Risk-based capital: Test methodology and specifications; technical amendments,
[Federal Register: June 26, 2006 (Volume 71, Number 122)]
[Proposed Rules]
[Page 36231-36252]
From the Federal Register Online via GPO Access [wais.access.gpo.gov]
[DOCID:fr26jn06-20]
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: Notice of Proposed Rulemaking.
SUMMARY: The Office of Federal Housing Enterprise Oversight (OFHEO) is proposing technical amendments to Appendix A to Subpart B Risk-Based Capital Regulation Methodology and Specifications of 12 CFR part 1750, (Risk-Based Capital Regulation). The proposed amendments are intended to enhance the accuracy and transparency of the calculation of the risk-based capital requirement for the Enterprises and updates the Risk-Based Capital Regulation to incorporate approved new activities treatments.
DATES: Comments regarding this Notice of Proposed Rulemaking must be received in writing on or before July 26, 2006. For additional information, see SUPPLEMENTARY INFORMATION.
ADDRESSES: You may submit your comments on the proposed rulemaking, identified by ``RIN 2550-AA35,'' by any of the following methods:
U.S. Mail, United Parcel Post, Federal Express, or Other Mail Service: The mailing address for comments is: Alfred M. Pollard, General Counsel, Attention: Comments/RIN 2550-AA35, Office of Federal Housing Enterprise Oversight, Fourth Floor, 1700 G Street, NW., Washington, DC 20552.
Hand Delivery/Courier: The hand delivery address is: Alfred M. Pollard, General Counsel, Attention: Comments/RIN 2550-AA35, Office of Federal Housing Enterprise Oversight, Fourth Floor, 1700 G Street, NW., Washington, DC 20552. The package should be logged at the Guard Desk, First Floor, on business days between 9 a.m. and 5 p.m.
E-mail: Comments to Alfred M. Pollard, General Counsel, may be sent by e-mail at RegComments@OFHEO.gov. Please include ``RIN 2550-AA35'' in the subject line of the message.
FOR FURTHER INFORMATION CONTACT: Isabella W. Sammons, Deputy General Counsel, telephone (202) 414-3790 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:
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Comments
The Office of Federal Housing Enterprise Oversight (OFHEO) invites comments on all aspects of the proposed regulation, and will take all comments into consideration before issuing the final regulation. OFHEO requests that comments submitted in hard copy also be accompanied by the electronic version in Microsoft[supreg] Word or in portable document format (PDF) on 3.5'' disk or CD-ROM.
Copies of all comments will be posted on the OFHEO Internet web site at http://www.ofheo.gov. In addition, copies of all comments
received will be available for examination by the public on business days between the hours of 10 a.m. and 3 p.m., at the Office of Federal Housing Enterprise Oversight, Fourth Floor, 1700 G Street, NW., Washington, DC 20552. To make an appointment to inspect comments, please call the Office of General Counsel at (202) 414-3751.
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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 (Act) (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.\1\ The Risk-Based Capital Test 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\ Since the last amendment
[[Page 36232]]
to the Risk-Based Capital Regulation, additional experience with the regulation has raised further operational and technical issues. OFHEO now proposes technical amendments to address four aspects of the Risk- Based Capital Regulation. The proposed technical amendments would incorporate additional interest rates indices, clarify definitions, incorporate approved new Enterprise activities and update treatment of certain mark-to-market accounting issues. These amendments are capital neutral and largely codify existing practice undertaken pursuant to the current Risk-Based Capital Regulation. In addition to the proposed technical amendments, OFHEO plans additional future rulemakings to address substantial topics such as making adjustments to the loss severity equations used to calculate Enterprise risk-based capital and the appropriateness of incorporating mark-to-market accounting into the Risk-Based Capital Regulation. OFHEO also plans to update the Minimum Capital Regulation to address fair value accounting and other issues.\3\
\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).
\3\Minimum Capital, 61 FR 35607 (July 8, 1996), 12 CFR 1750, as amended, 67 FR 19321 (April 19, 2002).
Although the changes set forth in this amendment are technical and are being proposed to incorporate proxy treatments, new activities, and updates already used to calculate Enterprise capital requirements, OFHEO welcomes comment as to whether these changes are optimal and on any additional issues mentioned herein. The proposed technical amendments are discussed in greater detail below.
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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 is proposing additions to the interest rate indices used to measure Enterprise risk. These new indices would be incorporated into the Risk- Based Capital Regulation 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. 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.
