This section of the FEDERAL REGISTER

contains regulatory documents having general

applicability and legal effect, most of which

are keyed to and codified in the Code of

Federal Regulations, which is published under

50 titles pursuant to 44 U.S.C. 1510.

The Code of Federal Regulations is sold by

the Superintendent of Documents. Prices of

new books are listed in the first FEDERAL

REGISTER issue of each week.

Rules and Regulations Federal Register

75085 

Vol. 71, No. 240 

Thursday, December 14, 2006 

1Risk-Based Capital, 66 FR 47730 (September 13, 

2001), 12 CFR part 1750. 2Risk-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). 

DEPARTMENT OF HOUSING AND 

URBAN DEVELOPMENT 

Office of Federal Housing Enterprise 

Oversight 

12 CFR Part 1750 

RIN 2550–AA35 

Risk-Based Capital Regulation 

Amendment 

AGENCY: Office of Federal Housing 

Enterprise Oversight, HUD. 

ACTION: Final rule. 

SUMMARY: The Office of Federal Housing 

Enterprise Oversight (OFHEO) is 

amending Appendix A to Subpart B of 

12 CFR part 1750 Risk-Based Capital, 

(Risk-Based Capital Regulation). The 

amendments are intended to enhance 

the accuracy and transparency of the 

calculation of the risk-based capital 

requirement for Fannie Mae and Freddie 

Mac (the Enterprises) and to update the 

Risk-Based Capital Regulation to 

incorporate approved new activities 

treatments. 

EFFECTIVE DATE: December 14, 2006. 

FOR FURTHER INFORMATION CONTACT: 

David A. Felt, Deputy General Counsel, 

telephone (202) 414–3750, or Jamie 

Schwing, Associate General Counsel, 

telephone (202) 414–3787 (not toll free 

numbers), Office of Federal Housing 

Enterprise Oversight, Fourth Floor, 1700 

G Street, NW., Washington, DC 20552. 

The telephone number for the 

Telecommunications Device for the Deaf 

is (800) 877–8339. 

SUPPLEMENTARY INFORMATION: 

Background 

Title XIII of the Housing and 

Community Development Act of 1992, 

Pub. L. 102–550, titled the Federal 

Housing Enterprise Financial Safety and 

Soundness Act of 1992 (12 U.S.C. 4501 

et seq.), established OFHEO as an 

independent office within the 

Department of Housing and Urban 

Development to ensure that the Federal 

National Mortgage Association (Fannie 

Mae) and the Federal Home Loan 

Mortgage Corporation (Freddie Mac) 

(collectively, the Enterprises) are 

adequately capitalized, operate safely 

and soundly, and comply with 

applicable laws, rules and regulations. 

In furtherance of its regulatory 

responsibilities, OFHEO published a 

final regulation setting forth a risk-based 

capital test which forms the basis for 

determining the risk-based capital 

requirement for each Enterprise.1 The 

Risk-Based Capital Regulation has been 

amended to incorporate corrective and 

technical amendments that enhance the 

accuracy and transparency of the 

calculation of the risk-based capital 

requirement.2

Since the last amendment to the Risk 

Based Capital Regulation, additional 

experience with the regulation raised 

further operational and technical issues. 

On June 26, 2006, at 71 FR 36231, 

OFHEO published a proposed notice of 

rulemaking (NPRM) for comment to 

incorporate a number of technical 

amendments to the Risk-Based Capital 

Regulation. The NPRM proposed 

amending the Risk-Based Capital 

Regulation to incorporate additional 

interest rate indices, clarify definitions, 

integrate Enterprise new activities and 

update treatment of certain mark-tomarket accounting issues. As stated in 

the NPRM, the proposed amendments 

are capital neutral and largely codify 

existing practice pursuant to the current 

Risk-Based Capital Regulation. 

The 30-day comment period ended 

July 26, 2006. All comments received 

have been made available to the public 

in the OFHEO Public Reading Room and 

also posted on the OFHEO Web site at 

http://OFHEO.gov. 

Comments Received 

Comments were received from the 

Consumer Mortgage Coalition (CMC), a 

trade group of national residential 

mortgage lenders; FM Policy Focus, a 

coalition of financial services and 

housing-related trade associations; the 

Mortgage Insurance Companies of 

America (MICA); the Mortgage Bankers 

Association (MBA), a national 

association representing the real estate 

finance industry; Fannie Mae; and 

Freddie Mac. All comments were taken 

into consideration. Significant 

comments related to the proposed 

regulation are discussed below. 

Purpose and Scope 

All of the commenters expressed 

support for OFHEO’s decision to revise 

the Risk-Based Capital Regulation to 

address ongoing financial and mortgage 

market developments that impact the 

risk profiles of the Enterprises. 

Commenters also supported OFHEO’s 

decision to provide notice and 

opportunity to comment on the 

proposed changes, notwithstanding 

their technical nature and capital 

neutrality. 

As noted in the comments, the RiskBased Capital Regulation should be 

revised periodically to respond to 

developments in the mortgage markets, 

address technical issues, and respond to 

new Enterprise activities. The technical 

changes proposed by OFHEO are in 

furtherance of its regulatory duties and 

enhance both the accuracy and 

transparency of the Risk-Based Capital 

Regulation. For these reasons, and the 

discussions that follow, OFHEO has 

determined to issue the amendments as 

discussed below. 

Additional Interest Rate Indices 

Due to developments in the mortgage 

and financial markets since the 

promulgation of the Risk-Based Capital 

Regulation and the introduction of a 

number of approved new activities at 

each Enterprise, OFHEO proposed 

incorporating additions to the interest 

rate indices used to measure Enterprise 

risk. OFHEO proposed the incorporation 

of the new indices through revisions to 

Table ‘‘3–18, Interest Rate and Index 

Inputs,’’ and Table ‘‘3–27, Non-Treasury 

Interest Rates,’’ of Appendix A to 

Subpart B of the Risk-Based Capital 

Regulation. The new interest rate 

indices are the Constant Maturity 

Mortgage Index, 12 month Moving 

Treasury Average, One month Freddie 

Mac Reference Bill, Certificate of 

Deposits Index, 2 Year Swap, 3 Year 

Swap, 5 Year Swap, 10 Year Swap and 

30 Year Swap. All of the commenters 

addressing this issue supported the 

adoption of the proposed interest rate 

indices used to measure more accurately 

mstockstill on PROD1PC61 with RULES

75086 Federal Register / Vol. 71, No. 240 / Thursday, December 14, 2006 / Rules and Regulations 

Enterprise risk. OFHEO has determined 

to adopt the amendments as proposed. 

Revised Risk-Based Capital Regulation 

Definitions 

As stated in the NPRM, additional 

operational experience with the RiskBased Capital Regulation, as well as 

financial and mortgage market 

developments, motivated OFHEO to 

refine a number of defined terms in the 

regulation. Proposed amendments 

include changes to recognize that single 

family loans with interest-only periods 

have become common and that the 

Enterprises have guaranteed or acquired 

such loans. Sections 3.1.2.1, 3.6.3.3.1 

and 3.6.3.3.3 of the appendix to the 

Risk-Based Capital Regulation currently 

provide a treatment for interest-only 

periods. However, sections 3.1.2.1, 

3.6.3.3.1, and 3.6.3.3.2 currently assume 

that only multi-family loans have this 

feature. OFHEO’s proposed 

amendments would adopt the changes 

necessary to accommodate single-family 

interest-only loans. In addition to the 

single-family interest-only issue, 

OFHEO proposed amendments to the 

definition of ‘‘float-days’’ in sections 

3.1.2.1.1 and 3.6.3.7.2 to improve the 

accuracy of that definition. Finally, an 

additional number of definitions 

throughout the Risk-Based Capital 

Regulation were revised to ensure 

consistency and accuracy. All of the 

commenters that addressed this issue 

supported the adoption of the proposed 

amendments. OFHEO has determined to 

adopt the amendments as proposed. 

