#### § 1240.33 Single-family mortgage exposures.

(a) *Definitions.* Subject to any additional instructions set forth on table 1 to this [paragraph (a)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(a)), for purposes of this section:

*Adjusted MTMLTV* means, with respect to a single-family mortgage exposure and as of a particular time, the amount equal to:

(i) The MTMLTV of the single-family mortgage exposure (or, if the loan age of the single-family mortgage exposure is less than 6, the OLTV of the single-family mortgage exposure); divided by

(ii) The amount equal to 1 plus either:

(A) The single-family countercyclical adjustment available at the time of the exposure's origination if the loan age of the single-family mortgage exposure is less than or equal to 5; or

(B) The single-family countercyclical adjustment available as of that time if the loan age of the single-family mortgage exposure is greater than or equal to 6.

*Approved insurer* means an insurance company that is currently approved by an Enterprise to guarantee or insure single-family mortgage exposures acquired by the Enterprise.

*Cancelable mortgage insurance* means a mortgage insurance policy that, pursuant to its terms, may or will be terminated before the maturity date of the insured single-family mortgage exposure, including as required or permitted by the Homeowners Protection Act of 1998 ([12 U.S.C. 4901](https://www.govinfo.gov/link/uscode/12/4901)).

*Charter-level coverage* means mortgage insurance that satisfies the minimum requirements of the authorizing statute of an Enterprise.

*Cohort burnout* means the number of refinance opportunities since the loan age of the single-family mortgage exposure was 6, categorized into ranges pursuant to the instructions set forth on Table 1 to this [paragraph (a)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(a)).

*Coverage percent* means the percent of the sum of the unpaid principal balance, any lost interest, and any foreclosure costs that is used to determine the benefit or other coverage under a mortgage insurance policy.

*COVID-19-related forbearance* means a forbearance granted pursuant to section 4022 of the Coronavirus Aid, Relief, and Economic Security Act or under a program established by FHFA to provide forbearance to borrowers adversely impacted by COVID-19.

*Days past due* means the number of days a single-family mortgage exposure is past due.

*Debt-to-income ratio (DTI)* means the ratio of a borrower's total monthly obligations (including housing expense) divided by the borrower's monthly income, as calculated under the Guide of the Enterprise.

*Deflated HPI* means, as of a particular time, the amount equal to:

(i) The national, not-seasonally adjusted Expanded-Data FHFA House Price Index® as of the end of the preceding calendar quarter; divided by

(ii) The average of the three monthly observations of the preceding calendar quarter from the non-seasonally adjusted Consumer Price Index for All Urban Consumers, U.S. City Average, All Items Less Shelter.

*Guide* means, as applicable, the Fannie Mae Single Family Selling Guide, the Fannie Mae Single Family Servicing Guide and the Freddie Mac Single-family Seller/Servicers Guide.

*Guide-level coverage* means mortgage insurance that satisfies the requirements of the Guide of the Enterprise with respect to mortgage insurance that has a coverage percent that exceeds charter-level coverage.

*Interest-only (IO)* means a single-family mortgage exposure that requires only payment of interest without any principal amortization during all or part of the loan term.

*Loan age* means the number of scheduled payment dates since the origination of a single-family mortgage exposure.

*Loan-level credit enhancement* means:

(i) Mortgage insurance; or

(ii) A participation agreement.

*Loan documentation* means the completeness of the documentation used to underwrite a single-family mortgage exposure, as determined under the Guide of the Enterprise.

*Loan purpose* means the purpose of a single-family mortgage exposure at origination.

*Long-term HPI trend* means, as of a particular time, the amount equal to: 0.66112295*e*(0.002619948\*t).

Where *t* = the number of quarters from the first quarter of 1975 to and including the end of the preceding calendar quarter and where the first quarter of 1975 is counted as one.[[1](#1240.33-footnote-1)]

*Long-term trend departure* means, as of a particular time, the percent amount equal to—

(i) The deflated HPI as of that time divided by the long-term HPI trend as of that time; minus

(ii) 1.0.