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Revised Risk-Based Capital Regulation Definitions
Additional operational experience with the Risk-Based Capital Regulation, as well as financial and mortgage market developments, have led OFHEO to conclude that a number of defined terms in the Risk-Based Capital Regulation lack clarity or were otherwise insufficient. Proposed technical amendments in this area include changes to recognize that single family loans with interest-only periods have become common and that the Enterprises have acquired or guaranteed such loans. Sections 3.1.2.1, 3.6.3.3.1, and 3.6.3.3.2 of Appendix A to Subpart B, currently provide a treatment for loans with interest-only periods. However, the data definitions in sections 3.1.2.1, 3.6.3.3.1, and 3.6.3.3.2 assume only multifamily loans have this feature. OFHEO proposes modifications to the data definitions in those sections of the Risk-Based Capital Regulation to accommodate single family interest- only loans. In addition to the single family interest-only issue, there are more than 30 definitions related to deferred balances throughout the Risk-Based Capital Regulation. These definitions are not clear or consistent throughout the Risk-Based Capital Regulation and across product type. Finally, the Risk-Based Capital Regulation definition of ``float days'' in sections 3.1.2.1.1 and 3.6.3.7.2 would be revised to indicate more accurately that amounts referred to in that definition are based on weighted averages for a given loan group.
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Incorporation of New Enterprise Activities
Section 3.11 of the Risk-Based Capital Regulation provides a method for recognizing and quantifying the capital impact of the innovations in the financial and mortgage markets that impact the risk profiles of the Enterprises. Section 3.11.3, Treatment of New Activities, sets forth the procedures by which new Enterprise activities are reported to OFHEO, analyzed by OFHEO to determine an appropriately conservative treatment, and incorporated into the risk-based capital calculation. The section also describes how each newly incorporated treatment is made available to the public for comment and possible further revision. Since the promulgation of the Risk-Based Capital Regulation, many new activities treatments have been incorporated into the capital calculation and posted on the OFHEO web site for public comment. Because these new activities appear to be permanent and their treatments have proved effective, OFHEO is proposing to incorporate them into the text of the Risk-Based Capital Regulation. The proposed technical amendments regarding new activities treatments in section 3.6, whole loan cash flows, include treatments concerning reverse mortgages and split-rate arm loans. New activities treatments in section 3.8, nonmortgage instrument cash flows, relate to futures and options on futures, swaptions, consumer price index coupon linked instruments, and pre-refunded tax-exempt municipal bonds. The proposed amendments would appear at sections 3.6.3.3.1 and 3.8.3.6.2.
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Update of Mark-to-Market Accounting Treatment
During the notice and comment development of the Risk-Based Capital Regulation, commenters raised concerns regarding treatment of the impact of mark-to-market accounting. At that time, Financial Accounting Standard (FAS) 115 and FAS 133 required mark-to-market accounting for certain instruments. In response to the requirements of FAS 115 and FAS 133, and taking into account public comments, OFHEO determined to implement simplified procedures to allow the efficient and practical implementation of the stress test. Generally, the simplified procedures provide for the removal of the effects of mark-to-market accounting from the balance sheet such that the balance sheet is stated on an amortized cost basis.
Since the adoption of the Risk-Based Capital Regulation, a number of new accounting standards have been adopted by the Financial Accounting Standards Board that introduce fair values to the balance sheet and that are similar in complexity to FAS 115 and FAS 133. OFHEO is proposing a technical amendment to Section 3.10.3.6.2 [a] 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. Under current guidance from OFHEO, the Enterprises back out the impact of the new mark-to-market accounting standards from their respective balance sheets prior to submitting their Risk-Based Capital Reports to OFHEO. The treatment set forth in the proposed amendment would codify this practice.
[[Page 36233]]
Regulatory Impacts
Executive Order 12866, Regulatory Planning and Review
The proposed technical amendments address provisions of the Risk- Based Capital Regulation. The proposed 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 recognition of accounting rule changes adopted since the Risk-Based Capital Regulation was promulgated. The proposed technical amendments to the Risk-Based Capital Regulation are not classified as an economically significant rule under Executive Order 12866 because they would 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 proposed 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 proposed technical amendments to the Risk- Based Capital Regulation address matters which the Enterprises must comply with for Federal regulatory purposes. The proposed 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 proposed amendments to the Capital regulation have no federalism implications that warrant preparation of a Federalism Assessment in accordance with Executive Order 13132.