Incorporation of New Enterprise 

Activities 

Risk-Based Capital Regulation Section 

3.11.3, Treatment of New Activities, sets 

forth the procedures by which new 

Enterprise activities are reported to 

OFHEO and analyzed by OFHEO to 

determine an appropriately conservative 

treatment to be incorporated into the 

risk-based capital calculation. The 

section also describes how any newly 

incorporated treatment is made 

available for public comment and 

possible further revision. The 

subheadings below describe the 

responses to comments received on new 

Enterprise activities. 

a. Reverse Mortgages 

OFHEO proposed revisions to Section 

3.6.3.3.1 of the Risk-Based Capital 

Regulation to incorporate an appropriate 

treatment for reverse mortgages. Freddie 

Mac commented that the proposed 

treatment for reverse mortgages was 

operationally complex and that it did 

not accurately tie capital to risk. Freddie 

Mac also noted in its comments that it 

does not currently purchase or 

guarantee reverse mortgages. Freddie 

Mac suggested that it may propose an 

alternative treatment in the future if it 

ever purchases or guarantees reverse 

mortgages. Fannie Mae commented that 

the proposed treatment was 

‘‘insufficiently robust with regard to 

accuracy.’’ Fannie Mae did not provide 

an alternative treatment. OFHEO 

considered both comments and 

determined that, in the absence of 

suggested alternative treatments or 

additional information that would 

support development of an alternative 

treatment, it would adopt the provision 

as proposed. 

b. Futures and Options on Futures 

OFHEO proposed technical 

amendments to Section 3.8 of the RiskBased Capital Regulation to address 

treatments for futures and for options on 

futures. OFHEO’s treatment specifies a 

multi-step process for modeling futures 

and options on futures. Freddie Mac 

agreed with the treatment for futures but 

suggested a better approach to modeling 

futures options would be to utilize the 

strike price in the calculation of the 

cash settlement amount. The comments 

did not provide an alternative treatment 

or additional supporting data. OFHEO 

considered Freddie Mac’s comments; 

however, in the absence of additional 

data, and given OFHEO’s favorable 

experience with the proposed method, 

OFHEO has determined to adopt the 

amendment as proposed. 

c. Split-Rate Adjustable Rate Mortgages 

OFHEO proposed a new activities 

treatment for split rate adjustable rate 

mortgages in Section 3.6 of the RiskBased Capital Regulation. The proposed 

treatment ignores the split-rate feature 

and treats split-rate ARMs as traditional 

ARMs. Fannie Mae commented that the 

treatment was ‘‘insufficiently robust.’’

Fannie Mae did not propose an 

alternative treatment. OFHEO 

considered the comment, and, in the 

absence of an alternative treatment that 

improves upon the accuracy or 

transparency of the OFHEO proposal, 

determined to adopt the amendment as 

proposed. 

d. CPI-Linked Floating Rate Instruments 

OFHEO proposed incorporating a 

treatment for CPI-linked floating rate 

instruments in Section 3.8 of the RiskBased Capital Regulation. Unlike 

interest rates, the stress test does not 

project the CPI. Enterprise issuance of 

CPI-linked instruments is tied to swap 

market transactions intended to create 

desired synthetic debt structure and 

terms. In such cases, the true economic 

position nets to the payment terms of 

the related derivative contract. OFHEO 

proposed a treatment where the net 

synthetic position is evaluated, whereby 

the Enterprises would substitute the 

CPI-linked instrument’s coupon 

payment terms with those of the related 

swap contract. Fannie Mae commented 

that the treatment was incomplete and 

should not be incorporated into the 

regulation. Fannie Mae did not propose 

an alternative treatment. OFHEO’s 

proposed treatment provides a 

transparent and accurate method to 

assess the impact of these instruments 

on the risk profiles of the Enterprises. 

OFHEO has determined to adopt the 

amendment as proposed. 

Update of Mark-to-Market Accounting 

Treatment 

Since the adoption of the Risk-Based 

Capital Regulation, the Financial 

Accounting Standards Board has 

adopted a number of new accounting 

standards that introduce fair values to 

the balance sheet and that are similar in 

complexity to FAS 115 and FAS 133. 

OFHEO proposed a technical 

amendment to Section 3.10.3.6.2 [a][1] 

of the Risk-Based Capital Regulation 

that would extend the current risk-based 

capital regulatory treatment of FAS 115 

and FAS 133 to other accounting 

standards that require mark-to-market 

accounting. Freddie Mac offered several 

comments regarding the proposed 

amendments that clarify the scope of the 

proposed treatment for fair values. 

Freddie Mac’s proposed language 

clarifies that applicable fair value 

standards will apply only to amounts 

that are measured at fair value, not to 

other amounts mentioned in such 

standards, and that amounts not 

measured at fair value are represented 

by and presented according to GAAP. 

OFHEO agrees that the language 

proposed by Freddie Mac will enhance 

the transparency and accuracy of the 

treatment and has amended the 

provision accordingly. 

Fannie Mae’s comment regarding 

Section 3.10.3.6.2.[a] 1. b. 1) requested 

permission to estimate amortized cost 

basis when implementing applicable 

fair value standards in order to obviate 

the maintenance of amortized cost basis 

information if GAAP no longer requires 

it. Fannie Mae did not provide an 

analysis of the impact, savings, 

applicability or scope of its suggested 

change. When and if GAAP changes as 

described by Fannie Mae arise, an 

alternative treatment could be adopted 

via an appropriate regulatory method. 

Thus, OFHEO has determined not to 

incorporate Fannie Mae’s comment. 

mstockstill on PROD1PC61 with RULES

Federal Register / Vol. 71, No. 240 / Thursday, December 14, 2006 / Rules and Regulations 75087 

Other Comments 

Commenters also addressed matters 

beyond the scope of the NPRM. 

CMC suggested that OFHEO 

implement a new regulation mandating 

a scenario analysis of Enterprise capital 

to supplement the current analysis 

performed under the Risk-Based Capital 

Regulation. CMC suggested that OFHEO 

develop the alternative scenarios after a 

notice and comment procedure and a 

public hearing. This comment was 

beyond the scope of the NPRM and has 

not been considered in the current 

rulemaking. 

FM Policy Watch raised concerns 

regarding the transparency and 

effectiveness of the new activities 

provisions of the Risk-Based Capital 

Regulation. FM Policy Watch 

recommended that OFHEO amend the 

new activities process to allow notice 

and comment on Enterprise new 

activities prior to their posting on the 

OFHEO Web site and incorporation into 

the risk-based capital calculation. 

Although this comment is beyond the 

scope of the current rulemaking, 

OFHEO notes that in addition to posting 

new activities treatments on the OFHEO 

Web site, new activities treatments are 

disclosed as part of the public 

information provided with the quarterly 

capital classification. To date, OFHEO 

has not received any comment on a new 

activities treatment posted on its Web 

site. 

MICA commented that OFHEO 

should revise the treatment of loan-tovalue ratios (LTVs) in the Risk Based 

Capital Regulation from the current 

approach to one that recognizes the 

combined LTV of all loans outstanding 

on a property. MICA also urged OFHEO 

to adopt a formal process to review the 

safety and soundness implications of 

Enterprise products, programs and 

activities. This comment was beyond 

the scope of the NPRM and has not been 

considered in the current rulemaking. 

Regulatory Impacts 

Executive Order 12866, Regulatory 

Planning and Review 

The technical amendments address 

provisions of the Risk-Based Capital 

Regulation. The technical amendments 

incorporate new activities treatments of 

the Enterprises adopted in accordance 

with the Risk-Based Capital Regulation, 

corrections to certain definitions, 

updates to interest-rate indices and to 

incorporate recognition of accounting 

rule changes adopted since the RiskBased Capital Regulation was 

promulgated. The technical 

amendments to the Risk-Based Capital 

Regulation are not classified as an 

economically significant rule under 

Executive Order 12866 because they do 

not result in an annual effect on the 

economy of $100 million or more or a 

major increase in costs or prices for 

consumers, individual industries, 

Federal, state or local government 

agencies, or geographic regions; or have 

significant adverse effects on 

competition, employment, investment, 

productivity, innovation, or on the 

ability of United States-based 

enterprises to compete with foreignbased enterprises in foreign or domestic 

markets. Accordingly, no regulatory 

impact assessment is required. 

Nevertheless, the technical amendments 

were submitted to the Office of 

Management and Budget (OMB) for 

review under the provisions of 

Executive Order 12866 as a significant 

regulatory action. 

Executive Order 13132, Federalism 

Executive Order 13132 requires that 

Executive departments and agencies 

identify regulatory actions that have 

significant federalism implications. A 

regulation has federalism implications if 

it has substantial direct effects on the 

states, on the relationship or 

distribution of power between the 

Federal Government and the states, or 

on the distribution of power and 

responsibilities among various levels of 

government. The Enterprises are 

federally chartered entities supervised 

by OFHEO. The technical amendments 

to the Risk-Based Capital Regulation 

address matters which the Enterprises 

must comply with for Federal regulatory 

purposes. The technical amendments to 

the Risk-Based Capital Regulation 

address matters regarding the risk-based 

capital calculation for the Enterprises 

and therefore do not affect in any 

manner the powers and authorities of 

any state with respect to the Enterprises 

or alter the distribution of power and 

responsibilities between Federal and 

state levels of government. Therefore, 

OFHEO has determined that the 

amendments to the Risk-Based Capital 

Regulation have no federalism 

implications that warrant preparation of 

a Federalism Assessment in accordance 

with Executive Order 13132. 

Paperwork Reduction Act 

The amendments do not contain any 

information collection requirements that 

require the approval of OMB under the 

Paperwork Reduction Act (44 U.S.C. 

