | Maximum rate (lifetime cap) (ARM MBS only) (weighted average for underlying loans) |
| Wt Avg Life Interest Rate Floor | Minimum rate (lifetime floor) (ARM MBS only) (weighted average for underlying loans) |
| Wt Avg Payment Reset Period | Payment reset period in months (ARM MBS only) (weighted average for underlying loans) |
| Wt Avg Payment Reset Limit | Payment reset limit up/down (ARM MBS only) (weighted average for underlying loans) |
| Wt Avg Lookback Period | The number of months to look back from the interest rate change date to find the index value that will be used to determine the next interest rate (ARM MBS only) (weighted average for underlying loans) |
| Wt Avg Negative Amortization Cap | The maximum amount to which the balance can increase before the payment is recast to a fully amortizing amount. It is expressed as a fraction of the original UPB. (ARM MBS only) (weighted average for underlying loans) |
| Wt Avg Initial Interest Rate Period | Number of months between the loan origination date and the first rate adjustment date (ARM MBS only) (weighted average for underlying loans) |
| Wt Avg Unlimited Payment Reset Period | Number of months between unlimited payment resets, i.e. , not limited by payment caps, starting with Origination date (ARM MBS only) (weighted average for underlying loans) |
| Notional Flag | Indicates that amounts reported in Original UPB Amount and Current UPB Amount are notional |
| UPB Scale Factor | Factor applied to the current UPB that offsets any timing adjustments between the security level data and the Enterprise's published financials |
| Whole Loan Modeling Flag | Indicates that the Current UPB Amount and Unamortized Balance associated with this Repurchased MBS are included in the Wtg Avg Percent Repurchased and Security Unamortized Balance fields |
| FAS 115 Classification | The financial instrument's classification according to FAS 115 |
| HPGR K | Vector of House Price Growth Rates for quarters q=1...40 of the Stress Period |
3.7.2.1.2* * *
[a] * * *
| Variable | Description |
|---|---|
| CUSIP Number | A unique number assigned to publicly traded securities by the Committee on Uniform Securities Identification Procedures |
| Issuer | Issuer of the security: FNMA, FHLMC, GNMA or other |
| Original Security Balance | Original principal balance of the security (notional amount for Interest-Only securities) at the time of issuance, multiplied by the Enterprise's percentage ownership |
| Current Security Balance | Initial principal balance, or notional amount, at the start of the Stress Period multiplied by the Enterprise's percentage ownership |
| Current Security Percentage Owned | The percentage of a security's total current balance owned by the Enterprise |
| Unamortized Balance | The sum of all unamortized discounts, premiums, fees, commissions, etc., such that the unamortized balance equals book value minus face value, adjusted by the Unamortized Balance Scale Factor. |
3.7.2.1.3* * *
[a] * * *
| Variable | Description |
|---|---|
| CUSIP Number | A unique number assigned to publicly traded securities by the Committee on Uniform Securities Identification Procedures |
| Original Security Balance | Original principal balance, multiplied by the Enterprise's percentage ownership |
| Current Security Balance | Initial principal balance (at start of Stress Period), multiplied by the Enterprise's percentage ownership |
| Unamortized Balance | The sum of all unamortized discounts, premiums, fees, commissions, etc., such that the unamortized balance equals book value minus face value, adjusted by the Unamortized Balance Scale Factor |
| Issue Date | The Issue Date of the security |
| Maturity Date | The stated Maturity Date of the security |
| Security Interest Rate | The rate at which the security earns interest, as of the reporting date |
| Principal Payment Window Starting Date, Down-Rate Scenario | The month in the Stress Test that principal payment is expected to start for the security under the statutory "down" interest rate scenario, according to Enterprise projections |
| Principal Payment Window Ending Date, Down-Rate Scenario | The month in the Stress Test that principal payment is expected to end for the security under the statutory "down" interest rate scenario, according to Enterprise projections |
| Principal Payment Window Starting Date, Up-Rate Scenario | The month in the Stress Test that principal payment is expected to start for the security under the statutory "up" interest rate scenario, according to Enterprise projections |
| Principal Payment Window Ending Date, Up-Rate Scenario | The month in the Stress Test that principal payment is expected to end for the security under the statutory "up" interest rate scenario, according to Enterprise projections |