*MI cancelation feature* means an indicator for whether mortgage insurance is cancelable mortgage insurance or non-cancelable mortgage insurance, assigned pursuant to the instructions set forth on Table 1 to this [paragraph (a)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(a)).

*Modification* means a permanent amendment or other change to the interest rate, maturity date, unpaid principal balance, or other contractual term of a single-family mortgage exposure or a deferral of a required payment until the maturity or earlier payoff of the single-family mortgage exposure. A modification does not include a repayment plan with respect to any amounts that are past due or a COVID-19-related forbearance.

*Modified re-performing loan (modified RPL)* means a single-family mortgage exposure (other than an NPL) that is or has been subject to a modification, excluding any single-family mortgage exposure that was not 60 or more days past due at any time in a continuous 60-calendar month period that begins at any time after the effective date of the last modification.

*Months since last modification* means the number of scheduled payment dates since the effective date of the last modification of a single-family mortgage exposure.

*Mortgage concentration risk* means the extent to which a mortgage insurer or other counterparty is exposed to mortgage credit risk relative to other risks.

*MTMLTV* means, with respect to a single-family mortgage exposure, the amount equal to:

(i) The unpaid principal balance of the single-family mortgage exposure; divided by

(ii) The amount equal to:

(A) The unpaid principal balance of the single-family mortgage exposure at origination; divided by

(B) The OLTV of the single-family mortgage exposure; multiplied by

(C) The most recently available FHFA Purchase-only State-level House Price Index of the State in which the property securing the single-family mortgage exposure is located; divided by

(D) The FHFA Purchase-only State-level House Price Index, as of date of the origination of the single-family mortgage exposure, in which the property securing the single-family mortgage exposure is located.

*Non-cancelable mortgage insurance* means a mortgage insurance policy that, pursuant to its terms, may not be terminated before the maturity date of the insured single-family mortgage exposure.

*Non-modified re-performing loan (non-modified RPL)* means a single-family mortgage exposure (other than a modified RPL or an NPL) that was previously an NPL at any time in the prior 48 calendar months.

*Non-performing loan (NPL)* means a single-family mortgage exposure that is 60 days or more past due.

*Occupancy type* means the borrowers' intended use of the property securing a single-family mortgage exposure.

*Original credit score* means the borrower's credit score as of the origination date of a single-family mortgage exposure.

*OLTV (original loan-to-value)* means, with respect to a single-family mortgage exposure, the amount equal to:

(i) The unpaid principal balance of the single-family mortgage exposure at origination; divided by

(ii) The lesser of:

(A) The appraised value of the property securing the single-family mortgage exposure; and

(B) The sale price of the property securing the single-family mortgage exposure.

*Origination channel* means the type of institution that originated a single-family mortgage exposure, assigned pursuant to the instructions set forth on table 1 to this [paragraph (a)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(a)).

*Participation agreement* means, with respect to a single-family mortgage exposure, any agreement between an Enterprise and the seller of the single-family mortgage exposure pursuant to which the seller retains a participation of not less than 10 percent in the single-family mortgage exposure.

*Past due* means, with respect to a single-family mortgage exposure, that any amount required to be paid by the borrower under the terms of the single-family mortgage exposure has not been paid.

*Payment change from modification* means the amount, expressed as a percent, equal to:

(i) The amount equal to:

(A) The monthly payment of a single-family mortgage exposure after a modification; divided by

(B) The monthly payment of the single-family mortgage exposure before the modification; minus

(ii) 1.0.

*Performing loan* means any single-family mortgage exposure that is not an NPL, a modified RPL, or a non-modified RPL.

*Previous maximum days past due* means the maximum number of days a modified RPL or non-modified RPL was past due in the prior 36 calendar months.

*Product type* means an indicator reflecting the contractual terms of a single-family mortgage exposure as of the origination date, assigned pursuant to the instructions set forth on Table 1 to this [paragraph (a)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(a)).

*Property type* means the physical structure of the property securing a single-family mortgage exposure.