3501 et seq.). 

Regulatory Flexibility Act 

The Regulatory Flexibility Act (5 

U.S.C. 601 et seq.) requires that a 

regulation that has a significant 

economic impact on a substantial 

number of small entities, small 

businesses, or small organizations must 

include an initial regulatory flexibility 

analysis describing the regulation’s 

impact on small entities. Such an 

analysis need not be undertaken if the 

agency has certified that the regulation 

does not have a significant economic 

impact on a substantial number of small 

entities 5 U.S.C. 605(b). OFHEO has 

considered the impact of the technical 

amendments to the Risk-Based Capital 

Regulation under the Regulatory 

Flexibility Act. The General Counsel of 

OFHEO certifies that the technical 

amendments to the Risk-Based Capital 

Regulation are not likely to have a 

significant economic impact on a 

substantial number of small business 

entities because the regulation is 

applicable only to the Enterprises, 

which are not small entities for 

purposes of the Regulatory Flexibility 

Act. 

List of Subjects in 12 CFR Part 1750 

Capital classification, Mortgages, 

Risk-based capital. 

■ Accordingly, for the reasons stated in 

the preamble, OFHEO amends 12 CFR 

part 1750 as follows: 

PART 1750—CAPITAL 

■ 1. The authority citation for part 1750 

continues to read as follows: 

Authority: 12 U.S.C. 4513, 4514, 4611, 

4612, 4614, 4615, 4618. 

■ 2. Amend Appendix A to subpart B of 

part 1750 as follows: 

■ a. Revise Table 3–2 in paragraph 

3.1.2.1 [c]; 

■ b. Revise Table 3–4 in paragraph 

3.1.2.1 [c]; 

■ c. Revise Table 3–5 in paragraph 

3.1.2.1.1; 

■ d. Revise Table 3–8 in paragraph 

3.1.2.1.1; 

■ e. Revise Table 3–9 in paragraph 

3.1.2.1.1; 

■ f. Revise Table 3–12 in paragraph 

3.1.2.2 [a]; 

■ g. Revise Table 3–13 in paragraph 

3.1.2.2 [b]; 

■ h. Revise Table 3–14 in paragraph 

3.1.2.2 [c]; 

■ i. Revise Table 3–15 in paragraph 

3.1.2.3; 

■ j. Revise Table 3–16 in paragraph 

3.1.2.4; 

■ k. Revise Table 3–18 in paragraph 

3.1.3.1 [c]; 

■ l. Revise Table 3–27 in paragraph 

3.3.3 [a] 3. b.; 

■ m. Redesignate paragraphs 3.6.3.3.1 

[d] and [e] as new paragraphs 3.6.3.3.1. 

[c] 5. and [c] 6., respectively; 

mstockstill on PROD1PC61 with RULES

75088 Federal Register / Vol. 71, No. 240 / Thursday, December 14, 2006 / Rules and Regulations 

■ n. Add new paragraphs 3.6.3.3.1 [c] 7. 

and [c] 8.; 

■ o. Revise Table 3–32 in paragraph 

3.6.3.3.2; 

■ p. Revise Table 3–51 in paragraph 

3.6.3.7.2; 

■ q. Revise Table 3–54 in paragraph 

3.6.3.8.2; 

■ r. Revise Table 3–56 in paragraph 

3.7.2.1.1; 

■ s. Revise Table 3–57 in paragraph 

3.7.2.1.2 [a]; 

■ t. Revise Table 3–58 in paragraph 

3.7.2.1.3 [a]; 

■ u. Revise Table 3–66 in paragraph 

3.8.2 [a]; 

■ v. Redesignate paragraph 3.8.3.6.2 [d] 

as new paragraph 3.8.3.6.2 [h]; 

■ w. Add new paragraphs 3.8.3.6.2 [d] 

thru [g]; 

■ x. Revise Table 3–70 in paragraph 

3.9.2; 

■ y. Revise paragraphs 3.10.3.6.2 [a] 1. 

a. and b. 

■ z. Remove paragraphs 3.10.3.6.2 [a] 1. 

c. and d. 

The revisions and additions read as 

follows: 

Appendix A to Subpart B of Part 1750— 

Risk-Based Capital Test Methodology 

and Specifications 

* * * * * 

3.1.2.1 * * * 

[c] * * * 

TABLE 3–2—WHOLE LOAN CLASSIFICATION VARIABLES

Variable Description Range 

Reporting Date The last day of the quarter for the loan group activity 

that is being reported to OFHEO 

YYYY0331 

YYYY0630 

YYYY0930 

YYYY1231 

Enterprise Enterprise submitting the loan group data Fannie Mae 

Freddie Mac 

Business Type Single family or multifamily Single family 

Multifamily 

Portfolio Type Retained portfolio or Sold portfolio Retained Portfolio 

Sold Portfolio 

Government Flag Conventional or Government insured loan Conventional 

Government 

Original LTV Assigned LTV classes based on the ratio, in percent, 

between the original loan amount and the lesser of 

the purchase price or appraised value 

LTV<=60 

60<LTV<=70 

70<LTV<=75 

75<LTV<=80 

80<LTV<=90 

90<LTV<=95 

95<LTV<=100 

100<LTV 

Interest-only Flag Indicates if the loan is currently paying interest-only. 

Loans that started as I/Os and are currently amortizing should be flagged as ‘N’ 

Yes 

No 

Current Mortgage Interest Rate Assigned classes for the current mortgage interest 

rate 

0.0<=Rate<4.0 

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 

Original Mortgage Interest Rate Assigned classes for the original mortgage interest 

rate 

0.0<=Rate<4.0 

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 loan 0<=Age<=12 

12<Age<=24 

24<Age<=36 

36<Age<=48 

48<Age<=60 

60<Age<=72 

mstockstill on PROD1PC61 with RULES

Federal Register / Vol. 71, No. 240 / Thursday, December 14, 2006 / Rules and Regulations 75089 

TABLE 3–2—WHOLE LOAN CLASSIFICATION VARIABLES—Continued 

Variable Description Range 

72<Age<=84 

84<Age<=96 

96<Age<=108 

108<Age<=120 

120<Age<=132 

132<Age<=144 

144<Age<=156 

156<Age<=168 

168<Age<=180 

Age>180 

Rate Reset Period Assigned classes for the number of months between 

rate adjustments 

Period=1 

1<Period<=4 

4<Period<=9 

9<Period<=15 

15<Period<=60 

60<Period<999 

Period=999 (not applicable) 

Payment Reset Period Assigned classes for the number of months between 

payment adjustments after the duration of the teaser rate 

Period<=9 

9<Period<=15 

15<Period<999 

Period=999 (not applicable) 

ARM Index Specifies the type of index used to determine the interest rate at each adjustment FHLB 11th District Cost of Funds. 

1 Month Federal Agency Cost of Funds. 

3 Month Federal Agency Cost of Funds. 

6 Month Federal Agency Cost of Funds. 

12 Month Federal Agency Cost of Funds. 

24 Month Federal Agency Cost of Funds. 

36 Month Federal Agency Cost of Funds. 

60 Month Federal Agency Cost of Funds. 

120 Month Federal Agency Cost of Funds. 

360 Month Federal Agency Cost of Funds. 

Overnight Federal Funds (Effective). 

1 Week Federal Funds 

6 Month Federal Funds 

1 month LIBOR 

3 Month LIBOR 

6 Month LIBOR 

12 Month LIBOR 

Conventional Mortgage Rate 

15 Year Fixed Mortgage Rate 

7 Year Balloon Mortgage Rate 

Prime Rate 

1 Month Treasury Bill 

3 Month CMT 

6 Month CMT 

12 Month CMT 

24 Month CMT 

36 Month CMT 

60 Month CMT 

120 Month CMT 

240 Month CMT 

360 Month CMT 

Cap Type Flag Indicates if a loan group is rate-capped, paymentcapped or uncapped Payment Capped 

Rate Capped 

No periodic rate cap 

OFHEO Ledger Code OFHEO-specific General Ledger account number 

used in the Stress Test 

Appropriate OFHEO Ledger Code based on the chart 

of accounts. 