Paperwork Reduction Act
These 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 proposed technical amendments to the Risk-Based Capital Regulation under the Regulatory Flexibility Act. The General Counsel of OFHEO certifies that the proposed 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
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The authority citation for part 1750 continues to read as follows:
Authority: 12 U.S.C. 4513, 4514, 4611, 4612, 4614, 4615, 4618.
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Amend Appendix A to subpart B of part 1750 as follows:
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Revise Table 3-2 in paragraph 3.1.2.1 [c];
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Revise Table 3-4 in paragraph 3.1.2.1 [c];
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Revise Table 3-5 in paragraph 3.1.2.1.1;
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Revise Table 3-8 in paragraph 3.1.2.1.1;
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Revise Table 3-9 in paragraph 3.1.2.1.1;
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Revise Table 3-12 in paragraph 3.1.2.2 [a];
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Revise Table 3-13 in paragraph 3.1.2.2 [b];
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Revise Table 3-14 in paragraph 3.1.2.2 [c];
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Revise Table 3-15 in paragraph 3.1.2.3;
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Revise Table 3-16 in paragraph 3.1.2.4;
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Revise Table 3-18 in paragraph 3.1.3.1 [c];
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Revise Table 3-27 in paragraph 3.3.3 [a] 3. b.;
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Redesignate paragraphs 3.6.3.3.1 [d] and [e] as new paragraphs 3.6.3.3.1. [c] 5. and [c] 6., respectively;
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Add new paragraphs 3.6.3.3.1 [c] 7. and [c] 8.;
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Revise Table 3-32 in paragraph 3.6.3.3.2;
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Revise Table 3-51 in paragraph 3.6.3.7.2;
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Revise Table 3-54 in paragraph 3.6.3.8.2;
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Revise Table 3-56 in paragraph 3.7.2.1.1;
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Revise Table 3-57 in paragraph 3.7.2.1.2 [a];
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Revise Table 3-58 in paragraph 3.7.2.1.3 [a];
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Revise Table 3-66 in paragraph 3.8.2 [a];
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Redesignate paragraph 3.8.3.6.2 [d] as new paragraph 3.8.3.6.2
[h] ;
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Add new paragraphs 3.8.3.6.2 [d] thru [g];
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Revise Table 3-70 in paragraph 3.9.2;
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Amend paragraphs 3.10.3.6.2 [a] 1. a. and b.
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] * * *
[[Page 36234]]
Table 3-2--Whole Loan Classification Variables
Variable
Description
Range
Reporting Date
The last day of the quarter for the YYYY0331 loan group activity that is being YYYY0630 reported to OFHEO
YYYY0930 YYYY1231
Enterprise
Enterprise submitting the loan group Fannie Mae data
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 Conventional loan
Government
Original LTV
Assigned LTV classes based on the LTV16.0
Original Mortgage Interest Rate Assigned classes for the original 0.016.0
Mortgage Age
Assigned classes for the age of the 0180
[[Page 36235]]
Rate Reset Period
Assigned classes for the number of Period=1 months between rate adjustments 1=4.00
Prepayment Penalty Flag
Indicates if prepayment of the loan Yes is subject to active prepayment No penalties or yield maintenance provisions
* * * * * 3.1.2.1.1* * *
Table 3-5--Mortgage Amortization Calculation Inputs
Variable
Description
Rate Type (Fixed or Adjustable)
Product Type (30/20/15-Year FRM, ARM, Balloon, Government, etc.)
UPBORIG
Unpaid Principal Balance at Origination (aggregate for Loan Group)
UPB0
Unpaid Principal Balance at start of Stress Test (aggregate for Loan Group), adjusted by UPB scale factor
MIR0
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)
PMT0
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)
A0
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)
INDEXm
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 UPBORIG
[[Page 36237]]
Unlimited Payment Reset Period, in months
PRP
Payment Reset Period, in months
Payment Reset Limit, as decimal fraction of prior payment
* * * * * 3.1.2.1.1 * * *
Table 3-8--Miscellaneous Whole Loan Cash and Accounting Flow Inputs
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
UPD0
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
* * * * * 3.1.2.1.1 * * *
Table 3-9--Additional Inputs for Repurchased MBS
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.
