[Federal Register Volume 71, Number 240 (Thursday, December 14, 2006)]
[Rules and Regulations]
[Pages 75085-75106]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 06-9446]



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

[[Page 75085]]



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\
---------------------------------------------------------------------------

    \1\ Risk-Based Capital, 66 FR 47730 (September 13, 2001), 12 CFR 
part 1750.
    \2\ Risk-Based Capital, 66 FR 47730 (September 13, 2001), 12 CFR 
part 1750, as amended, 67 FR 11850 (March 15, 2002), 67 FR 19321 
(April 19, 2002), 68 FR 7309 (February 13, 2003).
---------------------------------------------------------------------------

    Since the last amendment to the Risk Based Capital Regulation, 
additional experience with the regulation raised further operational 
and technical issues. On June 26, 2006, at 71 FR 36231, OFHEO published 
a proposed notice of rulemaking (NPRM) for comment to incorporate a 
number of technical amendments to the Risk-Based Capital Regulation. 
The NPRM proposed amending the Risk-Based Capital Regulation to 
incorporate additional interest rate indices, clarify definitions, 
integrate Enterprise new activities and update treatment of certain 
mark-to-market accounting issues. As stated in the NPRM, the proposed 
amendments are capital neutral and largely codify existing practice 
pursuant to the current Risk-Based Capital Regulation.
    The 30-day comment period ended July 26, 2006. All comments 
received have been made available to the public in the OFHEO Public 
Reading Room and also posted on the OFHEO Web site at http://OFHEO.gov.

Comments Received

    Comments were received from the Consumer Mortgage Coalition (CMC), 
a trade group of national residential mortgage lenders; FM Policy 
Focus, a coalition of financial services and housing-related trade 
associations; the Mortgage Insurance Companies of America (MICA); the 
Mortgage Bankers Association (MBA), a national association representing 
the real estate finance industry; Fannie Mae; and Freddie Mac. All 
comments were taken into consideration. Significant comments related to 
the proposed regulation are discussed below.

Purpose and Scope

    All of the commenters expressed support for OFHEO's decision to 
revise the Risk-Based Capital Regulation to address ongoing financial 
and mortgage market developments that impact the risk profiles of the 
Enterprises. Commenters also supported OFHEO's decision to provide 
notice and opportunity to comment on the proposed changes, 
notwithstanding their technical nature and capital neutrality.
    As noted in the comments, the Risk-Based Capital Regulation should 
be revised periodically to respond to developments in the mortgage 
markets, address technical issues, and respond to new Enterprise 
activities. The technical changes proposed by OFHEO are in furtherance 
of its regulatory duties and enhance both the accuracy and transparency 
of the Risk-Based Capital Regulation. For these reasons, and the 
discussions that follow, OFHEO has determined to issue the amendments 
as discussed below.

Additional Interest Rate Indices

    Due to developments in the mortgage and financial markets since the 
promulgation of the Risk-Based Capital Regulation and the introduction 
of a number of approved new activities at each Enterprise, OFHEO 
proposed incorporating additions to the interest rate indices used to 
measure Enterprise risk. OFHEO proposed the incorporation of the new 
indices through revisions to Table ``3-18, Interest Rate and Index 
Inputs,'' and Table ``3-27, Non-Treasury Interest Rates,'' of Appendix 
A to Subpart B of the Risk-Based Capital Regulation. The new interest 
rate indices are the Constant Maturity Mortgage Index, 12 month Moving 
Treasury Average, One month Freddie Mac Reference Bill, Certificate of 
Deposits Index, 2 Year Swap, 3 Year Swap, 5 Year Swap, 10 Year Swap and 
30 Year Swap. All of the commenters addressing this issue supported the 
adoption of the proposed interest rate indices used to measure more 
accurately

[[Page 75086]]

Enterprise risk. OFHEO has determined to adopt the amendments as 
proposed.

Revised Risk-Based Capital Regulation Definitions

    As stated in the NPRM, additional operational experience with the 
Risk-Based Capital Regulation, as well as financial and mortgage market 
developments, motivated OFHEO to refine a number of defined terms in 
the regulation. Proposed amendments include changes to recognize that 
single family loans with interest-only periods have become common and 
that the Enterprises have guaranteed or acquired such loans. Sections 
3.1.2.1, 3.6.3.3.1 and 3.6.3.3.3 of the appendix to the Risk-Based 
Capital Regulation currently provide a treatment for interest-only 
periods. However, sections 3.1.2.1, 3.6.3.3.1, and 3.6.3.3.2 currently 
assume that only multi-family loans have this feature. OFHEO's proposed 
amendments would adopt the changes necessary to accommodate single-
family interest-only loans. In addition to the single-family interest-
only issue, OFHEO proposed amendments to the definition of ``float-
days'' in sections 3.1.2.1.1 and 3.6.3.7.2 to improve the accuracy of 
that definition. Finally, an additional number of definitions 
throughout the Risk-Based Capital Regulation were revised to ensure 
consistency and accuracy. All of the commenters that addressed this 
issue supported the adoption of the proposed amendments. OFHEO has 
determined to adopt the amendments as proposed.

Incorporation of New Enterprise Activities

    Risk-Based Capital Regulation Section 3.11.3, Treatment of New 
Activities, sets forth the procedures by which new Enterprise 
activities are reported to OFHEO and analyzed by OFHEO to determine an 
appropriately conservative treatment to be incorporated into the risk-
based capital calculation. The section also describes how any newly 
incorporated treatment is made available for public comment and 
possible further revision. The subheadings below describe the responses 
to comments received on new Enterprise activities.
a. Reverse Mortgages
    OFHEO proposed revisions to Section 3.6.3.3.1 of the Risk-Based 
Capital Regulation to incorporate an appropriate treatment for reverse 
mortgages. Freddie Mac commented that the proposed treatment for 
reverse mortgages was operationally complex and that it did not 
accurately tie capital to risk. Freddie Mac also noted in its comments 
that it does not currently purchase or guarantee reverse mortgages. 
Freddie Mac suggested that it may propose an alternative treatment in 
the future if it ever purchases or guarantees reverse mortgages. Fannie 
Mae commented that the proposed treatment was ``insufficiently robust 
with regard to accuracy.'' Fannie Mae did not provide an alternative 
treatment. OFHEO considered both comments and determined that, in the 
absence of suggested alternative treatments or additional information 
that would support development of an alternative treatment, it would 
adopt the provision as proposed.
b. Futures and Options on Futures
    OFHEO proposed technical amendments to Section 3.8 of the Risk-
Based Capital Regulation to address treatments for futures and for 
options on futures. OFHEO's treatment specifies a multi-step process 
for modeling futures and options on futures. Freddie Mac agreed with 
the treatment for futures but suggested a better approach to modeling 
futures options would be to utilize the strike price in the calculation 
of the cash settlement amount. The comments did not provide an 
alternative treatment or additional supporting data. OFHEO considered 
Freddie Mac's comments; however, in the absence of additional data, and 
given OFHEO's favorable experience with the proposed method, OFHEO has 
determined to adopt the amendment as proposed.
c. Split-Rate Adjustable Rate Mortgages
    OFHEO proposed a new activities treatment for split rate adjustable 
rate mortgages in Section 3.6 of the Risk-Based Capital Regulation. The 
proposed treatment ignores the split-rate feature and treats split-rate 
ARMs as traditional ARMs. Fannie Mae commented that the treatment was 
``insufficiently robust.'' Fannie Mae did not propose an alternative 
treatment. OFHEO considered the comment, and, in the absence of an 
alternative treatment that improves upon the accuracy or transparency 
of the OFHEO proposal, determined to adopt the amendment as proposed.
d. CPI-Linked Floating Rate Instruments
    OFHEO proposed incorporating a treatment for CPI-linked floating 
rate instruments in Section 3.8 of the Risk-Based Capital Regulation. 
Unlike interest rates, the stress test does not project the CPI. 
Enterprise issuance of CPI-linked instruments is tied to swap market 
transactions intended to create desired synthetic debt structure and 
terms. In such cases, the true economic position nets to the payment 
terms of the related derivative contract. OFHEO proposed a treatment 
where the net synthetic position is evaluated, whereby the Enterprises 
would substitute the CPI-linked instrument's coupon payment terms with 
those of the related swap contract. Fannie Mae commented that the 
treatment was incomplete and should not be incorporated into the 
regulation. Fannie Mae did not propose an alternative treatment. 
OFHEO's proposed treatment provides a transparent and accurate method 
to assess the impact of these instruments on the risk profiles of the 
Enterprises. OFHEO has determined to adopt the amendment as proposed.