* * * * * 

TABLE 3–4—ADDITIONAL MULTIFAMILY LOAN CLASSIFICATION VARIABLES

Variable Description Range 

Multifamily Product Code Identifies the mortgage product types for multifamily 

loans 

Fixed Rate Fully Amortizing 

Adjustable Rate Fully Amortizing 

5 Year Fixed Rate Balloon 

7 Year Fixed Rate Balloon 

10 Year Fixed Rate Balloon 

15 Year Fixed Rate Balloon 

Balloon ARM 

Other 

mstockstill on PROD1PC61 with RULES

75090 Federal Register / Vol. 71, No. 240 / Thursday, December 14, 2006 / Rules and Regulations 

TABLE 3–4—ADDITIONAL MULTIFAMILY LOAN CLASSIFICATION VARIABLES—Continued 

Variable Description Range 

New Book Flag ‘‘New Book’’ is applied to Fannie Mae loans acquired 

beginning in 1988 and Freddie Mac loans acquired 

beginning in 1993, except for loans that were refinanced to avoid a default on a loan originated or 

acquired earlier 

New Book 

Old Book 

Ratio Update Flag Indicates if the LTV and DCR were updated at origination or at Enterprise acquisition Yes 

No 

Current DCR Assigned classes for the Debt Service Coverage 

Ratio based on the most recent annual operating 

statement 

DCR<1.00 

1.00<=DCR<1.10 

1.10<=DCR<1.20 

1.20<=DCR<1.30 

1.30<=DCR<1.40 

1.40<=DCR<1.50 

1.50<=DCR<1.60 

1.60<=DCR<1.70 

1.70<=DCR<1.80 

1.80<=DCR<1.90 

1.90<=DCR<2.00 

2.00<=DCR<2.50 

2.50<=DCR<4.00 

DCR>=4.00 

Prepayment Penalty Flag Indicates if prepayment of the loan is subject to active prepayment penalties or yield maintenance 

provisions 

Yes 

No 

* * * * * 

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 

mstockstill on PROD1PC61 with RULES

Federal Register / Vol. 71, No. 240 / Thursday, December 14, 2006 / Rules and Regulations 75091 

TABLE 3—5—MORTGAGE AMORTIZATION CALCULATION INPUTS—Continued 

Variable Description 

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

Unlimited Payment Reset Period, in months 

PRP Payment Reset Period, in months 

Payment Reset Limit, as decimal fraction of prior payment 

* * * * * 

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 

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 

Factor determined by reconciling 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 Stress Test), adjusted by UPB scale factor and multiplied by the Enterprise’s percentage 

ownership 

Product Code Mortgage product type for the pool 

mstockstill on PROD1PC61 with RULES

75092 Federal Register / Vol. 71, No. 240 / Thursday, December 14, 2006 / Rules and Regulations 

TABLE 3–12—INPUTS FOR SINGLE CLASS MBS CASH FLOWS—Continued 

Variable Description 

Security Rate Index If the rate on the security adjusts over time, the index that the adjustment is based on 

Unamortized Balance The sum of all unamortized discounts, premiums, fees, commissions, etc., such that the unamortized balance equals book value 

minus face value, adjusted by Unamortized Balance Scale Factor 

Wt Avg Original Amortization 

Term 

Original amortization term of the underlying loans, in months (weighted average for underlying loans) 

Wt Avg Remaining Term of 

Maturity 

Remaining maturity of the underlying loans at the start of the Stress Test (weighted average for underlying loans) 

Wt Avg Age Age of the underlying loans at the start of the Stress Test (weighted average for underlying loans) 

Wt Avg Current Mortgage 

Interest Rate 

Mortgage Interest Rate of the underlying loans at the start of the Stress Test (weighted average for underlying loans) 

Wt Avg Pass-Through Rate Pass-Through Rate of the underlying loans at the start of the Stress Test (Sold loans only) (weighted average for underlying loans) 

Wtg Avg Original Mortgage 

Interest Rate 

The current UPB weighted average mortgage interest rate in effect at origination for the loans in the pool 

Security Rating The most current rating issued by any Nationally Recognized Statistical Rating Organization (NRSRO) for this security, as of the 

reporting date 

Wt Avg Gross Margin Gross margin for the underlying loans (ARM MBS only) (weighted average for underlying loans) 

Wt Avg Net Margin Net margin (used to determine the security rate for ARM MBS) (weighted average for underlying loans) 

Wt Avg Rate Reset Period Rate reset period in months (ARM MBS only) (weighted average for underlying loans) 

Wt Avg Rate Reset Limit Rate reset limit up/down (ARM MBS only) (weighted average for underlying loans) 

Wt Avg Life Interest Rate 

Ceiling 

Maximum rate (lifetime cap) (ARM MBS only) (weighted average for underlying loans) 

Wt Avg Life Interest Rate Floor Minimum rate (lifetime floor) (ARM MBS only) (weighted average for underlying loans) 

Wt Avg Payment Reset Period Payment reset period in months (ARM MBS only) (weighted average for underlying loans) 

Wt Avg Payment Reset Limit Payment reset limit up/down (ARM MBS only) (weighted average for underlying loans) 

Wt Avg Lockback Period The number of months to look back from the interest rate change date to find the index value that will be used to determine the 

next interest rate (weighted average for underlying loans) 

Wt Avg Negative Amortization 

Cap 

The maximum amount to which the balance can increase before the payment is recast to a fully amortizing amount. It is expressed

as a fraction of the original UPB (weighted average for underlying loans) 

Wt Avg Original Mortgage 

Interest Rate 

The current UPB weighted average original mortgage interest rate for the loans in the pool 

Wt Avg Initial Interest Rate 

Period 

Number of months between the loan origination date and the first rate adjustment date (weighted average for underlying loans) 

Wt Avg Unlimited Payment 

Reset Period 

Number of months between unlimited payment resets i.e., not limited by payment caps, starting with origination date (weighted average for underlying loans) 

Notional Flag Indicates if the amounts reported in Original Security Balance and Current Security Balance are notional 

UPB Scale Factor Factor determined by reconciling reported UPB to published financials 

Unamortized Balance Scale 

Factor 

Factor determined by reconciling reported Unamortized Balance to published financials 

Whole Loan Modeling Flag Indicates that the Current UPB Amount and Unamortized Balance associated with this repurchased MBS are included in the Wtg 

Avg Percent Repurchased and Security Unamortized Balance fields 

FAS 115 Classification The financial instrument’s classification according to FAS 115 

HPGRK Vector of House Price Growth Rates for quarters q=1. . .40 of the Stress Period 

[b] * * * 

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 

mstockstill on PROD1PC61 with RULES

Federal Register / Vol. 71, No. 240 / Thursday, December 14, 2006 / Rules and Regulations 75093 

TABLE 3–13—INFORMATION FOR MULTI-CLASS AND DERIVATIVE MBS CASH FLOWS INPUTS—Continued 

Variable Description 

Original Security Balance Original principal balance of the security (notional amount for interest-only securities) at the time of issuance, adjusted by UPB 

scale factor, multiplied by the Enterprise’s percentage ownership 

Current Security Balance Initial principal balance, or notional amount, at the start of the Stress Period, adjusted by UPB scale factor, multiplied by the Enterprise’s percentage ownership 

Current Security Percentage 

Owned 

The percentage of a security’s total current balance owned by the Enterprise 

Notional Flag Indicates if the amounts reported in Original Security Balance and Current Security Balance are notional 

Unamortized Balance The sum of all unamortized discounts, premiums, fees, commissions, etc., such that the unamortized balance equals book value 

minus face value, adjusted by the Unamortized Balance Scale Factor 

Unamortized Balance Scale 

Factor 

Factor determined by reconciling reported Unamortized Balance to published financials 

UPB Scale Factor Factor determined by reconciling the reported current security balance to published financials 

Security Rating The most current rating issued by any Nationally Recognized Statistical Rating Organization (NRSRO) for this security, as of the 

reporting date 

[c] * * * 

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 Date, Down-Rate 

Scenario 

The month in the Stress Test that principal payment is expected to start for the security under the statutory ‘‘down’’ interest rate 

scenario, according to Enterprise projections 

Principal Payment Window Ending Date, Down-Rate Scenario 

The month in the Stress Test that principal payment is expected to end for the security under the statutory ‘‘down’’ interest rate 

scenario, according to Enterprise projections 

Principal Payment Window 

Starting Date, Up-Rate Scenario 

The month in the Stress Test that principal payment is expected to start for the security under the statutory ‘‘up’’ interest rate scenario, according to Enterprise projections 

Principal Payment Window Ending Date, Up-Rate Scenario The month in the Stress Test that principal payment is expected to end for the security under the statutory ‘‘up’’ interest rate scenario, according to Enterprise projections 

Notional Flag Indicates if the amounts reported in Original Security Balance and Current Security Balance are notional 

Security Rating The most current rating issued by any Nationally Recognized Statistical Rating Organization (NRSRO) for this security, as of the 

reporting date 

Security Rate Index If the rate on the security adjusts over time, the index on which the adjustment is based 

Security Rate Index Coefficient If the rate on the security adjusts over time, the coefficient is the number used to multiply by the value of the index 