SUPD0
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 determined by reconciling Factor
reported Security Unamortized Balances to published financials
* * * * * 3.1.2.2 * * *
[a] * * *
Table 3-12--Inputs for Single Class MBS Cash Flows
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 StressTest), adjusted by UPB scale factor and multiplied by the Enterprise's percentage ownership
Product Code
Mortgage product type for the pool
[[Page 36238]]
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 Mortgage Interest Rate of the rate
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 The current UPB weighted average Rate
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 The current UPB weighted average Rate
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 Number of months between unlimited Period
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
HPGRK
Vector of House Price Growth Rates for quarters q=1...40 of the Stress Period.
* * * * * 3.1.2.2 * * *
[b] * * *
[[Page 36239]]
Table 3-13--Information for Multi-Class and Derivative MBS Cash Flows Inputs
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
* * * * * 3.1.2.2 * * *
[c] * * *
Table 3-14--Inputs for MRBs and Derivative MBS Cash Flows Inputs
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 The month in the Stress Test that Date, Down-Rate Scenario
principal payment is expected to start for the security under the statutory ``down'' interest rate scenario, according to Enterprise projections
Principal Payment Window Ending The month in the Stress Test that Date, Down-Rate Scenario
principal payment is expected to end for the security under the statutory ``down'' interest rate scenario, according to Enterprise projections
Principal Payment Window Starting The month in the Stress Test that Date, Up-Rate Scenario
principal payment is expected to start for the security under the statutory ``up'' interest rate scenario, according to Enterprise projections
Principal Payment Window Ending The month in the Stress Test that Date, Up-Rate Scenario
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
[[Page 36240]]
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 * * *
Table 3-15--Input Variables for Nonmortgage Instrument Cashflows
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
[[Page 36241]]
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
[[Page 36242]]
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 * * *
Table 3-16--Inputs for Alternative Modeling Treatment Items
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
FAS 115
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]* * *
Table 3-18--Interest Rate and Index Inputs
Interest rate index
Description
Source
1 MO Treasury Bill
One-month Treasury bill yield,
Bloomberg Generic 1 Month monthly simple average of daily U.S. Treasury bill rate, quoted as actual/360
Ticker: GB1M (index)
3 MO CMT
Three-month constant maturity
Federal Reserve H.15 Release Treasury yield, monthly simple average of daily rate, quoted as bond equivalent yield
6 MO CMT
Six-month constant maturity Treasury Federal Reserve H.15 Release yield, monthly simple average of daily rate, quoted as bond equivalent yield
1 YR CMT
One-year constant maturity Treasury Federal Reserve H.15 Release yield, monthly simple average of daily rate, quoted as bond equivalent yield
2 YR CMT
Two-year constant maturity Treasury Federal Reserve H.15 Release yield, monthly simple average of daily rate, quoted as bond equivalent yield
3 YR CMT
Three-year constant maturity
Federal Reserve H.15 Release Treasury yield, monthly simple average of daily rate, quoted as bond equivalent yield
[[Page 36243]]
5 YR CMT
Five-year constant maturity Treasury Federal Reserve H.15 Release yield, monthly simple average of daily rate, quoted as bond equivalent yield
10 YR CMT
Ten-year constant maturity Treasury Federal Reserve H.15 Release yield, monthly simple average of daily rate, quoted as bond equivalent yield
20 YR CMT
Twenty-year constant maturity
Federal Reserve H.15 Release Treasury yield, monthly simple average of daily rate, quoted as bond equivalent yield
30 YR CMT
Thirty-year constant maturity
Federal Reserve H.15 Release, Treasury yield, monthly simple
Extrapolation Factors used for average of daily rate, quoted as estimation, U.S. Dept. of the bond equivalent yield; after
Treasury February 15, 2002, estimated according to the Department of the Treasury methodology using long- term average rates and extrapolation factors as referenced in OFHEO guideline 402
12-mo Moving Treasury Average (MTA) 12-month Federal Reserve cumulative Bloomberg Ticker: 12MTA (Index) average 1 year CMT, monthly simple average of daily rate.