Update of Mark-to-Market Accounting Treatment

    Since the adoption of the Risk-Based Capital Regulation, the 
Financial Accounting Standards Board has adopted a number of new 
accounting standards that introduce fair values to the balance sheet 
and that are similar in complexity to FAS 115 and FAS 133. OFHEO 
proposed a technical amendment to Section 3.10.3.6.2 [a][1] of the 
Risk-Based Capital Regulation that would extend the current risk-based 
capital regulatory treatment of FAS 115 and FAS 133 to other accounting 
standards that require mark-to-market accounting. Freddie Mac offered 
several comments regarding the proposed amendments that clarify the 
scope of the proposed treatment for fair values. Freddie Mac's proposed 
language clarifies that applicable fair value standards will apply only 
to amounts that are measured at fair value, not to other amounts 
mentioned in such standards, and that amounts not measured at fair 
value are represented by and presented according to GAAP. OFHEO agrees 
that the language proposed by Freddie Mac will enhance the transparency 
and accuracy of the treatment and has amended the provision 
accordingly.
    Fannie Mae's comment regarding Section 3.10.3.6.2.[a] 1. b. 1) 
requested permission to estimate amortized cost basis when implementing 
applicable fair value standards in order to obviate the maintenance of 
amortized cost basis information if GAAP no longer requires it. Fannie 
Mae did not provide an analysis of the impact, savings, applicability 
or scope of its suggested change. When and if GAAP changes as described 
by Fannie Mae arise, an alternative treatment could be adopted via an 
appropriate regulatory method. Thus, OFHEO has determined not to 
incorporate Fannie Mae's comment.

[[Page 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-to-
value ratios (LTVs) in the Risk Based Capital Regulation from the 
current approach to one that recognizes the combined LTV of all loans 
outstanding on a property. MICA also urged OFHEO to adopt a formal 
process to review the safety and soundness implications of Enterprise 
products, programs and activities. This comment was beyond the scope of 
the NPRM and has not been considered in the current rulemaking.

Regulatory Impacts

Executive Order 12866, Regulatory Planning and Review

    The technical amendments address provisions of the Risk-Based 
Capital Regulation. The technical amendments incorporate new activities 
treatments of the Enterprises adopted in accordance with the Risk-Based 
Capital Regulation, corrections to certain definitions, updates to 
interest-rate indices and to incorporate recognition of accounting rule 
changes adopted since the Risk-Based Capital Regulation was 
promulgated. The technical amendments to the Risk-Based Capital 
Regulation are not classified as an economically significant rule under 
Executive Order 12866 because they do not result in an annual effect on 
the economy of $100 million or more or a major increase in costs or 
prices for consumers, individual industries, Federal, state or local 
government agencies, or geographic regions; or have significant adverse 
effects on competition, employment, investment, productivity, 
innovation, or on the ability of United States-based enterprises to 
compete with foreign-based enterprises in foreign or domestic markets. 
Accordingly, no regulatory impact assessment is required. Nevertheless, 
the technical amendments were submitted to the Office of Management and 
Budget (OMB) for review under the provisions of Executive Order 12866 
as a significant regulatory action.

Executive Order 13132, Federalism

    Executive Order 13132 requires that Executive departments and 
agencies identify regulatory actions that have significant federalism 
implications. A regulation has federalism implications if it has 
substantial direct effects on the states, on the relationship or 
distribution of power between the Federal Government and the states, or 
on the distribution of power and responsibilities among various levels 
of government. The Enterprises are federally chartered entities 
supervised by OFHEO. The technical amendments to the Risk-Based Capital 
Regulation address matters which the Enterprises must comply with for 
Federal regulatory purposes. The technical amendments to the Risk-Based 
Capital Regulation address matters regarding the risk-based capital 
calculation for the Enterprises and therefore do not affect in any 
manner the powers and authorities of any state with respect to the 
Enterprises or alter the distribution of power and responsibilities 
between Federal and state levels of government. Therefore, OFHEO has 
determined that the amendments to the Risk-Based Capital Regulation 
have no federalism implications that warrant preparation of a 
Federalism Assessment in accordance with Executive Order 13132.

Paperwork Reduction Act

    The amendments do not contain any information collection 
requirements that require the approval of OMB under the Paperwork 
Reduction Act (44 U.S.C. 3501 et seq.).

Regulatory Flexibility Act

    The Regulatory Flexibility Act (5 U.S.C. 601 et seq.) requires that 
a regulation that has a significant economic impact on a substantial 
number of small entities, small businesses, or small organizations must 
include an initial regulatory flexibility analysis describing the 
regulation's impact on small entities. Such an analysis need not be 
undertaken if the agency has certified that the regulation does not 
have a significant economic impact on a substantial number of small 
entities 5 U.S.C. 605(b). OFHEO has considered the impact of the 
technical amendments to the Risk-Based Capital Regulation under the 
Regulatory Flexibility Act. The General Counsel of OFHEO certifies that 
the technical amendments to the Risk-Based Capital Regulation are not 
likely to have a significant economic impact on a substantial number of 
small business entities because the regulation is applicable only to 
the Enterprises, which are not small entities for purposes of the 
Regulatory Flexibility Act.

List of Subjects in 12 CFR Part 1750

    Capital classification, Mortgages, Risk-based capital.


0
Accordingly, for the reasons stated in the preamble, OFHEO amends 12 
CFR part 1750 as follows:

PART 1750--CAPITAL

0
1. The authority citation for part 1750 continues to read as follows:

    Authority: 12 U.S.C. 4513, 4514, 4611, 4612, 4614, 4615, 4618.

0
2. Amend Appendix A to subpart B of part 1750 as follows:
0
a. Revise Table 3-2 in paragraph 3.1.2.1 [c];
0
b. Revise Table 3-4 in paragraph 3.1.2.1 [c];
0
c. Revise Table 3-5 in paragraph 3.1.2.1.1;
0
d. Revise Table 3-8 in paragraph 3.1.2.1.1;
0
e. Revise Table 3-9 in paragraph 3.1.2.1.1;
0
f. Revise Table 3-12 in paragraph 3.1.2.2 [a];
0
g. Revise Table 3-13 in paragraph 3.1.2.2 [b];
0
h. Revise Table 3-14 in paragraph 3.1.2.2 [c];
0
i. Revise Table 3-15 in paragraph 3.1.2.3;
0
j. Revise Table 3-16 in paragraph 3.1.2.4;
0
k. Revise Table 3-18 in paragraph 3.1.3.1 [c];
0
l. Revise Table 3-27 in paragraph 3.3.3 [a] 3. b.;
0
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;

[[Page 75088]]