Security Rate Index Spread If the rate on the security adjusts over time, the spread is added to the value of the index multiplied by the coefficient to determine 

the new rate 

Security Rate Adjustment Frequency The number of months between rate adjustments 

mstockstill on PROD1PC61 with RULES

75094 Federal Register / Vol. 71, No. 240 / Thursday, December 14, 2006 / Rules and Regulations 

TABLE 3–14—INPUTS FOR MRBS AND DERIVATIVE MBS CASH FLOWS INPUTS—Continued 

Variable Description 

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 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 adjusted by UPB scale factor 

Current Coupon Current coupon or dividend rate of the instrument 

Current Unamortized Discount Current unamortized premium or unaccreted discount of the instrument adjusted by Unamortized Balance Scale Factor. If the proceeds from the issuance of debt or derivatives or the amount paid for an asset were greater than par, the value should be positive. If the proceeds or the amounts paid were less than par, the value should be negative 

Current Unamortized Fees Current unamortized fees associated with the instrument adjusted by Unamortized Balance Scale Factor. Generally fees associated with the issuance of debt or derivatives should be negative numbers. Fees associated with the purchase of an asset should 

generally be reported as positive numbers 

Current Unamortized Hedge Current unamortized hedging gains (positive) or losses (negative) associated with the instrument adjusted by the Unamortized Balance Scale Factor 

Current Unamortized Other Any other unamortized items originally associated with the instrument adjusted by Unamortized Balance Scale Factor. If the proceeds from the issuance of debt or derivatives or the amount paid for an asset were greater than par, the value should be positive. If the proceeds or the amounts paid were less than par, the value should be negative 

CUSIP_ISIN CUSIP or ISIN Number identifying the instrument 

Day Count Day count convention (e.g. 30/360) 

End Date The last index repricing date 

EOP Principal Balance End of Period face, principal or notional, amount of the instrument adjusted by UPB scale factor 

Exact Representation Indicates that an instrument is modeled according to its contractual terms 

Exercise Convention Indicates option exercise convention (e.g., American Option) 

Exercise Price Par = 1.0; Options 

First Coupon Date Date first coupon is received or paid 

Index Cap Indicates maximum index rate 

Index Floor Indicates minimum index rate 

Index Reset Frequency Indicates how often the interest rate index resets on floating-rate instruments 

Index Code Indicates the interest rate index to which floating-rate instruments are tied (e.g., LIBOR) 

mstockstill on PROD1PC61 with RULES

Federal Register / Vol. 71, No. 240 / Thursday, December 14, 2006 / Rules and Regulations 75095 

TABLE 3–15—INPUT VARIABLES FOR NONMORTGAGE INSTRUMENT CASH FLOWS—Continued 

Data elements Description 

Index Term Point on yield curve, expressed in months, upon which the index is based 

Instrument Credit Rating NRSRO credit rating for the instrument 

Instrument Credit Rating Type An indicator identifying the instruments credit rating as short-term (‘S’) or long-term (‘L’) 

Instrument ID An integer used internally by the Enterprise that uniquely identifies the instrument 

Interest Currency Code Indicates currency in which interest payments are paid or received 

Interest Type Code Indicates the method of interest rate payments (e.g., fixed, floating, step, discount) 

Issue Date Indicates the date that the instrument was issued 

Life Cap Rate The maximum interest rate for the instrument throughout its life 

Life Floor Rate The minimum interest rate for the instrument throughout its life 

Look-Back Period Period from the index reset date, expressed in months, that the index value is derived 

Maturity Date Date that the instrument contractually matures 

Notional Indicator Identifies whether the face amount is notional 

Instrument Type Code Indicates the type of instrument to be modeled (e.g., ABS, Cap, Swap) 

Option Indicator Indicates if instrument contains an option 

Option Type Indicates option type (e.g., Call option) 

Original Asset Face Amount Original face amount of the asset underlying a swap adjusted by UPB scale factor 

Original Discount Original premium or discount associated with the purchase or sale of the instrument adjusted by Unamortized Balance Scale Factor. If the proceeds from the issuance of debt or derivatives or the amount paid for an asset were greater than par, the value 

should be positive. If the proceeds or the amounts paid were less than par, the value should be negative 

Original Face Original face, principal or notional, amount of the instrument adjusted by UPB scale factor 

Original Fees Fees or commissions paid at the time of purchase or sale adjusted by the Unamortized Balance Scale Factor. Generally fees associated with the issuance of debt or derivatives should be negative numbers. Fees associated with the purchase of an asset 

should generally be reported as positive numbers 

Original Hedge Gains (positive) or losses (negative) from closing out a hedge associated with the instrument at settlement, adjusted by the 

Unamortized Balance Scale Factor 

Original Other Any other items originally associated with the instrument to be amortized or accreted adjusted by the Unamortized Balance Scale 

Factor. If the proceeds from the issuance of debt or derivatives or the amount paid for an asset were greater than par, the value 

should be positive. If the proceeds of the amounts paid were less than par, the value should be negative 

Parent Entity ID Enterprise internal tracking ID for parent entity 

Payment Amount Interest payment amount associated with the instrument (reserved for complex instruments where interest payments are not modeled) adjusted by UPB scale factor 

Payment Frequency Indicates how often interest payments are made or received 

Performance Date ‘‘As of’’ date on which the data is submitted 

Periodic Adjustment The maximum amount that the interest rate for the instrument can change per reset 

Position Code Indicates whether the Enterprise pays or receives interest on the instrument 

Principal Currency Code Indicates currency in which principal payments are paid or received 

Principal Factor Amount EOP Principal Balance expressed as a percentage of Original Face 

Principal Payment Date A valid date identifying the date that principal is paid 

Settlement Date A valid date identifying the date the settlement occurred 

Spread An amount added to an index to determine an instrument’s interest rate 

Start Date The date, spot or forward, when some feature of a financial contract becomes effective (e.g., Call Date), or when interest payments 

or receipts begin to be calculated 

Strike Rate The price or rate at which an option begins to have a settlement value at expiration, or, for interest-rate caps and floors, the rate 

that triggers interest payments 

Submitting Entity Indicates which Enterprise is submitting information 

Trade ID Unique code identifying the trade of an instrument 

Transaction Code Indicates the transaction that an Enterprise is initiating with the instrument (e.g. buy, issue reopen) 

mstockstill on PROD1PC61 with RULES

75096 Federal Register / Vol. 71, No. 240 / Thursday, December 14, 2006 / Rules and Regulations 

TABLE 3–15—INPUT VARIABLES FOR NONMORTGAGE INSTRUMENT CASH FLOWS—Continued 

Data elements Description 

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 

FAS115 Designation that the item is recorded at fair value, according to FAS 115 

RATING Instrument or counterparty rating 

FHA In the case of off-balance sheet guarantees, a designation indicating 100% of collateral is guaranteed by FHA 

MARGIN Margin over an Index 

* * * * * 

3.1.3.1 * * * 

[c] * * * 

TABLE 3–18—INTEREST RATE AND INDEX INPUTS

Interest rate Index Description Source 

1 MO Treasury Bill One-month Treasury bill yield, monthly simple average of daily 

rate, quoted as actual/360 

Bloomberg Generic 1 Month. 

U.S. Treasury bill. 

Ticker: GB1M (index). 

3 MO CMT Three-month constant maturity Treasury yield, monthly simple 

average of daily rate, quoted as bond equivalent yield 

Federal Reserve H.15 Release. 

6 MO CMT Six-month constant maturity Treasury yield, monthly simple average of daily rate, quoted as bond equivalent yield Federal Reserve H.15 Release. 

1 YR CMT One-year constant maturity Treasury yield, monthly simple average of daily rate, quoted as bond equivalent yield Federal Reserve H.15 Release. 

2 YR CMT Two-year constant maturity Treasury yield, monthly simple average of daily rate, quoted as bond equivalent yield Federal Reserve H.15 Release. 

3 YR CMT Three-year constant maturity Treasury yield, monthly simple average of daily rate, quoted as bond equivalent yield Federal Reserve H.15 Release. 

5 YR CMT Five-year constant maturity Treasury yield, monthly simple average of daily rate, quoted as bond equivalent yield Federal Reserve H.15 Release. 

10 YR CMT Ten-year constant maturity Treasury yield, monthly simple average of daily rate, quoted as bond equivalent yield Federal Reserve H.15 Release. 

20 YR CMT Twenty-year constant maturity Treasury yield, monthly simple 

average of daily rate, quoted as bond equivalent yield 

Federal Reserve H.15 Release. 

30 YR CMT Thirty-year constant maturity Treasury yield, monthly simple average of daily rate, quoted as bond equivalent yield; after 

February 15, 2002, estimated according to the Department of 

Treasury methodology using long-term average rates and extrapolation factors as referenced in OFHEO guideline 402 

Federal Reserve H.15 Release, Extrapolation Factors used for 

estimation, U.S. Dept. of Treasury. 

mstockstill on PROD1PC61 with RULES

Federal Register / Vol. 71, No. 240 / Thursday, December 14, 2006 / Rules and Regulations 75097 

TABLE 3–18—INTEREST RATE AND INDEX INPUTS—Continued 

Interest rate Index Description Source 

12-mo Moving Treasury 

Average (MTA) 

12-month Federal Reserve cumulative average 1 year CMT, 

monthly simple average of daily rate 

Bloomberg Ticker: 12MTA (Index). 