*Refinance opportunity* means, with respect to a single-family mortgage exposure, any calendar month in which the Primary Mortgage Market Survey (PMMS) rate for the month and year of the origination of the single-family mortgage exposure exceeds the PMMS rate for that calendar month by more than 50 basis points.

*Refreshed credit score* means the borrower's most recently available credit score.

*Single-family countercyclical adjustment* means, as of a particular time, zero percent except:

(i) If the long-term trend departure as of that time is greater than 5 percent, the percent amount equal to:

(A) 1.05 multiplied by the long-term HPI trend, as of that time, divided by the deflated HPI, as of that time, minus

(B) 1.0.

(ii) If the long-term trend departure as of that time is less than −5 percent, the percent amount equal to:

(A) 0.95 multiplied by the long-term HPI trend, as of that time, divided by the deflated HPI, as of that time, minus

(B) 1.0.

*Streamlined refi* means a single-family mortgage exposure that was refinanced through a streamlined refinance program of an Enterprise, including the Home Affordable Refinance Program, Relief Refi, and Refi-Plus.

*Subordination* means, with respect to a single-family mortgage exposure, the amount equal to the original unpaid principal balance of any second lien single-family mortgage exposure divided by the lesser of the appraised value or sale price of the property that secures the single-family mortgage exposure.