0
n. Add new paragraphs 3.6.3.3.1 [c] 7. and [c] 8.;
0
o. Revise Table 3-32 in paragraph 3.6.3.3.2;
0
p. Revise Table 3-51 in paragraph 3.6.3.7.2;
0
q. Revise Table 3-54 in paragraph 3.6.3.8.2;
0
r. Revise Table 3-56 in paragraph 3.7.2.1.1;
0
s. Revise Table 3-57 in paragraph 3.7.2.1.2 [a];
0
t. Revise Table 3-58 in paragraph 3.7.2.1.3 [a];
0
u. Revise Table 3-66 in paragraph 3.8.2 [a];
0
v. Redesignate paragraph 3.8.3.6.2 [d] as new paragraph 3.8.3.6.2 [h];
0
w. Add new paragraphs 3.8.3.6.2 [d] thru [g];
0
x. Revise Table 3-70 in paragraph 3.9.2;
0
y. Revise paragraphs 3.10.3.6.2 [a] 1. a. and b.
0
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   YYYY0331
                                       loan group activity that is being    YYYY0630
                                       reported to OFHEO                    YYYY0930
                                                                            YYYY1231
----------------------------------------------------------------------------------------------------------------
Enterprise                            Enterprise submitting the loan group  Fannie Mae
                                       data                                 Freddie Mac
----------------------------------------------------------------------------------------------------------------
Business Type                         Single family or multifamily          Single family
                                                                            Multifamily
----------------------------------------------------------------------------------------------------------------
Portfolio Type                        Retained portfolio or Sold portfolio  Retained Portfolio
                                                                            Sold Portfolio
----------------------------------------------------------------------------------------------------------------
Government Flag                       Conventional or Government insured    Conventional
                                       loan                                 Government
----------------------------------------------------------------------------------------------------------------
Original LTV                          Assigned LTV classes based on the     LTV<=60
                                       ratio, in percent, between the       60<LTV<=70
                                       original loan amount and the lesser  70<LTV<=75
                                       of the purchase price or appraised   75<LTV<=80
                                       value                                80<LTV<=90
                                                                            90<LTV<=95
                                                                            95<LTV<=100
                                                                            100<LTV
----------------------------------------------------------------------------------------------------------------
Interest-only Flag                    Indicates if the loan is currently    Yes
                                       paying interest-only. Loans that     No
                                       started as I/Os and are currently
                                       amortizing should be flagged as `N'
----------------------------------------------------------------------------------------------------------------
Current Mortgage Interest Rate        Assigned classes for the current      0.0<=Rate<4.0
                                       mortgage interest rate               4.0<=Rate<5.0
                                                                            5.0<=Rate<6.0
                                                                            6.0<=Rate<7.0
                                                                            7.0<=Rate<8.0
                                                                            8.0<=Rate<9.0
                                                                            9.0<=Rate<10.0
                                                                            10.0<=Rate<11.0
                                                                            11.0<=Rate<12.0
                                                                            12.0<=Rate<13.0
                                                                            13.0<=Rate<14.0
                                                                            14.0<=Rate<15.0
                                                                            15.0<=Rate<16.0
                                                                            Rate=>16.0
----------------------------------------------------------------------------------------------------------------
Original Mortgage Interest Rate       Assigned classes for the original     0.0<=Rate<4.0
                                       mortgage interest rate               4.0<=Rate<5.0
                                                                            5.0<=Rate<6.0
                                                                            6.0<=Rate<7.0
                                                                            7.0<=Rate<8.0
                                                                            8.0<=Rate<9.0
                                                                            9.0<=Rate<10.0
                                                                            10.0<=Rate<11.0
                                                                            11.0<=Rate<12.0
                                                                            12.0<=Rate<13.0
                                                                            13.0<=Rate<14.0
                                                                            14.0<=Rate<15.0
                                                                            15.0<=Rate<16.0
                                                                            Rate=>16.0
----------------------------------------------------------------------------------------------------------------
Mortgage Age                          Assigned classes for the age of the   0<=Age<=12
                                       loan                                 12<Age<=24
                                                                            24<Age<=36
                                                                            36<Age<=48
                                                                            48<Age<=60
                                                                            60<Age<=72

[[Page 75089]]

 
                                                                            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    Period=1
                                       months between rate adjustments      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    Period<=9
                                       months between payment adjustments   9<Period<=15
                                       after the duration of the teaser     15<Period<999
                                       rate                                 Period=999 (not applicable)
----------------------------------------------------------------------------------------------------------------
ARM Index                             Specifies the type of index used to   FHLB 11th District Cost of Funds.
                                       determine the interest rate at each  1 Month Federal Agency Cost of
                                       adjustment                            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-    Payment Capped
                                       capped, payment-capped or uncapped   Rate Capped
                                                                            No periodic rate cap
----------------------------------------------------------------------------------------------------------------
OFHEO Ledger Code                     OFHEO-specific General Ledger         Appropriate OFHEO Ledger Code based
                                       account number used in the Stress     on the chart of accounts.
                                       Test
----------------------------------------------------------------------------------------------------------------

* * * * *

                         Table 3-4--Additional Multifamily Loan Classification Variables
----------------------------------------------------------------------------------------------------------------
              Variable                             Description                              Range
----------------------------------------------------------------------------------------------------------------
Multifamily Product Code              Identifies the mortgage product       Fixed Rate Fully Amortizing
                                       types for multifamily loans          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
----------------------------------------------------------------------------------------------------------------

[[Page 75090]]

 
New Book Flag                         ``New Book'' is applied to Fannie     New Book
                                       Mae loans acquired beginning in      Old Book
                                       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
----------------------------------------------------------------------------------------------------------------
Ratio Update Flag                     Indicates if the LTV and DCR were     Yes
                                       updated at origination or at         No
                                       Enterprise acquisition
----------------------------------------------------------------------------------------------------------------
Current DCR                           Assigned classes for the Debt         DCR<1.00
                                       Service Coverage Ratio based on the  1.00<=DCR<1.10
                                       most recent annual operating         1.10<=DCR<1.20
                                       statement                            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   Yes
                                       is subject to active prepayment      No
                                       penalties or yield maintenance
                                       provisions
----------------------------------------------------------------------------------------------------------------

* * * * *

          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
------------------------------------------------------------------------

[[Page 75091]]

 
                                                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 determined by reconciling
 Factor                               reported Security Unamortized
                                      Balances to published financials
------------------------------------------------------------------------

* * * * *

3.1.2.2 * * *

    [a] * * *











           Table 3-12--Inputs for Single Class MBS Cash Flows
------------------------------------------------------------------------
              Variable                           Description
------------------------------------------------------------------------
Pool Number                          A unique number identifying each
                                      mortgage pool
------------------------------------------------------------------------
CUSIP Number                         A unique number assigned to
                                      publicly traded securities by the
                                      Committee on Uniform Securities
                                      Identification Procedures
------------------------------------------------------------------------
Issuer                               Issuer of the mortgage pool
------------------------------------------------------------------------
Government Flag                      Indicates Government insured
                                      collateral
------------------------------------------------------------------------
Original UPB Amount                  Original pool balance adjusted by
                                      UPB scale factor and multiplied by
                                      the Enterprise's percentage
                                      ownership
------------------------------------------------------------------------
Current UPB Amount                   Initial Pool balance (at the start
                                      of the Stress Test), adjusted by
                                      UPB scale factor and multiplied by
                                      the Enterprise's percentage
                                      ownership
------------------------------------------------------------------------
Product Code                         Mortgage product type for the pool
------------------------------------------------------------------------

[[Page 75092]]