Overnight Fed Funds (Effective) Overnight effective Federal Funds Federal Reserve H.15 Release rate, monthly simple average of daily rate
Certificate of Deposits Index (CODI) 12-month average of monthly
Bloomberg Ticker: COF CODI (index) published yields on 3-month certificates of deposit, based on the Federal Reserve Board statistical release, H-15
1 Week Federal Funds
1 week Federal Funds rate, monthly Bloomberg Term Fed Funds U.S. simple average of daily rates
Domestic Ticker: GFED01W (index)
6 Month Fed Funds
6 month Federal Funds rate, monthly Bloomberg Term Fed Funds U.S. simple average of daily rates
Domestic Ticker: GFED06M (index)
Conventional Mortgage Rate
FHLMC (Freddie Mac) contract
Federal Reserve H.15 Release interest rates for 30 YR fixed-rate mortgage commitments, monthly average of weekly rates
Constant Maturity Mortgage (CMM) Bond equivalent yield on TBA
TradeWeb Index
mortgage-backed security which prices at the par price
1-mo Freddie Mac Reference Bill 1-month Freddie Mac Reference Bill, Freddiemac.com Web site: http://actual price and yield by auction www.freddiemac.com/debt/data/cgi-
date
bin/refbillaucres.cgi?order=AD
FHLB 11th District COF
11th District (San Francisco)
Bloomberg Cost of Funds for the 11th weighted average cost of funds for District savings and loans, monthly
Ticker: COF11 (index)
1 MO LIBOR
One-month London Interbank Offered British Bankers Association Rate, average of bid and asked, Bloomberg Ticker: US0001M (index) monthly simple average of daily rates, quoted as actual/360
3 MO LIBOR
Three-month London Interbank Offered British Bankers Association Rate, average of bid and asked, Bloomberg Ticker: US0003M (index) monthly simple average of daily rates, quoted as actual/360
6 MO LIBOR
Six-month London Interbank Offered British Bankers Association Rate, average of bid and asked, Bloomberg Ticker: US0006M (index) monthly simple average of daily rates, quoted as actual/360
12 MO LIBOR
One-year London Interbank Offered British Bankers Association Rate, average of bid and asked, Bloomberg Ticker: US0012M (index) monthly simple average of daily rates, quoted as actual/360
Prime Rate
Prevailing rate as quoted, monthly Federal Reserve H.15 Release average of daily rates
1 MO Federal Agency COF
One-month Federal Agency Cost of Bloomberg Generic 1 Month Agency Funds, monthly simple average of Discount Note Yield. daily rates, quoted as actual/360 Ticker: AGDN030Y (index)
3 MO Federal Agency COF
Three-month Federal Agency Cost of Bloomberg Generic 3 Month Agency Funds, monthly simple average of Discount Note Yield. daily rates, quoted as actual/360 Ticker: AGDN090Y (index)
6 MO Federal Agency COF
Six-month Federal Agency Cost of Bloomberg Generic 6 Month Agency Funds, monthly simple average of Discount Note Yield. daily rates, quoted as actual/360 Ticker: AGDN180Y (index)
1 YR Federal Agency COF
One-year Federal Agency Cost of Bloomberg Generic 12 Month Agency Funds, monthly simple average of Discount Note Yield. daily rates, quoted as actual/360 Ticker: AGDN360Y (index)
2 YR Federal Agency COF
Two-year Federal Agency Fair Market Bloomberg Generic 2 Year Agency Fair Yield, monthly simple average of Market Yield. daily rates
Ticker: CO842Y (index)
3 YR Federal Agency COF
Three-year Federal Agency Fair
Bloomberg Generic 3 Year Agency Fair Market Yield, monthly simple
Market Yield. average of daily rates
Ticker: CO843Y (index)
5 YR Federal Agency COF
Five-year Federal Agency Fair Market Bloomberg Generic 5 Year Agency Fair Yield, monthly simple average of Market Yield. daily rates
Ticker: CO845Y (index)
[[Page 36244]]
10 YR Federal Agency COF
Ten-year Federal Agency Fair Market Bloomberg Generic 10 Year Agency Yield, monthly simple average of Fair Market Yield. daily rates
Ticker: CO8410Y (index)
30 YR Federal Agency COF
Thirty-year Federal Agency Fair Bloomberg Generic 30 Year Agency Market Yield, monthly simple
Fair Market Yield. average of daily rates
Ticker: CO8430Y (index)
15 YR fixed-rate mortgage
FHLMC (Freddie Mac) contract
Bloomberg FHLMC 15 YR, 10 day interest rates for 15 YR fixed-rate commitment rate. mortgage commitments, monthly
Ticker: FHCR1510 (index) average of FHLMC (Freddie Mac) contract interest rates for 15 YR
7-year balloon mortgage rate
Seven-year balloon mortgage, equal Computed to the Conventional Mortgage Rate less 50 basis points
2-yr Swap
2-yr U.S. Dollar Swap Rate, quoted Bloomberg Ticker: USSWAP2 (index) as semi-annually fixed rate vs. 3- mo U.S. dollar
3-yr Swap
3-yr U.S. Dollar Swap Rate, quoted Bloomberg Ticker: USSWAP3 (Index) as semi-annually fixed rate vs. 3- mo U.S. dollar LIBOR
