[Federal Register Volume 67, Number 212 (Friday, November 1, 2002)]
[Rules and Regulations]
[Pages 66533-66540]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 02-26863]
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DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT
Office of Federal Housing Enterprise Oversight
12 CFR Part 1750
RIN 2550-AA26
Risk-Based Capital; Technical Amendment
AGENCY: Office of Federal Housing Enterprise Oversight, HUD.
ACTION: Final rule.
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SUMMARY: The Office of Federal Housing Enterprise Oversight (OFHEO) is
adopting technical amendments to Appendix A to Subpart B of 12 CFR part
1750 Risk-Based Capital. The amendments are intended to enhance the
accuracy of the calculation of the
[[Page 66534]]
risk-based capital requirement for the Enterprises.
EFFECTIVE DATE: November 1, 2002.
FOR FURTHER INFORMATION CONTACT: Jeannine Schroeder, Manager of
Operations, Office of Risk Analysis and Model Development, telephone
(202) 414-8881 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
OFHEO published a final regulation setting forth a risk-based
capital stress test on September 13, 2001, 12 CFR part 1750 (the Rule),
which formed the basis for determining the risk-based capital
requirement for the federally sponsored housing enterprises--Federal
National Mortgage Association (Fannie Mae) and Federal Home Loan
Mortgage Corporation (Freddie Mac) (collectively, the Enterprises).\1\
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\1\ 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).
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On September 12, 2002, OFHEO published a notice of proposed
rulemaking (NPRM), 67 FR 57760, which proposed twelve technical and
corrective amendments to the Rule. One commenter, Freddie Mac,
expressed concern regarding the appropriate effective date for a
proposed technical amendment that corrected a table that utilized
original loan-to-value ratios rather than amortized original loan-to-
value ratios (amendment number eight in the list of 12 amendments in
the preamble of the NPRM). Freddie Mac also requested a delay in the
effective date for two amendments relating to the implementation of
Financial Accounting Standard 133 (FAS 133) in the Rule (amendments
numbered 11 and 12 in the list of 12 amendments in the preamble of the
NPRM).\2\ OFHEO also received comments requesting additional time to
comment upon these two amendments. Subsequently, OFHEO reopened and
extended the comment period regarding the two FAS 133-related proposed
amendments, noting that it might move to final action on any of the
other ten.\3\ OFHEO is also reviewing, and will delay action on, a
proposed technical amendment regarding the definition of ``unamortized
balance'' (amendment number seven in the list of 12 amendments in the
preamble of the NPRM). OFHEO has determined to adopt as final
immediately, the following eight proposed amendments as to which there
were no issues remaining and to defer final action on the other four
proposed amendments until after the extended comment period closes on
October 29, 2002.
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\2\ Financial Account Standards Board Statement of Financial
Accounting Standard 133, ``Accounting for Derivative Instruments and
Hedging Activities,'' June 1998.
\3\ Risk-Based Capital, 67 FR 61300 (September 20, 2002).
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(1) Provisions relating to new activities are updated to cross-
reference the Prompt Supervisory Response and Corrective Action
regulation, 12 CFR part 1777, in paragraph 3.11.3[c] and to correct a
typographical error in paragraph 3.11.2[a];
(2) Out-of-date third party sources of information related to
interest rate indexes (e.g. 30-year CMT, Bloomberg Tickers) are updated
to reflect currently available indexes and to update the Rule to
incorporate a reference to the applicable U.S. Treasury Department
methodology. Specifically, the 30-year constant maturity yield is no
longer reported by the Federal Reserve in the H.15 Release. In its
place, the U.S. Treasury Department has developed a methodology using
its ``Long-Term Average Rate'' and ``Extrapolation Factors'' designed
to generate a substitute for the 30-year CMT yield series discontinued
in February 2002. Similarly, the Bloomberg tickers for the Federal
Agency Cost of Funds are being updated. Table 3-18 and paragraphs
3.3.1[b] and 3.3.2 are amended to reflect these changes;
(3) Credit Ratings in Table 3-30 are updated to include certain
credit ratings used in the marketplace that were not listed in the
original table. Specifically, Moody's assigns an additional rating from
VMIG1 through VMIG3 to quantify the risks of the demand feature of
variable-rate demand obligations and Standard & Poor's rates short term
issuances as SP-1+, SP-1, SP-2, and SP-3;
(4) Paragraph 3.6.3.4.3.1 [a] 3. a. on single family default and
prepayment explanatory variables is replaced in full, including
equations, to correct the parenthetical (q= -7, -6,...0, 1,...40);
(5) Table 3-35, in which the explanatory variable categories for
Relative Spread (RSq) in the explanatory variable column
were identified incorrectly, is replaced and a typographical error in
paragraph 3.6.3.6.3.3[a]1. is corrected;
(6) The equation related to mortgage credit enhancement procedures
at paragraph 3.6.3.6.4.3 is corrected to reflect the fact that in
extreme circumstances (i.e., when defaults are zero), an equation in
section 3.6.3.6.4.3 Mortgage Credit Enhancement Procedures produces
``divide by zero'' errors in the computer code;
(7) A typographical error in the equation in 3.7.3.1[g]2. for
calculating haircuts for mortgage backed securities is corrected by
changing a specified addition sign (+) to a multiplication sign (x);
and
(8) Table 3-68 is revised to reflect that the Table relates to long
caps and floors.