 
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             Remaining maturity of the
Maturity                              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              Mortgage Interest Rate of the
Interest Rate                         underlying loans at the start of
                                      the Stress Test (weighted average
                                      for underlying loans)
------------------------------------------------------------------------
Wt Avg Pass-Through Rate             Pass-Through Rate of the underlying
                                      loans at the start of the Stress
                                      Test (Sold loans only) (weighted
                                      average for underlying loans)
------------------------------------------------------------------------
Wtg Avg Original Mortgage            The current UPB weighted average
Interest Rate                         mortgage interest rate in effect
                                      at origination for the loans in
                                      the pool
------------------------------------------------------------------------
Security Rating                      The most current rating issued by
                                      any Nationally Recognized
                                      Statistical Rating Organization
                                      (NRSRO) for this security, as of
                                      the reporting date
------------------------------------------------------------------------
Wt Avg Gross Margin                  Gross margin for the underlying
                                      loans (ARM MBS only) (weighted
                                      average for underlying loans)
------------------------------------------------------------------------
Wt Avg Net Margin                    Net margin (used to determine the
                                      security rate for ARM MBS)
                                      (weighted average for underlying
                                      loans)
------------------------------------------------------------------------
Wt Avg Rate Reset Period             Rate reset period in months (ARM
                                      MBS only) (weighted average for
                                      underlying loans)
------------------------------------------------------------------------
Wt Avg Rate Reset Limit              Rate reset limit up/down (ARM MBS
                                      only) (weighted average for
                                      underlying loans)
------------------------------------------------------------------------
Wt Avg Life Interest Rate            Maximum rate (lifetime cap) (ARM
Ceiling                               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             The current UPB weighted average
Interest Rate                         original mortgage interest rate
                                      for the loans in the pool
------------------------------------------------------------------------
Wt Avg Initial Interest Rate         Number of months between the loan
Period                                origination date and the first
                                      rate adjustment date (weighted
                                      average for underlying loans)
------------------------------------------------------------------------
Wt Avg Unlimited Payment Reset       Number of months between unlimited
 Period                               payment resets i.e., not limited
                                      by payment caps, starting with
                                      origination date (weighted average
                                      for underlying loans)
------------------------------------------------------------------------
Notional Flag                        Indicates if the amounts reported
                                      in Original Security Balance and
                                      Current Security Balance are
                                      notional
------------------------------------------------------------------------
UPB Scale Factor                     Factor determined by reconciling
                                      reported UPB to published
                                      financials
------------------------------------------------------------------------
Unamortized Balance Scale Factor     Factor determined by reconciling
                                      reported Unamortized Balance to
                                      published financials
------------------------------------------------------------------------
Whole Loan Modeling Flag             Indicates that the Current UPB
                                      Amount and Unamortized Balance
                                      associated with this repurchased
                                      MBS are included in the Wtg Avg
                                      Percent Repurchased and Security
                                      Unamortized Balance fields
------------------------------------------------------------------------
FAS 115 Classification               The financial instrument's
                                      classification according to FAS
                                      115
------------------------------------------------------------------------
HPGRK                                Vector of House Price Growth Rates
                                      for quarters q=1. . .40 of the
                                      Stress Period
------------------------------------------------------------------------

    [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
------------------------------------------------------------------------

[[Page 75093]]

 
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    The month in the Stress Test that
 Date, Down-Rate Scenario             principal payment is expected to
                                      start for the security under the
                                      statutory ``down'' interest rate
                                      scenario, according to Enterprise
                                      projections
------------------------------------------------------------------------
Principal Payment Window Ending      The month in the Stress Test that
 Date, Down-Rate Scenario             principal payment is expected to
                                      end for the security under the
                                      statutory ``down'' interest rate
                                      scenario, according to Enterprise
                                      projections
------------------------------------------------------------------------
Principal Payment Window Starting    The month in the Stress Test that
 Date, Up-Rate Scenario               principal payment is expected to
                                      start for the security under the
                                      statutory ``up'' interest rate
                                      scenario, according to Enterprise
                                      projections
------------------------------------------------------------------------
Principal Payment Window Ending      The month in the Stress Test that
 Date, Up-Rate Scenario               principal payment is expected to
                                      end for the security under the
                                      statutory ``up'' interest rate
                                      scenario, according to Enterprise
                                      projections
------------------------------------------------------------------------
Notional Flag                        Indicates if the amounts reported
                                      in Original Security Balance and
                                      Current Security Balance are
                                      notional
------------------------------------------------------------------------
Security Rating                      The most current rating issued by
                                      any Nationally Recognized
                                      Statistical Rating Organization
                                      (NRSRO) for this security, as of
                                      the reporting date
------------------------------------------------------------------------
Security Rate Index                  If the rate on the security adjusts
                                      over time, the index on which the
                                      adjustment is based
------------------------------------------------------------------------
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
------------------------------------------------------------------------

[[Page 75094]]

 
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)
------------------------------------------------------------------------

[[Page 75095]]

 
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)
------------------------------------------------------------------------

[[Page 75096]]

 
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,        Bloomberg Generic 1 Month.
                                       monthly simple average of daily      U.S. Treasury bill.
                                       rate, quoted as actual/360           Ticker: GB1M (index).
----------------------------------------------------------------------------------------------------------------
3 MO CMT                              Three-month constant maturity         Federal Reserve H.15 Release.
                                       Treasury yield, monthly simple
                                       average of daily rate, quoted as
                                       bond equivalent yield
----------------------------------------------------------------------------------------------------------------
6 MO CMT                              Six-month constant maturity Treasury  Federal Reserve H.15 Release.
                                       yield, monthly simple average of
                                       daily rate, quoted as bond
                                       equivalent yield
----------------------------------------------------------------------------------------------------------------
1 YR CMT                              One-year constant maturity Treasury   Federal Reserve H.15 Release.
                                       yield, monthly simple average of
                                       daily rate, quoted as bond
                                       equivalent yield
----------------------------------------------------------------------------------------------------------------
2 YR CMT                              Two-year constant maturity Treasury   Federal Reserve H.15 Release.
                                       yield, monthly simple average of
                                       daily rate, quoted as bond
                                       equivalent yield
----------------------------------------------------------------------------------------------------------------
3 YR CMT                              Three-year constant maturity          Federal Reserve H.15 Release.
                                       Treasury yield, monthly simple
                                       average of daily rate, quoted as
                                       bond equivalent yield
----------------------------------------------------------------------------------------------------------------
5 YR CMT                              Five-year constant maturity Treasury  Federal Reserve H.15 Release.
                                       yield, monthly simple average of
                                       daily rate, quoted as bond
                                       equivalent yield
----------------------------------------------------------------------------------------------------------------
10 YR CMT                             Ten-year constant maturity Treasury   Federal Reserve H.15 Release.
                                       yield, monthly simple average of
                                       daily rate, quoted as bond
                                       equivalent yield
----------------------------------------------------------------------------------------------------------------
20 YR CMT                             Twenty-year constant maturity         Federal Reserve H.15 Release.
                                       Treasury yield, monthly simple
                                       average of daily rate, quoted as
                                       bond equivalent yield
----------------------------------------------------------------------------------------------------------------
30 YR CMT                             Thirty-year constant maturity         Federal Reserve H.15 Release,
                                       Treasury yield, monthly simple        Extrapolation Factors used for
                                       average of daily rate, quoted as      estimation, U.S. Dept. of Treasury.
                                       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
----------------------------------------------------------------------------------------------------------------

[[Page 75097]]