Overnight Fed Funds (Effective) Overnight effective Federal Funds rate, monthly simple average 

of daily rate 

Federal Reserve H.15 Release. 

Certificate of Deposits Index 

(CODI) 

12-month average of monthly published yields on 3-month certificates of deposit, based on the Federal Reserve Board statistical release, H–15 

Bloomberg Ticker: COF CODI (index). 

1 Week Federal Funds 1 week Federal Funds rate, monthly simple average of daily 

rates 

Bloomberg Term Fed Funds U.S. Domestic 

Ticker: GFED01W (index). 

6 Month Fed Funds 6 month Federal Funds rate, monthly simple average of daily 

rates 

Bloomberg Term Fed Funds U.S. Domestic 

Ticker: GFED06M (index). 

Conventional Mortgage Rate FHLMC (Freddie Mac) contract interest rates for 30 YR fixedrate mortgage commitments, monthly average of weekly rates Federal Reserve H.15 Release. 

Constant Maturity Mortgage 

(CMM) Index 

Bond equivalent yield on TBA mortgage-backed security which 

prices at the par price 

TradeWeb. 

1-mo Freddie Mac Reference 

Bill 

1-month Freddie Mac Reference Bill, actual price and yield by 

auction date 

Freddiemac.com website: http://www.freddiemac.com/debt/data/ 

cgi-bin/refbillaucres.cgi?order=AD. 

FHLB 11th District COF 11th District (San Francisco) weighted average cost of funds for 

savings and loans, monthly 

Bloomberg Cost of Funds for the 11th District 

Ticker: COF11 (index). 

1 MO LIBOR One-month London Interbank Offered Rate, average of bid and 

asked, monthly simple average of daily rates, quoted as actual/360 

British Bankers Association 

Bloomberg Ticker: US0001M (index). 

3 MO LIBOR Three-month London Interbank Offered Rate, average of bid 

and asked, monthly simple average of daily rates, quoted as 

actual/360 

British Bankers Association 

Bloomberg Ticker: US0003M (index). 

6 MO LIBOR Six-month London Interbank Offered Rate, average of bid and 

asked, monthly simple average of daily rates, quoted as actual/360 

British Bankers Association 

Bloomberg Ticker: US0006M (index). 

12 MO LIBOR One-year London Interbank Offered Rate, average of bid and 

asked, monthly simple average of daily rates, quoted as actual/360 

British Bankers Association 

Bloomberg Ticker: US0012M (index). 

Prime Rate Prevailing rate as quoted, monthly average of daily rates Federal Reserve H.15 Release. 

1 MO Federal Agency COF One-month Federal Agency Cost of Funds, monthly simple average of daily rates, quoted as actual/360 Bloomberg Generic 1 Month Agency Discount Note Yield 

Ticker: AGDN030Y (index). 

3 MO Federal Agency COF Three-month Federal Agency Cost of Funds, monthly simple average of daily rates, quoted as actual/360 Bloomberg Generic 3 Month Agency Discount Note Yield 

Ticker: AGDN090Y (index). 

6 MO Federal Agency COF Six-month Federal Agency Cost of Funds, monthly simple average of daily rates, quoted as actual/360 Bloomberg Generic 6 Month Agency Discount Note Yield 

Ticker: AGDN180Y (index). 

1 YR Federal Agency COF One-year Federal Agency Cost of Funds, monthly simple average of daily rates, quoted as actual/360 Bloomberg Generic 12 Month Agency Discount Note Yield. 

Ticker: AGDN360Y (index). 

2 YR Federal Agency COF Two-year Federal Agency Fair Market Yield, monthly simple average of daily rates Bloomberg Generic 2 Year Agency Fair Market Yield. 

Ticker: CO842Y (index). 

3 YR Federal Agency COF Three-year Federal Agency Fair Market Yield, monthly simple 

average of daily rates 

Bloomberg Generic 3 Year Agency Fair Market Yield. 

Ticker: CO843Y (index). 

5 YR Federal Agency COF Five-year Federal Agency Fair Market Yield, monthly simple average of daily rates Bloomberg Generic 5 Year Agency Fair Market Yield. 

Ticker: CO845Y (index). 

10 YR Federal Agency COF Ten-year Federal Agency Fair Market Yield, monthly simple average of daily rates Bloomberg Generic 10 Year Agency Fair Market Yield. 

Ticker: CO8410Y (index). 

30 YR Federal Agency COF Thirty-year Federal Agency Fair Market Yield, monthly simple 

average of daily rates 

Bloomberg Generic 30 Year Agency Fair Market Yield. 

Ticker: CO8430Y (index). 

15 YR fixed-rate mortgage FHLMC (Freddie Mac) contract interest rates for 15 YR fixedrate mortgage commitments, monthly average of FHLMC 

(Freddie Mac) contract interest rates for 15 YR 

Bloomberg FHLMC 15 YR, 10 day commitment rate 

Ticker: FHCR1510 (index). 

7-year balloon mortgage rate Seven-year balloon mortgage, equal to the Conventional Mortgage Rate less 50 basis points Computed. 

2-yr Swap 2-yr U.S. Dollar Swap Rate, quoted as semi-annually fixed rate 

vs. 3-mo U.S. dollar 

Bloomberg Ticker: USSWAP2 (index). 

mstockstill on PROD1PC61 with RULES

75098 Federal Register / Vol. 71, No. 240 / Thursday, December 14, 2006 / Rules and Regulations 

TABLE 3–18—INTEREST RATE AND INDEX INPUTS—Continued 

Interest rate Index Description Source 

3-yr Swap 3-yr U.S. Dollar Swap Rate, quoted as semi-annually fixed rate 

vs. 3-mo U.S. dollar LIBOR 

Bloomberg Ticker: USSWAP3 (Index). 

5-yr Swap 5-yr U.S. Dollar Swap Rate, quoted as semi-annually fixed rate 

vs. 3-mo U.S. dollar LIBOR 

Bloomberg Ticker: USSWAP5 (Index). 

10-yr Swap 10-yr U.S. Dollar Swap Rate, quoted as semi-annually fixed rate 

vs. 3-mo U.S. dollar LIBOR 

Bloomberg Ticker: USSWAP10 (Index). 

30-yr Swap 30-yr U.S. Dollar Swap Rate, quoted as semi-annually fixed rate 

vs. 3-mo U.S. dollar LIBOR 

Bloomberg Ticker: USSWAP30 (Index). 

3.3.3 * * * 

[a] * * * 

3. * * * 

b. * * * 

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 

1-mo Freddie Mac Reference Bill 1-month Treasury Yield 

3-month LIBOR 3-month CMT 

3-month Federal Agency Cost of Funds 3-month CMT 

PRIME 3-month CMT 

6-month LIBOR 6-month CMT 

6-month Federal Agency Cost of Funds 6-month CMT 

6-month Fed Funds 6-month CMT 

FHLB 11th District Cost of Funds 1-year CMT 

12-month LIBOR 1-year CMT 

12-mo Moving Treasury Average 1-year CMT 

Certificate of Deposits Index 1-year CMT 

1-year Federal Agency Cost of Funds 1-year CMT 

2-year Federal Agency Cost of Funds 2-year CMT 

3-year Federal Agency Cost of Funds 3-year CMT 

5-year Federal Agency Cost of Funds 5-year CMT 

10-year Federal Agency Cost of Funds 10-year CMT 

30-year Federal Agency Cost of Funds 30-year CMT 

2-yr Swap 2-year CMT 

3-yr Swap 3-year CMT 

5-yr Swap 5-year CMT 

mstockstill on PROD1PC61 with RULES

Federal Register / Vol. 71, No. 240 / Thursday, December 14, 2006 / Rules and Regulations 75099 

TABLE 3–27—NON-TREASURY INTEREST RATES—Continued 

Mortgage Rates Spread Based on 

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 couponbearing 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, Balloon, Government, etc.) RBC Report 

UPBORIG Unpaid Principal Balance at Origination (aggregate for Loan Group) RBC Report 

UPB0 Unpaid Principal Balance at start of Stress Test (aggregate for Loan Group) RBC Report 

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) 

RBC Report 

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) 

RBC Report 

AT Original loan Amortizing Term in months (weighted average for Loan Group) RBC Report 

RM Remaining term to Maturity in months (i.e., number of contractual payments due between 

the start of the Stress Test and the contractual maturity date of the loan) (weighted average for Loan Group) 

RBC Report 

A0 Age immediately prior to the start of the Stress Test, in months (weighted average for Loan 