| Security Rating | The most current rating issued by any Nationally Recognized Statistical Rating Organization (NRSRO) for this security, as of the reporting date. In the case of a "split" rating, the lowest rating should be given. |
| Security Rate Index | If the rate on the security adjusts over time, the index on which the adjustment is based |
| Security Rate Index Coefficient | If the rate on the security adjusts over time, the coefficient is the number used to multiply by the value of the index |
| Security Rate Index Spread | If the rate on the security adjusts over time, the spread is added to the value of the index multiplied by the coefficient to determine the new rate |
| Security Rate Adjustment Frequency | The number of months between rate adjustments |
| Security Interest Rate Ceiling | The maximum rate (lifetime cap) on the security |
| Security Interest Rate Floor | The minimum rate (lifetime floor) on the security |
3.8.2* * *
[a] * * *
| Data elements | Description |
|---|---|
| Amortization Methodology Code | Enterprise method of amortizing deferred balances (e.g., straight line) |
| Asset ID | CUSIP or Reference Pool Number identifying the asset underlying a derivative position |
| Asset Type Code | Code that identifies asset type used in the commercial information service (e.g., ABS, Fannie Mae pool, Freddie Mac pool) |
| Associated Instrument ID | Instrument ID of an instrument linked to another instrument |
| Coefficient | Indicates the extent to which the coupon is leveraged or de-leveraged |
| Compound Indicator | Indicates if interest is compounded |
| Compounding Frequency | Indicates how often interest is compounded |
| Counterparty Credit Rating | NRSRO's rating for the counterparty |
| Counterparty Credit Rating Type | An indicator identifying the counterparty's credit rating as short-term ('S') or long-term ('L') |
| Counterparty ID | Enterprise counterparty tracking ID |
| Country Code | Standard country codes in compliance with Federal Information Processing Standards Publication 10-4 |
| Credit Agency Code | Identifies NRSRO (e.g., Moody's) |
| Current Asset Face Amount | Current face amount of the asset underlying a swap |
| Current Coupon | Current coupon or dividend rate of the instrument |
| Current Unamortized Discount | Current unamortized premium or unaccreted discount of the instrument adjusted by the Unamortized Balance Scale Factor. If the proceeds from the issuance of debt or derivatives or the amount paid for an asset were greater than par, the value should be positive. If the proceeds or the amounts paid were less than par, the value should be negative |
| Current Unamortized Fees | Current unamortized fees associated with the instrument adjusted by the Unamortized Balance Scale Factor. Generally fees associated with the issuance of debt or derivatives should be negative numbers. Fees associated with the purchase of an asset should generally be reported as positive numbers |
| Current Unamortized Hedge | Current unamortized hedging gains (positive) or losses (negative) associated with the instrument adjusted by the Unamortized Balance Scale Factor |
| Current Unamortized Other | Any other unamortized items originally associated with the instrument adjusted by the Unamortized Balance Scale Factor. If the proceeds from the issuance of debt or derivatives or the amount paid for an asset was greater than par, the value should be positive. If the proceeds or the amounts paid were less than par, the value should be negative |
| CUSIP_ISIN | CUSIP or ISIN Number identifying the instrument |
| Day Count | Day count convention (e.g., 30/360) |
| End Date | The last index repricing date |
| EOP Principal Balance | End of Period face, principal or notional, amount of the instrument |
| Exact Representation | Indicates that an instrument is modeled according to its contractual terms |
| Exercise Convention | Indicates option exercise convention (e.g., American Option) |
| Exercise Price | Par = 1.0; Options |
| First Coupon Date | Date first coupon is received or paid |
| Index Cap | Indicates maximum index rate |
| Index Floor | Indicates minimum index rate |
| Index Reset Frequency | Indicates how often the interest rate index resets on floating-rate instruments |
| Index Code | Indicates the interest rate index to which floating-rate instruments are tied (e.g., LIBOR) |
| Index Term | Point on yield curve, expressed in months, upon which the index is based |
| Instrument Credit Rating | NRSRO credit rating for the instrument |
| Instrument Credit Rating Type | An indicator identifying the instruments credit rating as short-term ('S') or long-term ('L') |
| Instrument ID | An integer used internally by the Enterprise that uniquely identifies the instrument |
| Interest Currency Code | Indicates currency in which interest payments are paid or received |
| Interest Type Code | Indicates the method of interest rate payments (e.g., fixed, floating, step, discount) |