 
12-mo Moving Treasury                 12-month Federal Reserve cumulative   Bloomberg Ticker: 12MTA (Index).
Average (MTA)                          average 1 year CMT, monthly simple
                                       average of daily rate
----------------------------------------------------------------------------------------------------------------
Overnight Fed Funds (Effective)       Overnight effective Federal Funds     Federal Reserve H.15 Release.
                                       rate, monthly simple average of
                                       daily rate
----------------------------------------------------------------------------------------------------------------
Certificate of Deposits Index (CODI)  12-month average of monthly           Bloomberg Ticker: COF CODI (index).
                                       published yields on 3-month
                                       certificates of deposit, based on
                                       the Federal Reserve Board
                                       statistical release, H-15
----------------------------------------------------------------------------------------------------------------
1 Week Federal Funds                  1 week Federal Funds rate, monthly    Bloomberg Term Fed Funds U.S.
                                       simple average of daily rates         Domestic
                                                                            Ticker: GFED01W (index).
----------------------------------------------------------------------------------------------------------------
6 Month Fed Funds                     6 month Federal Funds rate, monthly   Bloomberg Term Fed Funds U.S.
                                       simple average of daily rates         Domestic
                                                                            Ticker: GFED06M (index).
----------------------------------------------------------------------------------------------------------------
Conventional Mortgage Rate            FHLMC (Freddie Mac) contract          Federal Reserve H.15 Release.
                                       interest rates for 30 YR fixed-rate
                                       mortgage commitments, monthly
                                       average of weekly rates
----------------------------------------------------------------------------------------------------------------
Constant Maturity Mortgage (CMM)      Bond equivalent yield on TBA          TradeWeb.
 Index                                 mortgage-backed security which
                                       prices at the par price
----------------------------------------------------------------------------------------------------------------
1-mo Freddie Mac Reference Bill       1-month Freddie Mac Reference Bill,   Freddiemac.com website: http://
                                       actual price and yield by auction     www.freddiemac.com/debt/data/cgi-
                                       date                                  bin/refbillaucres.cgi?order=AD.
----------------------------------------------------------------------------------------------------------------
FHLB 11th District COF                11th District (San Francisco)         Bloomberg Cost of Funds for the 11th
                                       weighted average cost of funds for    District
                                       savings and loans, monthly           Ticker: COF11 (index).
----------------------------------------------------------------------------------------------------------------
1 MO LIBOR                            One-month London Interbank Offered    British Bankers Association
                                       Rate, average of bid and asked,      Bloomberg Ticker: US0001M (index).
                                       monthly simple average of daily
                                       rates, quoted as actual/360
----------------------------------------------------------------------------------------------------------------
3 MO LIBOR                            Three-month London Interbank Offered  British Bankers Association
                                       Rate, average of bid and asked,      Bloomberg Ticker: US0003M (index).
                                       monthly simple average of daily
                                       rates, quoted as actual/360
----------------------------------------------------------------------------------------------------------------
6 MO LIBOR                            Six-month London Interbank Offered    British Bankers Association
                                       Rate, average of bid and asked,      Bloomberg Ticker: US0006M (index).
                                       monthly simple average of daily
                                       rates, quoted as actual/360
----------------------------------------------------------------------------------------------------------------
12 MO LIBOR                           One-year London Interbank Offered     British Bankers Association
                                       Rate, average of bid and asked,      Bloomberg Ticker: US0012M (index).
                                       monthly simple average of daily
                                       rates, quoted as actual/360
----------------------------------------------------------------------------------------------------------------
Prime Rate                            Prevailing rate as quoted, monthly    Federal Reserve H.15 Release.
                                       average of daily rates
----------------------------------------------------------------------------------------------------------------
1 MO Federal Agency COF               One-month Federal Agency Cost of      Bloomberg Generic 1 Month Agency
                                       Funds, monthly simple average of      Discount Note Yield
                                       daily rates, quoted as actual/360    Ticker: AGDN030Y (index).
----------------------------------------------------------------------------------------------------------------
3 MO Federal Agency COF               Three-month Federal Agency Cost of    Bloomberg Generic 3 Month Agency
                                       Funds, monthly simple average of      Discount Note Yield
                                       daily rates, quoted as actual/360    Ticker: AGDN090Y (index).
----------------------------------------------------------------------------------------------------------------
6 MO Federal Agency COF               Six-month Federal Agency Cost of      Bloomberg Generic 6 Month Agency
                                       Funds, monthly simple average of      Discount Note Yield
                                       daily rates, quoted as actual/360    Ticker: AGDN180Y (index).
----------------------------------------------------------------------------------------------------------------
1 YR Federal Agency COF               One-year Federal Agency Cost of       Bloomberg Generic 12 Month Agency
                                       Funds, monthly simple average of      Discount Note Yield.
                                       daily rates, quoted as actual/360    Ticker: AGDN360Y (index).
----------------------------------------------------------------------------------------------------------------
2 YR Federal Agency COF               Two-year Federal Agency Fair Market   Bloomberg Generic 2 Year Agency Fair
                                       Yield, monthly simple average of      Market Yield.
                                       daily rates                          Ticker: CO842Y (index).
----------------------------------------------------------------------------------------------------------------
3 YR Federal Agency COF               Three-year Federal Agency Fair        Bloomberg Generic 3 Year Agency Fair
                                       Market Yield, monthly simple          Market Yield.
                                       average of daily rates               Ticker: CO843Y (index).
----------------------------------------------------------------------------------------------------------------
5 YR Federal Agency COF               Five-year Federal Agency Fair Market  Bloomberg Generic 5 Year Agency Fair
                                       Yield, monthly simple average of      Market Yield.
                                       daily rates                          Ticker: CO845Y (index).
----------------------------------------------------------------------------------------------------------------
10 YR Federal Agency COF              Ten-year Federal Agency Fair Market   Bloomberg Generic 10 Year Agency
                                       Yield, monthly simple average of      Fair Market Yield.
                                       daily rates                          Ticker: CO8410Y (index).
----------------------------------------------------------------------------------------------------------------
30 YR Federal Agency COF              Thirty-year Federal Agency Fair       Bloomberg Generic 30 Year Agency
                                       Market Yield, monthly simple          Fair Market Yield.
                                       average of daily rates               Ticker: CO8430Y (index).
----------------------------------------------------------------------------------------------------------------
15 YR fixed-rate mortgage             FHLMC (Freddie Mac) contract          Bloomberg FHLMC 15 YR, 10 day
                                       interest rates for 15 YR fixed-rate   commitment rate
                                       mortgage commitments, monthly        Ticker: FHCR1510 (index).
                                       average of FHLMC (Freddie Mac)
                                       contract interest rates for 15 YR
----------------------------------------------------------------------------------------------------------------
7-year balloon mortgage rate          Seven-year balloon mortgage, equal    Computed.
                                       to the Conventional Mortgage Rate
                                       less 50 basis points
----------------------------------------------------------------------------------------------------------------
2-yr Swap                             2-yr U.S. Dollar Swap Rate, quoted    Bloomberg Ticker: USSWAP2 (index).
                                       as semi-annually fixed rate vs. 3-
                                       mo U.S. dollar
----------------------------------------------------------------------------------------------------------------

[[Page 75098]]

 
3-yr Swap                             3-yr U.S. Dollar Swap Rate, quoted    Bloomberg Ticker: USSWAP3 (Index).
                                       as semi-annually fixed rate vs. 3-
                                       mo U.S. dollar LIBOR
----------------------------------------------------------------------------------------------------------------
5-yr Swap                             5-yr U.S. Dollar Swap Rate, quoted    Bloomberg Ticker: USSWAP5 (Index).
                                       as semi-annually fixed rate vs. 3-
                                       mo U.S. dollar LIBOR
----------------------------------------------------------------------------------------------------------------
10-yr Swap                            10-yr U.S. Dollar Swap Rate, quoted   Bloomberg Ticker: USSWAP10 (Index).
                                       as semi-annually fixed rate vs. 3-
                                       mo U.S. dollar LIBOR
----------------------------------------------------------------------------------------------------------------
30-yr Swap                            30-yr U.S. Dollar Swap Rate, quoted   Bloomberg Ticker: USSWAP30 (Index).
                                       as semi-annually fixed rate vs. 3-
                                       mo U.S. dollar LIBOR
----------------------------------------------------------------------------------------------------------------

3.3.3 * * *

    [a] * * *

3. * * *

    b. * * *

















                 Table 3-27--Non-Treasury Interest Rates
------------------------------------------------------------------------
             Mortgage Rates                      Spread Based on
------------------------------------------------------------------------
15-year Fixed-rate Mortgage Rate         10-year CMT
------------------------------------------------------------------------
30-year Conventional Mortgage Rate       10-year CMT
------------------------------------------------------------------------
7-year Balloon Mortgage Rate             (computed from Conventional
                                          Mortgage Rate)
------------------------------------------------------------------------
Constant Maturity Mortgage Index         10-year CMT
------------------------------------------------------------------------
                    Other Non-Treasury Interest Rates
------------------------------------------------------------------------
Overnight Fed Funds                      1-month Treasury Yield
------------------------------------------------------------------------
7-day Fed Funds                          1-month Treasury Yield
------------------------------------------------------------------------
1-month LIBOR                            1-month Treasury Yield
------------------------------------------------------------------------
1-month Federal Agency Cost of Funds     1-month Treasury Yield
------------------------------------------------------------------------
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
------------------------------------------------------------------------