Group) 

RBC Report 

Interest-only Flag RBC Report 

RIOP Remaining Interest-only period, in months (weighted average for loan group) RBC Report 

Additional Interest Rate Inputs 

GFR Guarantee Fee Rate (weighted average for Loan Group) (decimal per annum) RBC Report 

SFR Servicing Fee Rate (weighted average for Loan Group) (decimal per annum) RBC Report 

Additional Inputs for ARMs (weighted averages for Loan Group, except for Index) 

INDEXm Monthly values of the contractual Interest Rate Index section 3.3, Interest Rates 

LB Look-Back period, in months RBC Report 

MARGIN Loan Margin (over index), decimal per annum RBC Report 

RRP Rate Reset Period, in months RBC Report 

Rate Reset Limit (up and down), decimal per annum RBC Report 

Maximum Rate (life cap), decimal per annum RBC Report 

Minimum Rate (life floor), decimal per annum RBC Report 

NAC Negative Amortization Cap, decimal fraction of UPBORIG RBC Report 

Unlimited Payment Reset Period, in months RBC Report 

mstockstill on PROD1PC61 with RULES

75100 Federal Register / Vol. 71, No. 240 / Thursday, December 14, 2006 / Rules and Regulations 

TABLE 3–32—LOAN GROUP INPUTS FOR MORTGAGE AMORTIZATION CALCULATION—Continued 

Variable* Description Source 

PRP Payment Reset Period, in months RBC Report 

Payment Reset Limit, as decimal fraction of prior payment RBC Report 

IRP Initial Rate Period, in months RBC Report 

* Variable name is given when used in an equation 

* * * * * 

3.6.3.7.2 * * * 

TABLE 3–51—INPUTS FOR FINAL CALCULATION OF STRESS TEST WHOLE LOAN CASH FLOWS

Variable Description Source 

UPBm Aggregate Unpaid Principal Balance in month m = 0 ... RM section 3.6.3.3.4, Mortgage 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 Group) (decimal per annum) RBC Report 

PTRm Pass-Through Rate in month m = 1 ... RM section 3.6.3.3.4, Mortgage Amortization 

Schedule Outputs 

SPm Aggregate Scheduled Principal (Amortization) in month m = 1 ... RM section 3.6.3.3.4, Mortgage Amortization 

Schedule Outputs 

PREmSF

PREmMF

Prepaying Fraction of original Loan Group in month 

m = 1 ... RM 

section 3.6.3.4.4, Single Family Default and 

Prepayment Outputs and, 

section 3.6.3.5.4, Multifamily Default and Prepayment Outputs 

DEFmSF

DEFmMF

Defaulting Fraction of original Loan Group in month 

m = 1 ... RM 

section 3.6.3.4.4, Single Family Default and 

Prepayment Outputs and, 

section 3.6.3.5.4, Multifamily Default and Prepayment Outputs 

PERFmSF

PERFmMF

Performing Fraction of original Loan Group in month 

m = 1 ... RM 

section 3.6.3.4.4, Single Family Default and 

Prepayment Outputs and, 

section 3.6.3.5.4, Multifamily Default and Prepayment Outputs 

FDS Float Days for Scheduled Principal and Interest (weighted average for Loan Group) RBC Report 

FDP Float Days for Prepaid Principal (weighted average for Loan Group) RBC Report 

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 Loan Group) (decimal) RBC Report 

* * * * * 

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, fees, commissions, etc. for the loan group, 

such that the unamortized balance equals the book value minus the face value for the 

loan group at the start of the Stress Test, adjusted by the Unamortized Balance Scale 

Factor 

RBC Report 

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 

mstockstill on PROD1PC61 with RULES

Federal Register / Vol. 71, No. 240 / Thursday, December 14, 2006 / Rules and Regulations 75101 

TABLE 3–54—INPUTS FOR WHOLE LOAN ACCOUNTING FLOWS—Continued 

Variable Description Source 

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, premiums, fees, commissions, etc. associated with 

the securities modeled using the Wtd Ave Percent Repurchased, such that the 

unamortized balance equals the book value minus the face value for the relevant securities at the start of the Stress Test, adjusted by the percent repurchased and the Security 

Unamortized Balance Scale Factor 

RBC Report 

* * * * * 

3.7.2.1.1 * * * 

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) 

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) 

mstockstill on PROD1PC61 with RULES

75102 Federal Register / Vol. 71, No. 240 / Thursday, December 14, 2006 / Rules and Regulations 

TABLE 3–56—RBC REPORT INPUTS FOR SINGLE CLASS MBS CASH FLOWS—Continued 

Variable Description 

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 

Unamortized Balance The sum of all unamortized discounts, premiums, fees, commissions, etc., such that the unamortized balance equals book value minus face value, adjusted by the Unamortized Balance Scale Factor 

Issue Date The Issue Date of the security 

Maturity Date The stated Maturity Date of the security 

Security Interest Rate The rate at which the security earns interest, as of the reporting date 

Principal Payment Window Starting Date, Down-Rate 

Scenario 

The month in the Stress Test that principal payment is expected to start for the security under the statutory 

‘‘down’’ interest rate scenario, according to Enterprise projections 

Principal Payment Window Ending Date, Down-Rate 

Scenario 

The month in the Stress Test that principal payment is expected to end for the security under the statutory 

‘‘down’’ interest rate scenario, according to Enterprise projections 

Principal Payment Window Starting Date, Up-Rate 

Scenario 

The month in the Stress Test that principal payment is expected to start for the security under the statutory 

‘‘up’’ interest rate scenario, according to Enterprise projections 

mstockstill on PROD1PC61 with RULES

Federal Register / Vol. 71, No. 240 / Thursday, December 14, 2006 / Rules and Regulations 75103 

TABLE 3–58—RBC REPORT INPUTS FOR MRBS AND DERIVATIVE MBS CASH FLOWS—Continued 

Variable Description 

Principal Payment Window Ending Date, Up-Rate 

Scenario 

The month in the Stress Test that principal payment is expected to end for the security under the statutory 

‘‘up’’ interest rate scenario, according to Enterprise projections 

Security Rating The most current rating issued by any Nationally Recognized Statistical Rating Organization (NRSRO) for 

this security, as of the reporting date. In the case of a ‘‘split’’ rating, the lowest rating should be given. 

Security Rate Index If the rate on the security adjusts over time, the index on which the adjustment is based 

Security Rate Index Coefficient If the rate on the security adjusts over time, the coefficient is the number used to multiply by the value of the 

index 

Security Rate Index Spread If the rate on the security adjusts over time, the spread is added to the value of the index multiplied by the 

coefficient to determine the new rate 

Security Rate Adjustment Frequency The number of months between rate adjustments 

Security Interest Rate Ceiling The maximum rate (lifetime cap) on the security 

Security Interest Rate Floor The minimum rate (lifetime floor) on the security 

* * * * * 

3.8.2 * * * 

[a] * * * 

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 

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) 

mstockstill on PROD1PC61 with RULES

75104 Federal Register / Vol. 71, No. 240 / Thursday, December 14, 2006 / Rules and Regulations 

TABLE 3–66—INPUT VARIABLES FOR NONMORTGAGE INSTRUMENT CASH FLOWS—Continued 

Data elements Description 

End Date The last index repricing date 

EOP Principal Balance End of Period face, principal or notional, amount of the instrument 

Exact Representation Indicates that an instrument is modeled according to its contractual terms 

Exercise Convention Indicates option exercise convention (e.g., American Option) 

Exercise Price Par = 1.0; Options 

First Coupon Date Date first coupon is received or paid 

Index Cap Indicates maximum index rate 

Index Floor Indicates minimum index rate 

Index Reset Frequency Indicates how often the interest rate index resets on floating-rate instruments 

Index Code Indicates the interest rate index to which floating-rate instruments are tied (e.g., LIBOR) 

Index Term Point on yield curve, expressed in months, upon which the index is based 

Instrument Credit Rating NRSRO credit rating for the instrument 

Instrument Credit Rating Type An indicator identifying the instruments credit rating as short-term (‘S’) or long-term (‘L’) 

Instrument ID An integer used internally by the Enterprise that uniquely identifies the instrument 

Interest Currency Code Indicates currency in which interest payments are paid or received 

Interest Type Code Indicates the method of interest rate payments (e.g., fixed, floating, step, discount) 

Issue Date Indicates the date that the instrument was issued 

Life Cap Rate The maximum interest rate for the instrument throughout its life 

Life Floor Rate The minimum interest rate for the instrument throughout its life 

Look-Back Period Period from the index reset date, expressed in months, that the index value is derived 

Maturity Date Date that the instrument contractually matures 

Notional Indicator Identifies whether the face amount is notional 

Instrument Type Code Indicates the type of instrument to be modeled (e.g., ABS, Cap, Swap) 