Table 1 to Paragraph (a)—Permissible Values and Additional Instructions

| Defined term | Permissible values | Additional instructions |
| --- | --- | --- |
| Cohort burnout | “No burnout,” if the single-family mortgage exposure has not had a refinance opportunity since the loan age of the single-family mortgage exposure was 6. | High if unable to determine. |
| | “Low,” if the single-family mortgage exposure has had 12 or fewer refinance opportunities since the loan age of the single-family mortgage exposure was 6 | |
| | “Medium,” if the single-family mortgage exposure has had between 13 and 24 refinance opportunities since the loan age of the single-family mortgage exposure was 6 | |
| | “High,” if the single-family mortgage exposure has had more than 24 refinance opportunities since the loan age of the single-family mortgage exposure was 6 | |
| Coverage percent | 0 percent <= coverage percent <= 100 percent | 0 percent if outside of permissible range or unable to determine. |
| Days past due | Non-negative integer | 210 if negative or unable to determine. |
| Debt-to-income (DTI) ratio | 0 percent < DTI < 100 percent | 42 percent if outside of permissible range or unable to determine. |
| Interest-only (IO) | Yes, no | Yes if unable to determine. |
| Loan age | 0 <= loan age <= 500 | 500 if outside of permissible range or unable to determine. |
| Loan documentation | None, low, full | None if unable to determine. |
| Loan purpose | Purchase, cashout refinance, rate/term refinance | Cashout refinance if unable to determine. |
| MTMLTV | 0 percent < MTMLTV <= 300 percent | If the property securing the single-family mortgage exposure is located in Puerto Rico or the U.S. Virgin Islands, use the FHFA House Price Index of the United States. |
| | | If the property securing the single-family mortgage exposure is located in Hawaii, use the FHFA Purchase-only State-level House Price Index of Guam. |
| | | If the single-family mortgage exposure was originated before 1991, use the Enterprise's proprietary housing price index. |
| | | Use geometric interpolation to convert quarterly housing price index data to monthly data. |
| | | 300 percent if outside of permissible range or unable to determine. |
| Mortgage concentration risk | High, not high | High if unable to determine. |
| MI cancellation feature | Cancellable mortgage insurance, non-cancellable mortgage insurance | Cancellable mortgage insurance, if unable to determine. |
| Occupancy type | Investment, owner-occupied, second home | Investment if unable to determine. |
| OLTV | 0 percent < OLTV <= 300 percent | 300 percent if outside of permissible range or unable to determine. |
| Original credit score | 300 <= original credit score <= 850 | If there are credit scores from multiple credit repositories for a borrower, use the following logic to determine a single original credit score: |
| | | • If there are credit scores from two repositories, take the lower credit score. |
| | | • If there are credit scores from three repositories, use the middle credit score. |
| | | • If there are credit scores from three repositories and two of the credit scores are identical, use the identical credit score. |
| | | If there are multiple borrowers, use the following logic to determine a single original credit score: |
| | | • Using the logic above, determine a single credit score for each borrower. |
| | | • Select the lowest single credit score across all borrowers. |
| | | The original credit score for the single-family mortgage exposure is 680 if the Enterprise has verified that no borrower has a credit score at any of the three repositories. |
| | | 600 if outside of permissible range or unable to determine. |
| Origination channel | Retail, third-party origination (TPO) | TPO includes broker and correspondent channels. TPO if unable to determine. |
| Payment change from modification | −80 percent < payment change from modification < 50 percent | If the single-family mortgage exposure initially had an adjustable or step-rate feature, the monthly payment after a permanent modification is calculated using the initial modified rate. |
| | | 0 percent if unable to determine. −79 percent if less than or equal to −80 percent. |
| | | 49 percent if greater than or equal to 50 percent. |
| Previous maximum days past due | Non-negative integer | 181 months if negative or unable to determine. |
| Product type | “FRM30” means a fixed-rate single-family mortgage exposure with an original amortization term greater than 309 months and less than or equal to 429 months “FRM20” means a fixed-rate single-family mortgage exposure with an original amortization term greater than 189 months and less than or equal to 309 months “FRM15” means a fixed-rate single-family mortgage exposure with an amortization term less than or equal to 189 months “ARM1/1” is an adjustable-rate single-family mortgage exposure that has a mortgage rate and required payment that adjust annually | Product types other than FRM30, FRM20, FRM15 or ARM 1/1 should be assigned to FRM30. Use the post-modification product type for modified mortgage exposures. ARM 1/1 if unable to determine. |
| Property type | 1-unit, 2-4 units, condominium, manufactured home | Use condominium for cooperatives. 2-4 units if unable to determine. |
| Refreshed credit score | 300 <= refreshed credit score <= 850 | If there are credit scores from multiple credit repositories for a borrower, use the following logic to determine a single refreshed credit score: |
| | | • If there are credit scores from two repositories, take the lower credit score. |
| | | • If there are credit scores from three repositories, use the middle credit score. |
| | | • If there are credit scores from three repositories and two of the credit scores are identical, use the identical credit score. |
| | | If there are multiple borrowers, use the following logic to determine a single Refreshed Credit Score: |
| | | • Using the logic above, determine a single credit score for each borrower. |
| | | • Select the lowest single credit score across all borrowers. |
| | | 600 if outside of permissible range or unable to determine. |
| Streamlined refi | Yes, no | No if unable to determine. |
| Subordination | 0 percent <= Subordination <= 80 percent | 80 percent if outside permissible range. |

(b) *Risk weight* —

(1) *In general.* Subject to [paragraph (b)(2)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(b)(2)) of this section, an Enterprise must assign a risk weight to a single-family mortgage exposure equal to:

(i) The base risk weight for the single-family mortgage exposure as determined under [paragraph (c)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(c)) of this section; multiplied by

(ii) The combined risk multiplier for the single-family mortgage exposure as determined under [paragraph (d)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(d)) of this section; multiplied by

(iii) The adjusted credit enhancement multiplier for the single-family mortgage exposure as determined under [paragraph (e)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(e)) of this section.

(2) *Minimum risk weight.* Notwithstanding the risk weight determined under [paragraph (b)(1)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(b)(1)) of this section, the risk weight assigned to a single-family mortgage exposure may not be less than 20 percent.

(c) *Base risk weight* —

(1) *Performing loan.* The base risk weight for a performing loan is set forth on Table 2 to this [paragraph (c)(1)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(c)(1)). For purposes of this [paragraph (c)(1)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(c)(1)), credit score means, with respect to a single-family mortgage exposure:

(i) The original credit score of the single-family mortgage exposure, if the loan age of the single-family mortgage exposure is less than 6; or

(ii) The refreshed credit score of the single-family mortgage exposure.