[[Page 75099]]

 
10-yr Swap                               10-year CMT
------------------------------------------------------------------------
30-yr Swap                               30-year CMT
------------------------------------------------------------------------

* * * * *

3.6.3.3.1 * * *

    [c] * * *
7. Reverse Mortgages. In a reverse mortgage, a borrower receives one 
or more payments from the lender and the lender is repaid with a 
lump sum when the borrower dies, sells the property or moves out of 
the home permanently. The stress test models reverse mortgages as a 
ladder of zero-coupon securities:
    a. 11 proxy securities for each reverse mortgage program are 
created.
    b. A 10% conditional payment rate is used to create the zero-
coupon securities that will mature in every year of the stress test. 
The zero-coupon securities are a laddered series of floating-rate 
coupon-bearing accreting bonds with a first payment date at 
maturity.
    c. The 11th zero-coupon security will mature three months after 
the stress test to reflect the 35% of UPB not paid down during the 
stress period.
    d. An OFHEO credit rating equivalent to AAA for the FHA insured 
programs and AA for other reverse mortgage programs is assigned.
8. Split-Rate ARM Loans. In split-rate ARM loans, the principal 
portion of the payment is based on a fixed-rate amortization 
schedule while the interest portion is based on a floating rate 
index. These multifamily loans are available as fully amortizing 
product or with a balloon feature. The stress test model does not 
provide treatment for split-rate ARM loans. Split-rate loans shall 
be treated as ARMs when they are issued without a balloon payment 
feature or as Balloon ARMs when the loans contain a balloon payment 
feature.

3.6.3.3.2 * * *

                       Table 3-32--Loan Group Inputs for Mortgage Amortization Calculation
----------------------------------------------------------------------------------------------------------------
              Variable*                                Description                              Source
----------------------------------------------------------------------------------------------------------------
                                      Rate Type (Fixed or Adjustable)                RBC Report
----------------------------------------------------------------------------------------------------------------
                                      Product Type (30/20/15-Year FRM, ARM,          RBC Report
                                       Balloon, Government, etc.)
----------------------------------------------------------------------------------------------------------------
UPBORIG                               Unpaid Principal Balance at Origination        RBC Report
                                       (aggregate for Loan Group)
----------------------------------------------------------------------------------------------------------------
UPB0                                  Unpaid Principal Balance at start of Stress    RBC Report
                                       Test (aggregate for Loan Group)
----------------------------------------------------------------------------------------------------------------
MIR0                                  Mortgage Interest Rate for the Mortgage        RBC Report
                                       Payment prior to the start of the Stress
                                       Test, or Initial Mortgage Interest Rate for
                                       new loans (weighted average for Loan Group)
                                       (expressed as a decimal per annum)
----------------------------------------------------------------------------------------------------------------
PMT0                                  Amount of the Mortgage Payment (Principal and  RBC Report
                                       Interest) prior to the start of the Stress
                                       Test, or first payment for new loans
                                       (aggregate for Loan Group)
----------------------------------------------------------------------------------------------------------------
AT                                    Original loan Amortizing Term in months        RBC Report
                                       (weighted average for Loan Group)
----------------------------------------------------------------------------------------------------------------
RM                                    Remaining term to Maturity in months (i.e.,    RBC Report
                                       number of contractual payments due between
                                       the start of the Stress Test and the
                                       contractual maturity date of the loan)
                                       (weighted average for Loan Group)
----------------------------------------------------------------------------------------------------------------
A0                                    Age immediately prior to the start of the      RBC Report
                                       Stress Test, in months (weighted average for
                                       Loan Group)
----------------------------------------------------------------------------------------------------------------
                                      Interest-only Flag                             RBC Report
----------------------------------------------------------------------------------------------------------------
RIOP                                  Remaining Interest-only period, in months      RBC Report
                                       (weighted average for loan group)
----------------------------------------------------------------------------------------------------------------
                                         Additional Interest Rate Inputs
----------------------------------------------------------------------------------------------------------------
GFR                                   Guarantee Fee Rate (weighted average for Loan  RBC Report
                                       Group) (decimal per annum)
----------------------------------------------------------------------------------------------------------------
SFR                                   Servicing Fee Rate (weighted average for Loan  RBC Report
                                       Group) (decimal per annum)
----------------------------------------------------------------------------------------------------------------
                 Additional Inputs for ARMs (weighted averages for Loan Group, except for Index)
----------------------------------------------------------------------------------------------------------------
INDEXm                                Monthly values of the contractual Interest     section 3.3, Interest Rates
                                       Rate Index
----------------------------------------------------------------------------------------------------------------
LB                                    Look-Back period, in months                    RBC Report
----------------------------------------------------------------------------------------------------------------
MARGIN                                Loan Margin (over index), decimal per annum    RBC Report
----------------------------------------------------------------------------------------------------------------
RRP                                   Rate Reset Period, in months                   RBC Report
----------------------------------------------------------------------------------------------------------------
                                      Rate Reset Limit (up and down), decimal per    RBC Report
                                       annum
----------------------------------------------------------------------------------------------------------------
                                      Maximum Rate (life cap), decimal per annum     RBC Report
----------------------------------------------------------------------------------------------------------------
                                      Minimum Rate (life floor), decimal per annum   RBC Report
----------------------------------------------------------------------------------------------------------------
NAC                                   Negative Amortization Cap, decimal fraction    RBC Report
                                       of UPBORIG
----------------------------------------------------------------------------------------------------------------
                                      Unlimited Payment Reset Period, in months      RBC Report
----------------------------------------------------------------------------------------------------------------

[[Page 75100]]

 
PRP                                   Payment Reset Period, in months                RBC Report
----------------------------------------------------------------------------------------------------------------
                                      Payment Reset Limit, as decimal fraction of    RBC Report
                                       prior payment
----------------------------------------------------------------------------------------------------------------
IRP                                   Initial Rate Period, in months                 RBC Report
----------------------------------------------------------------------------------------------------------------
* Variable name is given when used in an equation