Option Indicator Indicates if instrument contains an option 

Option Type Indicates option type (e.g., Call option) 

Original Asset Face Amount Original face amount of the asset underlying a swap 

Original Discount Original premium or discount associated with the purchase or sale of the instrument adjusted by the 

Unamortized Balance Scale Factor. If the proceeds from the issuance of debt or derivatives or the amount 

paid for an asset were greater than par, the value should be positive. If the proceeds or the amounts paid 

were less than par, the value should be negative 

Original Face Original face, principal or notional, amount of the instrument 

Original Fees Fees or commissions paid at the time of purchase or sale adjusted by the Unamortized Balance Scale Factor. Generally fees associated with the issuance of debt or derivatives should be negative numbers. Fees 

associated with the purchase of an asset should generally be reported as positive numbers 

Original Hedge Gains (positive) or losses (negative) from closing out a hedge associated with the instrument at settlement, 

adjusted by the Unamortized Balance Scale Factor 

Original Other Any other amounts originally associated with the instrument to be amortized or accreted adjusted by the 

Unamortized Balance Scale Factor. If the proceeds from the issuance of debt or derivatives or the amount 

paid for an asset were greater than par, the value should be positive. If the proceeds or the amounts paid 

were less than par, the value should be negative 

Parent Entity ID Enterprise internal tracking ID for parent entity 

Payment Amount Interest payment amount associated with the instrument (reserved for complex instruments where interest 

payments are not modeled) 

Payment Frequency Indicates how often interest payments are made or received 

Performance Date ‘‘As of’’ date on which the data is submitted 

Periodic Adjustment The maximum amount that the interest rate for the instrument can change per reset 

Position Code Indicates whether the Enterprise pays or receives interest on the instrument 

mstockstill on PROD1PC61 with RULES

Federal Register / Vol. 71, No. 240 / Thursday, December 14, 2006 / Rules and Regulations 75105 

TABLE 3–66—INPUT VARIABLES FOR NONMORTGAGE INSTRUMENT CASH FLOWS—Continued 

Data elements Description 

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 straightline 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 straightline basis over the option term. 

(Amortize any remaining balances upon 

option exercise). 

[f] CPI-Linked Instruments also require 

special treatment. The stress test lacks the 

ability to accommodate floating-rate 

instruments that reset in response to changes 

in the consumer price index (CPI) as 

published by the Bureau of Labor Statistics. 

Enterprise issuance of CPI-linked 

instruments is tied to swap market 

transactions intended to create desired 

synthetic debt structure and terms. In such 

cases, the true economic position nets to the 

payment terms of the related derivative 

contract. Accordingly, in order to 

accommodate and address the existence of 

CPI-linked instruments in the Enterprises’

portfolios, the net synthetic position shall be 

evaluated in the stress test. That is, for CPIlinked 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 prerefunded 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 

mstockstill on PROD1PC61 with RULES

75106 Federal Register / Vol. 71, No. 240 / Thursday, December 14, 2006 / Rules and Regulations 

TABLE 3–70—ALTERNATIVE MODELING TREATMENT INPUTS—Continued 

Variable Description 

FAS115 Designation that the item is recorded at fair value, according to FAS 115 

RATING Instrument or counterparty rating 

FHA In the case of off-balance sheet guarantees, a designation indicating 100% of collateral is guaranteed by FHA 

MARGIN Margin over an Index 

* * * * * 

3.10.3.6.2 * * * 

[a] * * * 

1. Fair Values 

a. The valuation impact of any Applicable 

Fair Value Standards (AFVS), 

cumulative from their time of 

implementation, will be reversed out of 

the starting position data, by debiting 

any accumulated credits, and crediting 

any accumulated debits. 

(1) AFVS are defined as GAAP 

pronouncements that require or allow 

fair value measurements, e.g., EITF 99–

20, FAS 65, FAS 87, FAS 115, FAS 133, 

FAS 140, FAS 149 and FIN 45. Valuation 

impacts of AVFS pertain only to 

amounts that are measured at fair value 

and not to other amounts that are 

included in AFVS but are not measured 

at fair value. 

(2) The GAAP pronouncements covered by 

this treatment are subject to OFHEO 

review. The Enterprises will submit a list 

of standards and pronouncements that 

are being reversed in their RBC Reports. 

b. After reversing the valuation impact of 

AFVS, any affected items are presented 

as follows: 

(1) If absent the adoption of the AFVS, the 

affected transactions measured at fair 

value would have been accounted for on 

an amortized cost basis, they are 

presented as if they had always been 

accounted for on an amortized cost basis. 

Amounts not measured at fair value are 

represented as specified by GAAP and 

are presented using current GAAP rules. 

(2) To the extent that transactions would 

not have been accounted for on an 

amortized cost basis, they are accounted 

for as if they were income and expense 

items. 

* * * * * 

Dated: November 21, 2006. 

James B. Lockhart III, 

Director, Office of Federal Housing Enterprise 

Oversight. 

[FR Doc. 06–9446 Filed 12–13–06; 8:45 am] 

BILLING CODE 4220–01–P 

DEPARTMENT OF TRANSPORTATION 

Federal Aviation Administration 

14 CFR Part 39 

[FAA–2006–26437; Directorate Identifier 

2006–CE–73–AD; Amendment 39–14855; AD 

2006–25–14] 

RIN 2120–AA64 

Airworthiness Directives; SchemppHirth Flugzeugbau GmbH Model Duo 

Discus T Gliders 

AGENCY: Federal Aviation 

Administration (FAA), DOT. 

ACTION: Final rule; request for 

comments. 

SUMMARY: We are adopting a new 

airworthiness directive (AD) for the 

products listed above. This AD results 

from mandatory continuing 

airworthiness information (MCAI) 

issued by the aviation authority of 

another country to identify and correct 

an unsafe condition on an aviation 

product. The MCAI describes the unsafe 

condition as the possible failure of the 

attachment of the propeller blades. This 

AD requires actions that are intended to 

address the unsafe condition described 

in the MCAI. 

DATES: This AD becomes effective 

January 3, 2007. 

We must receive comments on this 

AD by January 16, 2007. 

ADDRESSES: You may send comments by 

any of the following methods: 

• DOT Docket Web site: Go to 

http://dms.dot.gov and follow the 

instructions for sending your comments 

electronically. 

• Fax: (202) 493–2251. 

• Mail: Docket Management Facility, 

U.S. Department of Transportation, 400 

Seventh Street, SW., Nassif Building, 

Room PL–401, Washington, DC 20590–

0001. 

• Hand Delivery: Room PL–401 on 

the plaza level of the Nassif Building, 

400 Seventh Street, SW., Washington, 

DC, between 9 a.m. and 5 p.m., Monday 

through Friday, except Federal holidays. 

• Federal eRulemaking Portal: http:// 

www.regulations.gov. Follow the 

instructions for submitting comments. 

Examining the AD Docket 

You may examine the AD docket on 

the Internet at http://dms.dot.gov; or in 

person at the Docket Management 

Facility between 9 a.m. and 5 p.m., 

Monday through Friday, except Federal 

holidays. The AD docket contains this 

AD, the regulatory evaluation, any 

comments received, and other 

information. The street address for the 

Docket Office (telephone (800) 647–

5227) is in the ADDRESSES section. 

Comments will be available in the AD 

docket shortly after receipt. 

FOR FURTHER INFORMATION CONTACT: Greg 

Davison, Glider Program Manager, 901 

Locust, Room 301, Kansas City, 

Missouri 64106; telephone: (816) 329–

4130; fax: (816) 329–4090. 

SUPPLEMENTARY INFORMATION: 

Streamlined Issuance of AD 

The FAA is implementing a new 

process for streamlining the issuance of 

ADs related to MCAI. The streamlined 

process will allow us to adopt MCAI 

safety requirements in a more efficient 

manner and will reduce safety risks to 

the public. This process continues to 

follow all FAA AD issuance processes to 

meet legal, economic, Administrative 

Procedure Act, and Federal Register 

requirements. We also continue to meet 

our technical decision-making 

responsibilities to identify and correct 

unsafe conditions on U.S.-certificated 

products. 

This AD references the MCAI and 

related service information that we 

considered in forming the engineering 

basis to correct the unsafe condition. 

The AD contains text copied from the 

MCAI and for this reason might not 

follow our plain language principles. 

Discussion 

The European Aviation Safety Agency 

(EASA), which is the Technical Agent 

for the Member States of the European 

Community, has issued AD No.: 2006–

0294–E, dated September 25, 2006 

(referred to after this as ‘‘the MCAI’’), to 

correct an unsafe condition for the 

specified products. The MCAI states 

that the aircraft manufacturer has 

identified a possible failure of the 

attachment of the propeller blades and 

mstockstill on PROD1PC61 with RULES