| Issue Date | Indicates the date that the instrument was issued |
| Life Cap Rate | The maximum interest rate for the instrument throughout its life |
| Life Floor Rate | The minimum interest rate for the instrument throughout its life |
| Look-Back Period | Period from the index reset date, expressed in months, that the index value is derived |
| Maturity Date | Date that the instrument contractually matures |
| Notional Indicator | Identifies whether the face amount is notional |
| Instrument Type Code | Indicates the type of instrument to be modeled (e.g., ABS, Cap, Swap) |
| Option Indicator | Indicates if instrument contains an option |
| Option Type | Indicates option type (e.g., Call option) |
| Original Asset Face Amount | Original face amount of the asset underlying a swap |
| Original Discount | Original premium or discount associated with the purchase or sale of the instrument adjusted by the Unamortized Balance Scale Factor. If the proceeds from the issuance of debt or derivatives or the amount paid for an asset were greater than par, the value should be positive. If the proceeds or the amounts paid were less than par, the value should be negative |
| Original Face | Original face, principal or notional, amount of the instrument |
| Original Fees | Fees or commissions paid at the time of purchase or sale adjusted by the Unamortized Balance Scale Factor. Generally fees associated with the issuance of debt or derivatives should be negative numbers. Fees associated with the purchase of an asset should generally be reported as positive numbers |
| Original Hedge | Gains (positive) or losses (negative) from closing out a hedge associated with the instrument at settlement, adjusted by the Unamortized Balance Scale Factor |
| Original Other | Any other amounts originally associated with the instrument to be amortized or accreted adjusted by the Unamortized Balance Scale Factor. If the proceeds from the issuance of debt or derivatives or the amount paid for an asset were greater than par, the value should be positive. If the proceeds or the amounts paid were less than par, the value should be negative |
| Parent Entity ID | Enterprise internal tracking ID for parent entity |
| Payment Amount | Interest payment amount associated with the instrument (reserved for complex instruments where interest payments are not modeled) |
| Payment Frequency | Indicates how often interest payments are made or received |
| Performance Date | "As of" date on which the data is submitted |
| Periodic Adjustment | The maximum amount that the interest rate for the instrument can change per reset |
| Position Code | Indicates whether the Enterprise pays or receives interest on the instrument |
| Principal Currency Code | Indicates currency in which principal payments are paid or received |
| Principal Factor Amount | EOP Principal Balance expressed as a percentage of Original Face |
| Principal Payment Date | A valid date identifying the date that principal is paid |
| Settlement Date | A valid date identifying the date the settlement occurred |
| Spread | An amount added to an index to determine an instrument's interest rate |
| Start Date | The date, spot or forward, when some feature of a financial contract becomes effective (e.g., Call Date), or when interest payments or receipts begin to be calculated |
| Strike Rate | The price or rate at which an option begins to have a settlement value at expiration, or, for interest-rate caps and floors, the rate that triggers interest payments |
| Submitting Entity | Indicates which Enterprise is submitting information |
| Trade ID | Unique code identifying the trade of an instrument |
| Transaction Code | Indicates the transaction that an Enterprise is initiating with the instrument (e.g., buy, issue reopen) |
| Transaction Date | A valid date identifying the date the transaction occurred |
| UPB Scale Factor | Factor applied to UPB to adjust for timing differences |
| Unamortized Balances Scale Factor | Factor applied to Unamortized Balances to adjust for timing differences |
3.8.3.6.2* * *
[a]* * *
[b]* * *
[c]* * *
[d] Futures and Options on Futures also require special treatment:
1. Settle positions on their expiration dates. Exercise only in-the-money options (settlement value greater than zero).
2. Settle all contracts for cash
3. Calculate the cash settlement amount-the change in price of a contract from the contract trade date to its expiration date. Calculate the price on the expiration date based on stress test interest rates (or, as necessary, forward rates extrapolated from these rates).
4. Amortize amounts received or paid at the expiration date into income or expense on a straight-line basis over the life of the underlying instrument (in the case of an option on a futures contract, the life of the instrument underlying the futures contract).