* * * * *

3.6.3.7.2 * * *



                  Table 3-51--Inputs for Final Calculation of Stress Test Whole Loan Cash Flows
----------------------------------------------------------------------------------------------------------------
              Variable                                 Description                              Source
----------------------------------------------------------------------------------------------------------------
UPBm                                  Aggregate Unpaid Principal Balance in month m  section 3.6.3.3.4, Mortgage
                                       = 0 ... RM                                     Amortization Schedule
                                                                                      Outputs
----------------------------------------------------------------------------------------------------------------
NYRm                                  Net Yield Rate in month m = 1 ... RM           section 3.6.3.3.4, Mortgage
                                                                                      Amortization Schedule
                                                                                      Outputs
----------------------------------------------------------------------------------------------------------------
GF                                    Guarantee Fee rate (weighted average for Loan  RBC Report
                                       Group) (decimal per annum)
----------------------------------------------------------------------------------------------------------------
PTRm                                  Pass-Through Rate in month m = 1 ... RM        section 3.6.3.3.4, Mortgage
                                                                                      Amortization Schedule
                                                                                      Outputs
----------------------------------------------------------------------------------------------------------------
SPm                                   Aggregate Scheduled Principal (Amortization)   section 3.6.3.3.4, Mortgage
                                       in month m = 1 ... RM                          Amortization Schedule
                                                                                      Outputs
----------------------------------------------------------------------------------------------------------------
PREm\SF\                              Prepaying Fraction of original Loan Group in   section 3.6.3.4.4, Single
PREm\MF\                               month                                          Family Default and
                                      m = 1 ... RM                                    Prepayment Outputs and,
                                                                                     section 3.6.3.5.4,
                                                                                      Multifamily Default and
                                                                                      Prepayment Outputs
----------------------------------------------------------------------------------------------------------------
DEFm\SF\                              Defaulting Fraction of original Loan Group in  section 3.6.3.4.4, Single
DEFm\MF\                               month                                          Family Default and
                                      m = 1 ... RM                                    Prepayment Outputs and,
                                                                                     section 3.6.3.5.4,
                                                                                      Multifamily Default and
                                                                                      Prepayment Outputs
----------------------------------------------------------------------------------------------------------------
PERFm\SF\                             Performing Fraction of original Loan Group in  section 3.6.3.4.4, Single
PERFm\MF\                              month                                          Family Default and
                                      m = 1 ... RM                                    Prepayment Outputs and,
                                                                                     section 3.6.3.5.4,
                                                                                      Multifamily Default and
                                                                                      Prepayment Outputs
----------------------------------------------------------------------------------------------------------------
FDS                                   Float Days for Scheduled Principal and         RBC Report
                                       Interest (weighted average for Loan Group)
----------------------------------------------------------------------------------------------------------------
FDP                                   Float Days for Prepaid Principal (weighted     RBC Report
                                       average for Loan Group)
----------------------------------------------------------------------------------------------------------------
FERm                                  Float Earnings Rate in month m = 1 ... RM      1 week Fed Funds Rate;
                                                                                      section 3.3, Interest
                                                                                      Rates
----------------------------------------------------------------------------------------------------------------
LSm\SF\                               Loss Severity Rate in month m = 1 ... RM       section 3.6.3.6.5.2, Single
                                                                                      Family and Multifamily Net
                                                                                      Loss Severity Outputs
----------------------------------------------------------------------------------------------------------------
FREP                                  Fraction Repurchased (weighted average for     RBC Report
                                       Loan Group) (decimal)
----------------------------------------------------------------------------------------------------------------

* * * * *

3.6.3.8.2 * * *



                               Table 3-54--Inputs for Whole Loan Accounting Flows
----------------------------------------------------------------------------------------------------------------
              Variable                                 Description                              Source
----------------------------------------------------------------------------------------------------------------
RM                                    Remaining Term to Maturity in months           RBC Report
----------------------------------------------------------------------------------------------------------------
UPD0                                  Sum of all unamortized discounts, premiums,    RBC Report
                                       fees, commissions, etc. for the loan group,
                                       such that the unamortized balance equals the
                                       book value minus the face value for the loan
                                       group at the start of the Stress Test,
                                       adjusted by the Unamortized Balance Scale
                                       Factor
----------------------------------------------------------------------------------------------------------------
NYR0                                  Net Yield Rate at time zero                    section 3.6.3.3.4, Mortgage
                                                                                      Amortization Schedule
                                                                                      Outputs
----------------------------------------------------------------------------------------------------------------
PUPBm                                 Performing Loan Group UPB in months m = 0 ...  section 3.6.3.7.4, Stress
                                       RM                                             Test Whole Loan Cash Flow
                                                                                      Outputs
----------------------------------------------------------------------------------------------------------------

[[Page 75101]]

 
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 ...    section 3.6.3.7.4, Stress
                                       RM                                             Test Whole Loan Cash Flow
                                                                                      Outputs
----------------------------------------------------------------------------------------------------------------
SUPD0                                 The sum of all unamortized discounts,          RBC Report
                                       premiums, fees, commissions, etc. associated
                                       with the securities modeled using the Wtd
                                       Ave Percent Repurchased, such that the
                                       unamortized balance equals the book value
                                       minus the face value for the relevant
                                       securities at the start of the Stress Test,
                                       adjusted by the percent repurchased and the
                                       Security Unamortized Balance Scale Factor
----------------------------------------------------------------------------------------------------------------

* * * * *

3.7.2.1.1 * * *



                          Table 3-56--RBC Report Inputs for Single Class MBS Cash Flows
----------------------------------------------------------------------------------------------------------------
                  Variable                                               Description
----------------------------------------------------------------------------------------------------------------
Pool Number                                  A unique number identifying each mortgage pool
----------------------------------------------------------------------------------------------------------------
CUSIP Number                                 A unique number assigned to publicly traded securities by the
                                              Committee on Uniform Securities Identification Procedures
----------------------------------------------------------------------------------------------------------------
Issuer                                       Issuer of the mortgage pool
----------------------------------------------------------------------------------------------------------------
Original UPB Amount                          Original pool balance multiplied by the Enterprise's percentage
                                              ownership
----------------------------------------------------------------------------------------------------------------
Current UPB Amount                           Initial Pool balance (at the start of the Stress Test), multiplied
                                              by the Enterprise's percentage ownership
----------------------------------------------------------------------------------------------------------------
Product Code                                 Mortgage product type for the pool
----------------------------------------------------------------------------------------------------------------
Security Rate Index                          If the rate on the security adjusts over time, the index that the
                                              adjustment is based on
----------------------------------------------------------------------------------------------------------------
Unamortized Balance                          The sum of all unamortized discounts, premiums, fees, commissions,
                                              etc., such that the unamortized balance equals book value minus
                                              face value, adjusted by the Unamortized Balance Scale Factor
----------------------------------------------------------------------------------------------------------------
Wt Avg Original Amortization Term            Original amortization term of the underlying loans, in months
                                              (weighted average for underlying loans)
----------------------------------------------------------------------------------------------------------------
Wt Avg Remaining Term of Maturity            Remaining Maturity of the underlying loans at the start of the
                                              Stress Test (weighted average for underlying loans)
----------------------------------------------------------------------------------------------------------------
Wt Avg Age                                   Age of the underlying loans at the start of the Stress Test
                                              (weighted average for underlying loans)
----------------------------------------------------------------------------------------------------------------
Wt Avg Current Mortgage Interest rate        Mortgage Interest Rate of the underlying loans at the start of the
                                              Stress Test (weighted average for underlying loans)
----------------------------------------------------------------------------------------------------------------
Wt Avg Pass-Through Rate                     Pass-Through Rate of the underlying loans at the start of the
                                              Stress Test (weighted average for underlying loans)
----------------------------------------------------------------------------------------------------------------
Wtg Avg Original Mortgage Interest Rate      The current UPB weighted average Mortgage Interest Rate in effect
                                              at Origination for the loans in the pool
----------------------------------------------------------------------------------------------------------------
Security Rating                              The most current rating issued by any Nationally Recognized
                                              Statistical Rating Organization (NRSRO) for this security, as of
                                              the reporting date. In the case of a ``split'' rating, the lowest
                                              rating should be given
----------------------------------------------------------------------------------------------------------------
Wt Avg Gross Margin                          Gross margin for the underlying loans (ARM MBS only) (weighted
                                              average for underlying loans)
----------------------------------------------------------------------------------------------------------------
Wt Avg Net Margin                            Net margin (used to determine the security rate for ARM MBS)
                                              (weighted average for underlying loans)
----------------------------------------------------------------------------------------------------------------
Wt Avg Rate Reset Period                     Rate reset period in months (ARM MBS only) (weighted average for
                                              underlying loans)
----------------------------------------------------------------------------------------------------------------
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)
----------------------------------------------------------------------------------------------------------------

[[Page 75102]]

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

[[Page 75103]]