5-yr Swap
5-yr U.S. Dollar Swap Rate, quoted Bloomberg Ticker: USSWAP5 (Index) as semi-annually fixed rate vs. 3- mo U.S. dollar LIBOR
10-yr Swap
10-yr U.S. Dollar Swap Rate, quoted Bloomberg Ticker: USSWAP10 (Index) as semi-annually fixed rate vs. 3- mo U.S. dollar LIBOR
30-yr Swap
30-yr U.S. Dollar Swap Rate, quoted Bloomberg Ticker: USSWAP30 (Index) as semi-annually fixed rate vs. 3- mo U.S. dollar LIBOR
3.3.3 * * *
[a] * * * 3. * * * b. * * *
Table 3-27--Non-Treasury Interest Rates
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
12-mo Moving Treasury Average
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
1-mo Freddie Mac Reference Bill
1-year CMT
Certificate of Deposits Index
1-year CMT
1-year Federal Agency Cost of Funds 1-year CMT
[[Page 36245]]
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:
-
11 proxy securities for each reverse mortgage program are created.
-
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.
-
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.
-
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 * * *
Table 3-32--Loan Group Inputs for Mortgage Amortization Calculation
Variable*
Description
Source
Rate Type (Fixed or Adjustable)
RBC Report
Product Type (30/20/15-Year FRM, ARM,
RBC Report Balloon, Government, etc.)
UPBORIG
Unpaid Principal Balance at Origination
RBC Report (aggregate for Loan Group)
UPB0
Unpaid Principal Balance at start of Stress RBC Report Test (aggregate for Loan Group)
MIR0
Mortgage Interest Rate for the Mortgage
RBC Report 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)
PMT0
Amount of the Mortgage Payment (Principal and RBC Report Interest) prior to the start of the Stress Test, or first payment for new loans (aggregate for Loan Group)
AT
Original loan Amortizing Term in months
RBC Report (weighted average for Loan Group)
RM
Remaining term to Maturity in months (i.e., RBC Report 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)
A0
Age immediately prior to the start of the RBC Report Stress Test, in months (weighted average for Loan Group)
Interest-only Flag
RBC Report
RIOP
Remaining Interest-only period, in months RBC Report (weighted average for loan group)
Additional Interest Rate Inputs
GFR
Guarantee Fee Rate (weighted average for Loan RBC Report Group) (decimal per annum)
SFR
Servicing Fee Rate (weighted average for Loan RBC Report Group) (decimal per annum)
[[Page 36246]]
Additional Inputs for ARMs (weighted averages for Loan Group, except for Index)
INDEXm
Monthly values of the contractual Interest section 3.3, Interest Rates Rate Index
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 RBC Report annum
Maximum Rate (life cap), decimal per annum RBC Report
Minimum Rate (life floor), decimal per annum RBC Report
NAC
Negative Amortization Cap, decimal fraction RBC Report of UPBORIG
Unlimited Payment Reset Period, in months RBC Report
PRP
Payment Reset Period, in months
RBC Report
Payment Reset Limit, as decimal fraction of RBC Report prior payment
IRP
Initial Rate Period, in months
RBC Report
*Variable name is given when used in an equation
* * * * * 3.6.3.7.2 * * *
Table 3-51--Inputs for Final Calculation of Stress Test Whole Loan Cash Flows
Variable
Description
Source
UPBm
Aggregate Unpaid Principal Balance in month section 3.6.3.3.4, Mortgage m=0...RM
Amortization Schedule Outputs
NYRm
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 RBC Report Group) (decimal per annum)
PTRm
Pass-Through Rate in month m=1...RM
section 3.6.3.3.4, Mortgage Amortization Schedule Outputs
SPm
Aggregate Scheduled Principal (Amortization) section 3.6.3.3.4, Mortgage in month m=1...RM
Amortization Schedule Outputs
PREmSF
Prepaying Fraction of original Loan Group in section 3.6.3.4.4, Single PREmMF
month m=1...RM
Family Default and Prepayment Outputs and, section 3.6.3.5.4, Multifamily Default and Prepayment Outputs
DEFmSF
Defaulting Fraction of original Loan Group in section 3.6.3.4.4, Single DEFmMF
month m=1...RM
Family Default and Prepayment Outputs and, section 3.6.3.5.4, Multifamily Default and Prepayment Outputs
PERFmSF
Performing Fraction of original Loan Group in section 3.6.3.4.4, Single PERFmMF
month m=1...RM
Family Default and Prepayment Outputs and, section 3.6.3.5.4, Multifamily Default and Prepayment Outputs
FDS
Float Days for Scheduled Principal and
RBC Report Interest (weighted average for Loan Group)
FDP
Float Days for Prepaid Principal (weighted RBC Report average for Loan Group)
FERm
Float Earnings Rate in month m=1...RM
1 week Fed Funds Rate; section 3.3, Interest Rates