[![](https://img.federalregister.gov/ER17DE20.012/ER17DE20.012_large.png)](https://img.federalregister.gov/ER17DE20.012/ER17DE20.012_original_size.png)

(2) *Non-modified RPL.* The base risk weight for a non-modified RPL is set forth on Table 3 to this [paragraph (c)(2)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(c)(2)). For purposes of this [paragraph (c)(2)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(c)(2)), re-performing duration means, with respect to a non-modified RPL, the number of scheduled payment dates since the non-modified RPL was last an NPL.

[![](https://img.federalregister.gov/ER17DE20.013/ER17DE20.013_large.png)](https://img.federalregister.gov/ER17DE20.013/ER17DE20.013_original_size.png)

(3) *Modified RPL.* The base risk weight for a modified RPL is set forth on Table 4 to [paragraph (c)(3)(ii)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(c)(3)(ii)) of this section. For purposes of this [paragraph (c)(3)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(c)(3)), re-performing duration means, with respect to a modified RPL, the lesser of:

(i) The months since last modification of the modified RPL; and

(ii) The number of scheduled payment dates since the modified RPL was last an NPL.

[![](https://img.federalregister.gov/ER17DE20.014/ER17DE20.014_large.png)](https://img.federalregister.gov/ER17DE20.014/ER17DE20.014_original_size.png)

(4) *NPL.* The base risk weight for an NPL is set forth on Table 5 to this [paragraph (c)(4)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(c)(4)).

[![](https://img.federalregister.gov/ER17DE20.015/ER17DE20.015_large.png)](https://img.federalregister.gov/ER17DE20.015/ER17DE20.015_original_size.png)

(d) *Combined risk multiplier* —

(1) *In general.* Subject to [paragraph (d)(2)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(d)(2)) of this section, the combined risk multiplier for a single-family mortgage exposure is equal to the product of each of the applicable risk multipliers set forth under the applicable single-family segment on Table 6 to [paragraph (d)(2)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(d)(2)) of this section.

(2) *Maximum combined risk multiplier.* Notwithstanding the combined risk multiplier determined under [paragraph (d)(1)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(d)(1)) of this section, the combined risk multiplier for a single-family mortgage exposure may not exceed 3.0.