 
Principal Payment Window Ending Date, Up-    The month in the Stress Test that principal payment is expected to
 Rate Scenario                                end for the security under the statutory ``up'' interest rate
                                              scenario, according to Enterprise projections
----------------------------------------------------------------------------------------------------------------
Security Rating                              The most current rating issued by any Nationally Recognized
                                              Statistical Rating Organization (NRSRO) for this security, as of
                                              the reporting date. In the case of a ``split'' rating, the lowest
                                              rating should be given.
----------------------------------------------------------------------------------------------------------------
Security Rate Index                          If the rate on the security adjusts over time, the index on which
                                              the adjustment is based
----------------------------------------------------------------------------------------------------------------
Security Rate Index Coefficient              If the rate on the security adjusts over time, the coefficient is
                                              the number used to multiply by the value of the index
----------------------------------------------------------------------------------------------------------------
Security Rate Index Spread                   If the rate on the security adjusts over time, the spread is added
                                              to the value of the index multiplied by the coefficient to
                                              determine the new rate
----------------------------------------------------------------------------------------------------------------
Security Rate Adjustment Frequency           The number of months between rate adjustments
----------------------------------------------------------------------------------------------------------------
Security Interest Rate Ceiling               The maximum rate (lifetime cap) on the security
----------------------------------------------------------------------------------------------------------------
Security Interest Rate Floor                 The minimum rate (lifetime floor) on the security
----------------------------------------------------------------------------------------------------------------

* * * * *

3.8.2 * * *

    [a] * * *


                        Table 3-66--Input Variables for Nonmortgage Instrument Cash flows
----------------------------------------------------------------------------------------------------------------
             Data elements                                             Description
----------------------------------------------------------------------------------------------------------------
Amortization Methodology Code            Enterprise method of amortizing deferred balances (e.g., straight line)
----------------------------------------------------------------------------------------------------------------
Asset ID                                 CUSIP or Reference Pool Number identifying the asset underlying a
                                          derivative position
----------------------------------------------------------------------------------------------------------------
Asset Type Code                          Code that identifies asset type used in the commercial information
                                          service (e.g., ABS, Fannie Mae pool, Freddie Mac pool)
----------------------------------------------------------------------------------------------------------------
Associated Instrument ID                 Instrument ID of an instrument linked to another instrument
----------------------------------------------------------------------------------------------------------------
Coefficient                              Indicates the extent to which the coupon is leveraged or de-leveraged
----------------------------------------------------------------------------------------------------------------
Compound Indicator                       Indicates if interest is compounded
----------------------------------------------------------------------------------------------------------------
Compounding Frequency                    Indicates how often interest is compounded
----------------------------------------------------------------------------------------------------------------
Counterparty Credit Rating               NRSRO's rating for the counterparty
----------------------------------------------------------------------------------------------------------------
Counterparty Credit Rating Type          An indicator identifying the counterparty's credit rating as short-term
                                          (`S') or long-term (`L')
----------------------------------------------------------------------------------------------------------------
Counterparty ID                           Enterprise counterparty tracking ID
----------------------------------------------------------------------------------------------------------------
Country Code                             Standard country codes in compliance with Federal Information
                                          Processing Standards Publication 10-4
----------------------------------------------------------------------------------------------------------------
Credit Agency Code                       Identifies NRSRO (e.g., Moody's)
----------------------------------------------------------------------------------------------------------------
Current Asset Face Amount                Current face amount of the asset underlying a swap
----------------------------------------------------------------------------------------------------------------
Current Coupon                           Current coupon or dividend rate of the instrument
----------------------------------------------------------------------------------------------------------------
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)
----------------------------------------------------------------------------------------------------------------

[[Page 75104]]

 
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
----------------------------------------------------------------------------------------------------------------

[[Page 75105]]

 
Principal Currency Code                  Indicates currency in which principal payments are paid or received
----------------------------------------------------------------------------------------------------------------
Principal Factor Amount                  EOP Principal Balance expressed as a percentage of Original Face
----------------------------------------------------------------------------------------------------------------
Principal Payment Date                   A valid date identifying the date that principal is paid
----------------------------------------------------------------------------------------------------------------
Settlement Date                          A valid date identifying the date the settlement occurred
----------------------------------------------------------------------------------------------------------------
Spread                                   An amount added to an index to determine an instrument's interest rate
----------------------------------------------------------------------------------------------------------------
Start Date                               The date, spot or forward, when some feature of a financial contract
                                          becomes effective (e.g., Call Date), or when interest payments or
                                          receipts begin to be calculated
----------------------------------------------------------------------------------------------------------------
Strike Rate                              The price or rate at which an option begins to have a settlement value
                                          at expiration, or, for interest-rate caps and floors, the rate that
                                          triggers interest payments
----------------------------------------------------------------------------------------------------------------
Submitting Entity                        Indicates which Enterprise is submitting information
----------------------------------------------------------------------------------------------------------------
Trade ID                                 Unique code identifying the trade of an instrument
----------------------------------------------------------------------------------------------------------------
Transaction Code                         Indicates the transaction that an Enterprise is initiating with the
                                          instrument (e.g., buy, issue reopen)
----------------------------------------------------------------------------------------------------------------
Transaction Date                         A valid date identifying the date the transaction occurred
----------------------------------------------------------------------------------------------------------------
UPB Scale Factor                         Factor applied to UPB to adjust for timing differences
----------------------------------------------------------------------------------------------------------------
Unamortized Balances Scale Factor        Factor applied to Unamortized Balances to adjust for timing differences
----------------------------------------------------------------------------------------------------------------

* * * * *

3.8.3.6.2 * * *

    [a] * * *
    [b] * * *
    [c] * * *
    [d] Futures and Options on Futures also require special 
treatment:
1. Settle positions on their expiration dates. Exercise only in-the-
money options (settlement value greater than zero).
2. Settle all contracts for cash
3. Calculate the cash settlement amount--the change in price of a 
contract from the contract trade date to its expiration date. 
Calculate the price on the expiration date based on stress test 
interest rates (or, as necessary, forward rates extrapolated from 
these rates).
4. Amortize amounts received or paid at the expiration date into 
income or expense on a straight-line basis over the life of the 
underlying instrument (in the case of an option on a futures 
contract, the life of the instrument underlying the futures 
contract).
5. Amortize an option premium on a straight-line basis over the life 
of the option. (Amortize any remaining balances upon option 
exercise.)
    [e] Swaptions also require special treatment:
1. Assume swap settlement (i.e., initiation of the underlying swap) 
when a swap option is exercised.
2. Calculate a ``normalized'' fixed-pay coupon by subtracting the 
spread over the index, if any, from the coupon on the fixed-rate 
swap leg.
3. For all exercise types (American, Bermudan, and European), 
consistent with RBC Rule section 3.8.3.7, assume exercise by the 
party holding the swap option if the equivalent maturity Enterprise 
Cost of Funds is more than
    a. 50 basis points above the normalized fixed-pay coupon, for a 
pay-fixed swaption (a call or `payor' swaption), or
    b. 50 basis points below the normalized fixed pay coupon for a 
receive-fixed swaption (a put or `receiver' swaption).
4. Amortize option premiums on a straight-line basis over the option 
term. (Amortize any remaining balances upon option exercise).
    [f] CPI-Linked Instruments also require special treatment. The 
stress test lacks the ability to accommodate floating-rate 
instruments that reset in response to changes in the consumer price 
index (CPI) as published by the Bureau of Labor Statistics. 
Enterprise issuance of CPI-linked instruments is tied to swap market 
transactions intended to create desired synthetic debt structure and 
terms. In such cases, the true economic position nets to the payment 
terms of the related derivative contract. Accordingly, in order to 
accommodate and address the existence of CPI-linked instruments in 
the Enterprises' portfolios, the net synthetic position shall be 
evaluated in the stress test. That is, for CPI-linked instruments 
tied to swap transactions that are formally linked in a hedge 
accounting relationship, the Enterprise should substitute the CPI-
linked instrument's coupon payment terms with those of the related 
swap contract.
    [g] Pre-refunded municipal bonds also require special 
treatments. Pre-refunded municipal bonds are collateralized by 
securities that are structured to fund all the cash flows of the 
refunded municipal bonds until the bonds are callable. Since the 
call date for the bonds, also referred to as the pre-refunded date, 
is a more accurate representation of the payoff date than the 
contractual maturity date of the bonds, the stress test models the 
bonds to mature on the call date.
* * * * *

3.9.2 * * *

            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
------------------------------------------------------------------------

[[Page 75106]]

 
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