In order to make these eight adjustments applicable to the first
fully enforceable risk-based capital calculation for each Enterprise,
OFHEO has determined that the amendments shall be effective immediately
and shall apply to any data submissions from the Enterprises received
after the effective date. Waiver of the normal 30-day delay in
effective date is in the public interest because these changes rectify
errors in the code and in the language of the rule that could mislead
the public if left unamended. In some cases they simply reflect changes
that have already been implemented in the computer software used to
implement the stress test and are necessary for the stress test to be
operational. Moreover, both Enterprises have participated in data and
software validation processes with OFHEO for the past year and have
been aware of the pendency of these technical changes, which have no
material impact on capital requirements, for many months.
Regulatory Impact
Executive Order 12866, Regulatory Planning and Review
This document contains amendments to the Rule, which was designated
a major rule by the Office of Management and Budget (OMB). The
amendments address provisions of the Rule that are out-of-date,
incorrect or contain typographical errors. OFHEO has determined that
the amendments to the Rule are not economically significant for
purposes of Executive Order 12866. Further, they implement technical
changes and do not involve novel policy issues. Therefore, these
amendments are not a ``significant rule'' under Executive Order 12866.
Paperwork Reduction Act
These amendments do not contain any information collection
requirements that require the approval of the Office of Management and
Budget 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
[[Page 66535]]
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
regulation under the Regulatory Flexibility Act. The General Counsel of
OFHEO certifies that this regulation is not likely to have a
significant economic impact on a substantial number of small business
entities because the regulation is applicable only to the Enterprises,
which are not small entities for purposes of the Regulatory Flexibility
Act.
List of Subjects in 12 CFR Part 1750
Capital classification, Mortgages, Risk-based capital.
Accordingly, for the reasons stated in the preamble, OFHEO amends
12 CFR part 1750 as follows:
PART 1750--CAPITAL
1. The authority citation for part 1750 continues to read as
follows:
Authority: 12 U.S.C. 4513, 4514, 4611, 4612, 4614, 4615, 4618.
2. Amend Appendix A to subpart B of part 1750 as follows:
a. Revise Table 3-18 in paragraph 3.1.3.1[c];
b. Revise paragraph 3.3.1[b];
c. In paragraph 3.3.2, add the following sentence after the word
``Appendix.'': ``Inputs for the 30-year CMT yield after February 15,
2002 are estimated according to the Department of Treasury methodology
using long-term average rates and extrapolation factors.''
d. Revise Table 3-30 in paragraph 3.5.3[a]2.a.;
e. Revise paragraph 3.6.3.4.3.1[a]3.a.;
f. Revise Table 3-35 in paragraph 3.6.3.4.3.2[a]1.;
g. In paragraph 3.6.3.6.3.3[a]1., remove the term
``GLm'' both places it appears and replace it with the term
``GLSm'';
h. In paragraph 3.6.3.6.4.3[a]5., after the words ``Defaulted
UPB:'' and before the equation, add the following equation:
[GRAPHIC] [TIFF OMITTED] TR85AD02.000
i. Revise paragraph 3.7.3.1[g]2.;
j. Revise Table 3-68 in paragraph 3.8.3.6.1[e]2.;
k. In paragraph 3.11.2[a], remove the cross-reference ``1750.2(c)''
and replace it with the cross-reference ``1750.12(c)''; and
l. Revise paragraph 3.11.3[c].
The revisions and additions read as follows:
Appendix A to Subpart B of Part 1750--Risk-Based Capital Test
Methodology and Specifications
* * * * *
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 U.S.
monthly simple average of daily 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 Federal Reserve H.15 Release.
Treasury 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 Federal Reserve H.15 Release.
Treasury 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
---------------------------------------
[[Page 66536]]
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
bond equivalent yield; after Treasury.