Table 6 to Paragraph (d)(2): Risk Multipliers

| Risk factor | Value or range | Single-family segment | | | |
| --- | --- | --- | --- | --- | --- |
| Performing loan | Non- modified RPL | Modified RPL | NPL |
| Loan Purpose | Purchase | 1.0 | 1.0 | 1.0 | |
| | Cashout refinance | 1.4 | 1.4 | 1.4 | |
| | Rate/term refinance | 1.3 | 1.2 | 1.3 | |
| Occupancy Type | Owner-occupied or second home | 1.0 | 1.0 | 1.0 | 1.0 |
| | Investment | 1.2 | 1.5 | 1.3 | 1.2 |
| Property Type | 1-unit | 1.0 | 1.0 | 1.0 | 1.0 |
| | 2-4 unit | 1.4 | 1.4 | 1.3 | 1.1 |
| | Condominium | 1.1 | 1.0 | 1.0 | 1.0 |
| | Manufactured home | 1.3 | 1.8 | 1.6 | 1.2 |
| Origination Channel | Retail | 1.0 | 1.0 | 1.0 | 1.0 |
| | TPO | 1.1 | 1.1 | 1.1 | 1.0 |
| DTI | DTI <= 25% | 0.8 | 0.9 | 0.9 | |
| | 25% < DTI <= 40% | 1.0 | 1.0 | 1.0 | |
| | DTI >40% | 1.2 | 1.2 | 1.1 | |
| Product Type | FRM30 | 1.0 | 1.0 | 1.0 | 1.0 |
| | ARM1/1 | 1.7 | 1.1 | 1.0 | 1.1 |
| | FRM15 | 0.3 | 0.3 | 0.5 | 0.5 |
| | FRM20 | 0.6 | 0.6 | 0.5 | 0.8 |
| Subordination | No subordination | 1.0 | 1.0 | 1.0 | |
| | 30% < OLTV <= 60% and 0% <subordination <= 5% | 1.1 | 0.8 | 1.0 | |
| | 30% < OLTV <= 60% and subordination >5% | 1.5 | 1.1 | 1.2 | |
| | OLTV >60% and 0% <subordination <= 5% | 1.1 | 1.2 | 1.1 | |
| | OLTV >60% and subordination >5% | 1.4 | 1.5 | 1.3 | |
| Loan Age | Loan age <= 24 months | 1.0 | | | |
| | 24 months <loan age <= 36 months | 0.95 | | | |
| | 36 months <loan Age <= 60 months | 0.80 | | | |
| | Loan age >60 months | 0.75 | | | |
| Cohort Burnout | No burnout | 1.0 | | | |
| | Low | 1.2 | | | |
| | Medium | 1.3 | | | |
| | High | 1.4 | | | |
| Interest-only | No IO | 1.0 | 1.0 | 1.0 | |
| | Yes IO | 1.6 | 1.4 | 1.1 | |
| Loan Documentation | Full | 1.0 | 1.0 | 1.0 | |
| | None or low | 1.3 | 1.3 | 1.2 | |
| Streamlined Refi | No | 1.0 | 1.0 | 1.0 | |
| | Yes | 1.0 | 1.2 | 1.1 | |
| Refreshed Credit Score for Modified RPLs and Non-modified RPLs | Refreshed credit score <620 620 <= refreshed credit score <640 | | 1.6 1.3 | 1.4 1.2 | |
| | 640 <= refreshed credit score <660 | | 1.2 | 1.1 | |
| | 660 <= refreshed credit score <700 | | 1.0 | 1.0 | |
| | 700 <= refreshed credit score <720 | | 0.7 | 0.8 | |
| | 720 <= refreshed credit score <740 | | 0.6 | 0.7 | |
| | 740 <= refreshed credit score <760 | | 0.5 | 0.6 | |
| | 760 <= refreshed credit score <780 | | 0.4 | 0.5 | |
| | Refreshed credit score >= 780 | | 0.3 | 0.4 | |
| Payment Change from Modification | Payment change >= 0% | | | 1.1 | |
| | −20% <= payment change <0% | | | 1.0 | |
| | −30% <= payment change < −20% | | | 0.9 | |
| | Payment change < −30% | | | 0.8 | |
| Previous Maximum Days Past Due | 0-59 days | | 1.0 | 1.0 | |
| | 60-90 days | | 1.2 | 1.1 | |
| | 91-150 days | | 1.3 | 1.1 | |
| | 151+ days | | 1.5 | 1.1 | |
| Refreshed Credit Score for NPLs | Refreshed credit score <580 | | | | 1.2 |
| | 580 <= refreshed credit score <640 | | | | 1.1 |
| | 640 <= refreshed credit score <700 | | | | 1.0 |
| | 700 <= refreshed credit score <720 | | | | 0.9 |
| | 720 <= refreshed credit score <760 | | | | 0.8 |
| | 760 <= refreshed credit score <780 | | | | 0.7 |
| | Refreshed credit score >= 780 | | | | 0.5 |

(e) *Credit enhancement multiplier* —

(1) *Amount* —

(i) *In general.* The adjusted credit enhancement multiplier for a single-family mortgage exposure that is subject to loan-level credit enhancement is equal to 1.0 minus the product of:

(A) 1.0 minus the credit enhancement multiplier for the single-family mortgage exposure as determined under [paragraph (e)(2)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(e)(2)) of this section; multiplied by

(B) 1.0 minus the counterparty haircut for the loan-level credit enhancement as determined under [paragraph (e)(3)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(e)(3)) of this section.

(ii) *No loan-level credit enhancement.* The adjusted credit enhancement multiplier for a single-family mortgage exposure that is not subject to loan-level credit enhancement is equal to 1.0.

