[Federal Register Volume 71, Number 122 (Monday, June 26, 2006)]
[Proposed Rules]
[Pages 36231-36252]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 06-5330]
=======================================================================
-----------------------------------------------------------------------
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:
I. 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.
II. 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.
A. 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.
B. 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.
C. 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.
D. 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
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. 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 LTV<=60
ratio, in percent, between the 60 16.0
----------------------------------------------------------------------------------------------------------------
Original Mortgage Interest Rate Assigned classes for the original 0.0<=Rate<4.0
mortgage interest rate 4.0<=Rate<5.0
5.0<=Rate<6.0
6.0<=Rate<7.0
7.0<=Rate<8.0
8.0<=Rate<9.0
9.0<=Rate<10.0
10.0<=Rate<11.0
11.0<=Rate<12.0
12.0<=Rate<13.0
13.0<=Rate<14.0
14.0<=Rate<15.0
15.0<=Rate<16.0
Rate=>16.0
----------------------------------------------------------------------------------------------------------------
Mortgage Age Assigned classes for the age of the 0<=Age<=12
loan 12180
----------------------------------------------------------------------------------------------------------------
[[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:
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 * * *
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
----------------------------------------------------------------------------------------------------------------
[[Page 36250]]
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
----------------------------------------------------------------------------------------------------------------
[[Page 36251]]
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
[[Page 36252]]
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
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
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.
b. 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