LSmSF
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 RBC Report Loan Group) (decimal)
[[Page 36247]]
* * * * * 3.6.3.8.2 * * *
Table 3-54--Inputs for Whole Loan Accounting Flows
Variable
Description
Source
RM
Remaining Term to Maturity in months
RBC Report
UPD0
Sum of all unamortized discounts, premiums, RBC Report 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
NYR0
Net Yield Rate at time zero
section 3.6.3.3.4, Mortgage Amortization Schedule Outputs
PUPBm
Performing Loan Group UPB in months m=0...RM section 3.6.3.7.4, Stress Test Whole Loan Cash Flow Outputs
PTR0
Pass-Through Rate at time zero
section 3.6.3.3.4, Mortgage Amortization Schedule Outputs
SPUPBm
Security Performing UPB in months m=0...RM section 3.6.3.7.4, Stress Test Whole Loan Cash Flow Outputs
SUPD0
The sum of all unamortized discounts,
RBC Report 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
* * * * * 3.7.2.1.1 * * *
Table 3-56--RBC Report Inputs for Single Class MBS Cash Flows
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)
[[Page 36248]]
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
HPGRK
Vector of House Price Growth Rates for quarters q=1...40 of the Stress Period
* * * * * 3.7.2.1.2 * * *
[a] * * *
Table 3-57--RBC Report Inputs for Multi-Class and Derivative MBS Cash Flows
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] * * *
Table 3-58--RBC Report Inputs for MRBs and Derivative MBS Cash Flows
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
[[Page 36249]]
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, The month in the Stress Test that principal payment is expected to Down-Rate Scenario
start for the security under the statutory ``down'' interest rate scenario, according to Enterprise projections
Principal Payment Window Ending Date, Down- The month in the Stress Test that principal payment is expected to Rate Scenario
end for the security under the statutory ``down'' interest rate scenario, according to Enterprise projections
Principal Payment Window Starting Date, Up- The month in the Stress Test that principal payment is expected to Rate Scenario
start for the security under the statutory ``up'' interest rate scenario, according to Enterprise projections
Principal Payment Window Ending Date, Up- The month in the Stress Test that principal payment is expected to Rate Scenario
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] * * *
Table 3-66--Input Variables for Nonmortgage Instrument Cash flows
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
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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
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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
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50 basis points above the normalized fixed-pay coupon, for a pay-fixed swaption (a call or `payor' swaption), or
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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
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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 * * *
Table 3-70--Alternative Modeling Treatment Inputs
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
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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 recognition of periodic changes in fair value, e.g., EITF 99-20, FAS 65, FAS 87, FAS 115, FAS 133, FAS 140, FAS 149 and FIN 45.
(2) The GAAP pronouncements covered by this treatment are subject to OFHEO review. The Enterprises will submit a list of standards and pronouncements which are being reversed in the RBC Reports.
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After reversing the valuation impact of AFVS, any affected activities are rebooked as follows:
(1) If absent the adoption of the AFVS, the affected transactions would have been accounted for on an historical cost basis, they are rebooked and presented as if they had always been accounted for on an historical cost basis. (The historical cost basis may include amortization from the time of the activity to the beginning of the stress test.)
(2) To the extent that transactions would not have been accounted for on an historical cost basis, they are accounted for as if they were income and expense activities. * * * * *
Dated: June 6, 2006. James B. Lockhart III, Acting Director, Office of Federal Housing Enterprise Oversight.
[FR Doc. 06-5330 Filed 6-23-06; 8:45 am]
BILLING CODE 4220-01-P
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