(2) *Credit enhancement multiplier.*

(i) The credit enhancement multiplier for a single-family mortgage exposure that is subject to a participation agreement is 1.0.

(ii) Subject to [paragraph (e)(2)(iii)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(e)(2)(iii)) of this section, the credit enhancement multiplier for—

(A) A performing loan, non-modified RPL, or modified RPL that is subject to non-cancelable mortgage insurance is set forth on Table 7 to [paragraph (e)(2)(iii)(E)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(e)(2)(iii)(E)) of this section;

(B) A performing loan or non-modified RPL that is subject to cancelable mortgage insurance is set forth on Table 8 to [paragraph (e)(2)(iii)(E)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(e)(2)(iii)(E)) of this section;

(C) A modified RPL with a 30-year post-modification amortization that is subject to cancelable mortgage insurance is set forth on Table 9 to [paragraph (e)(2)(iii)(E)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(e)(2)(iii)(E)) of this section;

(D) A modified RPL with a 40-year post-modification amortization that is subject to cancelable mortgage insurance is set forth on Table 10 to [paragraph (e)(2)(iii)(E)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(e)(2)(iii)(E)) of this section; and

(E) NPL, whether subject to non-cancelable mortgage insurance or cancelable mortgage insurance, is set forth on Table 11 to [paragraph (e)(2)(iii)(E)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(e)(2)(iii)(E)) of this section.

(iii) Notwithstanding anything to the contrary in this [paragraph (e)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(e)), for purposes of [paragraph (e)(2)(ii)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(e)(2)(ii)) of this section:

(A) The OLTV of a single-family mortgage exposure will be deemed to be 80 percent if the single-family mortgage exposure has an OLTV less than or equal to 80 percent.

(B) If the single-family mortgage exposure has an interest-only feature, any cancelable mortgage insurance will be deemed to be non-cancelable mortgage insurance.

(C) If the coverage percent of the mortgage insurance is greater than charter-level coverage and less than guide-level coverage, the credit enhancement multiplier is the amount equal to a linear interpolation between the credit enhancement multiplier of the single-family mortgage exposure for charter-level coverage and the credit enhancement multiplier of the single-family mortgage exposure for guide-level coverage.

(D) If the coverage percent of the mortgage insurance is less than charter-level coverage, the credit enhancement multiplier is the amount equal to the midpoint of a linear interpolation between a credit enhancement multiplier of 1.0 and the credit enhancement multiplier of the single-family mortgage exposure for charter-level coverage.

(E) If the coverage percent of the mortgage insurance is greater than guide-level coverage, the credit enhancement multiplier is determined as if the coverage percent were guide-level coverage.

[![](https://img.federalregister.gov/ER17DE20.018/ER17DE20.018_large.png)](https://img.federalregister.gov/ER17DE20.018/ER17DE20.018_original_size.png)
[![](https://img.federalregister.gov/ER17DE20.019/ER17DE20.019_large.png)](https://img.federalregister.gov/ER17DE20.019/ER17DE20.019_original_size.png)
[![](https://img.federalregister.gov/ER17DE20.020/ER17DE20.020_large.png)](https://img.federalregister.gov/ER17DE20.020/ER17DE20.020_original_size.png)
[![](https://img.federalregister.gov/ER17DE20.021/ER17DE20.021_large.png)](https://img.federalregister.gov/ER17DE20.021/ER17DE20.021_original_size.png)
[![](https://img.federalregister.gov/ER17DE20.022/ER17DE20.022_large.png)](https://img.federalregister.gov/ER17DE20.022/ER17DE20.022_original_size.png)

(3) *Credit enhancement counterparty haircut* —

(i) *Counterparty rating* —

(A) *In general.* For purposes of this [paragraph (e)(3)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(e)(3)), the counterparty rating for a counterparty is—

(*1*) 1, if the Enterprise has determined that the counterparty has extremely strong capacity to perform its financial obligations in a severely adverse stress;

(*2*) 2, if the Enterprise has determined that the counterparty has very strong capacity to perform its financial obligations in a severely adverse stress;