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
---------------------------------------
Overnight Fed Funds (Effective) Overnight effective Federal Funds Federal Reserve H.15 Release.
rate, monthly simple average of
daily rate
---------------------------------------
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
---------------------------------------
FHLB 11th District COF 11th District (San Francisco) Bloomberg Cost of Funds for the
weighted average cost of funds for 11th 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 British Bankers Association.
Offered Rate, average of bid and Bloomberg Ticker: US0003M (index).
asked, 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
Yield, monthly simple average of Fair Market Yield.
daily rates Ticker: CO842Y (index).
---------------------------------------
3 YR Federal Agency COF Three-year Federal Agency Fair Bloomberg Generic 3 Year Agency
Market Yield, monthly simple Fair Market Yield.
average of daily rates Ticker: CO843Y (index).
---------------------------------------
5 YR Federal Agency COF Five-year Federal Agency Fair Bloomberg Generic 5 Year Agency
Market Yield, monthly simple Fair Market Yield.
average of daily rates Ticker: CO845Y (index).
---------------------------------------
[[Page 66537]]
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- commitment rate.
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
----------------------------------------------------------------------------------------------------------------
* * * * *
3.3.1 * * *
[b] The process for determining Interest Rates is as follows:
first, identify the values for the necessary Interest Rates at time
zero; second, project the ten-year CMT for each month of the Stress
Period as specified in the 1992 Act; third, project the 1-month
Treasury yield, the 3-month, 6-month, 1-, 2-, 3-, 5-, 20-year, and
30-year CMTs; fourth, project non-treasury Interest Rates, including
the Federal Agency Cost of Funds Index; and fifth, project the
Enterprises Cost of Funds Index, which provides borrowing rates for
the Enterprises during the Stress Period, by increasing the Agency
Cost of Funds Index by 10 basis points for the last 108 months of
the Stress Test. Guidance in determining interest rates is available
under OFHEO Guideline No. 402, ``Risk Based Capital Process for
Capturing and Utilizing Interest Rates Files,'' which is available
on OFHEO's Web site, http://www.OFHEO.Gov.
* * * * *
3.5.3 * * *
[a] * * *
2. * * *
a. * * *
Table 3-30--Rating Agencies Mappings to OFHEO Ratings Categories
----------------------------------------------------------------------------------------------------------------
OFHEO Ratings Category AAA AA A BBB Below BBB and Unrated
----------------------------------------------------------------------------------------------------------------
Standard & Poor's Long-Term..... AAA AA A BBB Below BBB and Unrated
---------------------------------
Fitch Long-Term................. AAA AA A BBB Below BBB and Unrated
---------------------------------
Moody's Long-Term............... Aaa Aa A Baa Below Baa and Unrated
---------------------------------
Standard & Poor's Short-Term.... A-1+ A-1 A-2 A-3 SP-3, B or Below and
SP-1+ SP-1 SP-2 Unrated
---------------------------------
Fitch Short-Term................ F-1+ F-1 F-2 F-3 B and Below and Unrated
---------------------------------
Moody's \1\..................... Prime-1 Prime-1 Prime-2 Prime-3 Not Prime, SG and
MIG1 MIG1 MIG2 MIG3 Unrated
VMIG1 VMIG1 VMIG2 VMIG3
---------------------------------
Fitch Bank Individual Ratings... A B C D E
A/B B/C C/D D/E
---------------------------------
Moody's Bank Financial Strength A B C D E
Rating.
----------------------------------------------------------------------------------------------------------------
\1\ Any rating that appears in more than one OFHEO category column is assigned the lower OFHEO rating category.
* * * * *
3.6.3.4.3.1 * * *
[a] * * *
3. * * *
a. Compare mortgage rates for each quarter of the Stress Test
and for the eight quarters prior to the start of the stress test (q
= -7, -6,...0, 1,...40):
[GRAPHIC] [TIFF OMITTED] TR85AD02.001
Note: For this purpose, MCONm is required for the 24
months (eight quarters) prior to the start of the Stress Test. Also,
MIRm = MIR0 for m < 0.