5. Amortize an option premium on a straight-line basis over the life of the option. (Amortize any remaining balances upon option exercise.)
[e] Swaptions also require special treatment:
1. Assume swap settlement (i.e., initiation of the underlying swap) when a swap option is exercised.
2. Calculate a "normalized" fixed-pay coupon by subtracting the spread over the index, if any, from the coupon on the fixed-rate swap leg.
3. For all exercise types (American, Bermudan, and European), consistent with RBC Rule section 3.8.3.7, assume exercise by the party holding the swap option if the equivalent maturity Enterprise Cost of Funds is more than
a. 50 basis points above the normalized fixed-pay coupon, for a pay-fixed swaption (a call or 'payor' swaption), or
b. 50 basis points below the normalized fixed pay coupon for a receive-fixed swaption (a put or 'receiver' swaption).
4. Amortize option premiums on a straight-line basis over the option term. (Amortize any remaining balances upon option exercise).
[f] CPI-Linked Instruments also require special treatment. The stress test lacks the ability to accommodate floating-rate instruments that reset in response to changes in the consumer price index (CPI) as published by the Bureau of Labor Statistics. Enterprise issuance of CPI-linked instruments is tied to swap market transactions intended to create desired synthetic debt structure and terms. In such cases, the true economic position nets to the payment terms of the related derivative contract. Accordingly, in order to accommodate and address the existence of CPI-linked instruments in the Enterprises' portfolios, the net synthetic position shall be evaluated in the stress test. That is, for CPI-linked instruments tied to swap transactions that are formally linked in a hedge accounting relationship, the Enterprise should substitute the CPI-linked instrument's coupon payment terms with those of the related swap contract.
[g] Pre-refunded municipal bonds also require special treatments. Pre-refunded municipal bonds are collateralized by securities that are structured to fund all the cash flows of the refunded municipal bonds until the bonds are callable. Since the call date for the bonds, also referred to as the pre-refunded date, is a more accurate representation of the payoff date than the contractual maturity date of the bonds, the stress test models the bonds to mature on the call date.
3.9.2* * *
| Variable | Description |
|---|---|
| TYPE | Type of item (asset, liability or off-balance sheet item) |
| BOOK | Book Value of item (amount outstanding adjusted for deferred items) |
| FACE | Face Value or notional balance of item for off-balance sheet items |
| REMATUR | Remaining Contractual Maturity of item in whole months. Any fraction of a month equals one whole month. |
| RATE | Interest Rate |
| INDEX | Index used to calculate Interest Rate |
| FAS115 | Designation that the item is recorded at fair value, according to FAS 115 |
| RATING | Instrument or counterparty rating |
| FHA | In the case of off-balance sheet guarantees, a designation indicating 100% of collateral is guaranteed by FHA |
| MARGIN | Margin over an Index |
3.10.3.6.2* * *
[a] * * *
1. Fair Values
a. The valuation impact of any Applicable Fair Value Standards (AFVS), cumulative from their time of implementation, will be reversed out of the starting position data, by debiting any accumulated credits, and crediting any accumulated debits.
(1) AFVS are defined as GAAP pronouncements that require or allow fair value measurements, e.g. , EITF 99-20, FAS 65, FAS 87, FAS 115, FAS 133, FAS 140, FAS 149 and FIN 45. Valuation impacts of AVFS pertain only to amounts that are measured at fair value and not to other amounts that are included in AFVS but are not measured at fair value.
(2) The GAAP pronouncements covered by this treatment are subject to OFHEO review. The Enterprises will submit a list of standards and pronouncements that are being reversed in their RBC Reports.
b. After reversing the valuation impact of AFVS, any affected items are presented as follows:
(1) If absent the adoption of the AFVS, the affected transactions measured at fair value would have been accounted for on an amortized cost basis, they are presented as if they had always been accounted for on an amortized cost basis. Amounts not measured at fair value are represented as specified by GAAP and are presented using current GAAP rules.
(2) To the extent that transactions would not have been accounted for on an amortized cost basis, they are accounted for as if they were income and expense items.
Dated: November 21, 2006.
James B. Lockhart III,
Director, Office of Federal Housing Enterprise Oversight.
[FR Doc. 06-9446 Filed 12-13-06; 8:45 am]
BILLING CODE 4220-01-P