(*3*) 3, if the Enterprise has determined that the counterparty has strong capacity to perform its financial obligations in a severely adverse stress;

(*4*) 4, if the Enterprise has determined that the counterparty has adequate capacity to perform its financial obligations in a severely adverse stress;

(*5*) 5, if the Enterprise has determined that the counterparty does not have adequate capacity to perform its financial obligations in a severely adverse stress but does have adequate capacity to perform its financial obligations in an adverse stress;

(*6*) 6, if the Enterprise has determined that the counterparty does not have adequate capacity to perform its financial obligations in an adverse stress;

(*7*) 7, if the Enterprise has determined that the counterparty's capacity to perform its financial obligations is questionable under prevailing economic conditions;

(*8*) 8, if the Enterprise has determined that the counterparty is in default on a material contractual obligation (including any obligation with respect to collateral requirements) or is under a resolution proceeding or similar regulatory proceeding.

(B) *Required considerations.*

(*1*) In determining the capacity of a counterparty to perform its financial obligations, the Enterprise must consider the likelihood that the counterparty will not perform its material obligations with respect to the posting of collateral and the payment of any amounts payable under its contractual obligations.

(*2*) A counterparty does not have an adequate capacity to perform its financial obligations in a severely adverse stress if there is a material risk that the counterparty would fail to timely perform any financial obligation in a severely adverse stress.

(ii) *Counterparty haircut.* The counterparty haircut is set forth on table 12 to this [paragraph (e)(3)(ii)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(e)(3)(ii)). For purposes of this [paragraph (e)(3)(ii)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(e)(3)(ii)), RPL means either a modified RPL or a non-modified RPL.

[![](https://img.federalregister.gov/ER17DE20.023/ER17DE20.023_large.png)](https://img.federalregister.gov/ER17DE20.023/ER17DE20.023_original_size.png)

(f) *COVID-19-related forbearances* —

(1) *During forbearance.* Notwithstanding anything to the contrary under [paragraph (c)(4)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(c)(4)) of this section, the base risk weight for an NPL is equal to the product of 0.45 and the base risk weight that would otherwise be assigned to the NPL under [paragraph (c)(4)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(c)(4)) of this section if the NPL—

(i) Is subject to a COVID-19-related forbearance; or

(ii) Was subject to a COVID-19-related forbearance at any time in the prior 6 calendar months and is subject to a trial modification plan.

(2) *After forbearance.* Notwithstanding the definition of “past due” under [paragraph (a)](/on/2024-09-19/title-12/section-1240.33#p-1240.33(a)) of this section, any period of time in which a single-family mortgage exposure was past due while subject to a COVID-19-related forbearance is to be disregarded for the purpose of assigning a risk weight under this section if the entire amount past due was repaid upon the termination of the COVID-19-related forbearance.

[[85 FR 82198](https://www.federalregister.gov/citation/85-FR-82198), Dec. 17, 2020, as amended at [87 FR 14770](https://www.federalregister.gov/citation/87-FR-14770), Mar. 16, 2022; [88 FR 83476](https://www.federalregister.gov/citation/88-FR-83476), Nov. 30, 2023]

###### Footnotes - [1240.33](/on/2024-09-19/title-12/section-1240.33)

[[1](#1240.33-footref-1)] FHFA will adjust the formula for the long-term HPI trend in accordance with applicable law if two conditions are satisfied as of the end of a calendar quarter that follows the last adjustment to the long-term HPI trend: (i) The average of the long-term trend departures over four consecutive calendar quarters has been less than −5.0 percent; and (ii) after the end of the calendar quarter in which the first condition is satisfied, the deflated HPI has increased to an extent that it again exceeds the long-term HPI trend. The point in time of the new trough used by FHFA to adjust the formula for the long-term HPI trend will be identified by the calendar quarter with the smallest deflated HPI in the period that includes the calendar quarter in which the first condition is satisfied and ends at the end of the calendar quarter in which the second condition is first satisfied.