* * * * *
3.6.3.4.3.2. * * *
[a] * * *
1. * * *
[[Page 66538]]
Table 3-35--Coefficients for Single Family Default and Prepayment Explanatory Variable
--------------------------------------------------------------------------------------------------------------------------------------------------------
30-Year Fixed-Rate Loans Adjustable-Rate Loans (ARMs) Other Fixed-Rate Loans
-----------------------------------------------------------------------------------------------
Explanatory Variable (V) Prepayment Prepayment Prepayment
Default Weight Weight Default Weight Weight Default Weight Weight
([beta]v) ([gamma]v) ([beta]v) ([gamma]v) ([beta]v) ([gamma]v)
--------------------------------------------------------------------------------------------------------------------------------------------------------
Aq
0 <= Aq <= 4 -0.6276 -0.6122 -0.7046 -0.5033 -0.7721 -0.6400
---------------------------------------------------------
5<= Aq <= 8 -0.1676 0.1972 -0.2259 0.1798 -0.2738 0.1721
---------------------------------------------------------
9<= Aq <= 12 -0.05872 0.2668 0.01504 0.2744 -0.09809 0.2317
---------------------------------------------------------
13 <= Aq <= 16 0.07447 0.2151 0.2253 0.2473 0.1311 0.1884
---------------------------------------------------------
17 <= Aq <= 20 0.2395 0.1723 0.3522 0.1421 0.3229 0.1900
---------------------------------------------------------
21 <= Aq <= 24 0.2773 0.2340 0.4369 0.1276 0.3203 0.2356
---------------------------------------------------------
25 <= Aq <= 36 0.2740 0.1646 0.2954 0.1098 0.3005 0.1493
---------------------------------------------------------
37 <= Aq <= 48 0.1908 -0.2318 0.06902 -0.1462 0.2306 -0.2357
---------------------------------------------------------
49 <= Aq -0.2022 -0.4059 -0.4634 -0.4314 -0.1614 -0.2914
---------------------------------------------------------
LTVORIG
LTVORIG <= 60 -1.150 0.04787 -1.303 0.08871 -1.280 0.02309
---------------------------------------------------------
60ORIG <=70 -0.1035 -0.03131 -0.1275 -0.005619 -0.06929 -0.02668
---------------------------------------------------------
70ORIG <= 75 0.5969 -0.09885 0.4853 -0.09852 0.6013 -0.05446
---------------------------------------------------------
75ORIG <=80 0.2237 -0.04071 0.1343 -0.03099 0.2375 -0.03835
---------------------------------------------------------
80ORIG <=90 0.2000 -0.004698 0.2576 0.004226 0.2421 -0.01433
---------------------------------------------------------
90< LTVORIG 0.2329 0.1277 0.5528 0.04220 0.2680 0.1107
---------------------------------------------------------
PNEQq
0< PNEQq <= 0.05 -1.603 0.5910 -1.1961 0.4607 -1.620 0.5483
---------------------------------------------------------
0.05< PNEQq <= 0.1 -0.5241 0.3696 -0.3816 0.2325 -0.5055 0.3515
---------------------------------------------------------
0.1< PNEQq <= 0.15 -0.1805 0.2286 -0.1431 0.1276 -0.1249 0.2178
---------------------------------------------------------
0.15< PNEQq <= 0.2 0.07961 -0.02000 -0.04819 0.03003 0.07964 -0.02137
---------------------------------------------------------
0.2< PNEQq <= 0.25 0.2553 -0.1658 0.2320 -0.1037 0.2851 -0.1540
---------------------------------------------------------
0.25< PNEQq <= 0.3 0.5154 -0.2459 0.2630 -0.1829 0.4953 -0.2723
---------------------------------------------------------
0.3< PNEQq <= 0.35 0.6518 -0.2938 0.5372 -0.2075 0.5979 -0.2714
---------------------------------------------------------
0.35< PNEQq 0.8058 -0.4636 0.7368 -0.3567 0.7923 -0.3986
---------------------------------------------------------
Bq 1.303 -0.3331 0.8835 -0.2083 1.253 -0.3244
---------------------------------------------------------
RLS
0ORIG<= 0.4 .............. -0.5130 .............. -0.4765 .............. -0.4344
---------------------------------------------------------
0.4ORIG<= 0.6 .............. -0.3264 .............. -0.2970 .............. -0.2852
---------------------------------------------------------
0.6ORIG<= 0.75 .............. -0.1378 .............. -0.1216 .............. -0.1348
---------------------------------------------------------
0.75ORIG<= 1.0 .............. 0.03495 .............. 0.04045 .............. 0.01686
---------------------------------------------------------
1.0ORIG<= 1.25 .............. 0.1888 .............. 0.1742 .............. 0.1597
---------------------------------------------------------
1.25ORIG<= 1.5 .............. 0.3136 .............. 0.2755 .............. 0.2733
---------------------------------------------------------
1.5ORIG .............. 0.4399 .............. 0.4049 .............. 0.4045
---------------------------------------------------------
[[Page 66539]]
IF 0.4133 -0.3084 0.6419 -0.3261 0.4259 -0.3035
---------------------------------------------------------
RSq
RSq <= -0.20 .............. -1.368 .............. -0.5463 .............. -1.195
---------------------------------------------------------
-0.20 q <= -0.10 .............. -1.023 .............. -0.4560 .............. -0.9741
---------------------------------------------------------
-0.10 < RSq <= 0 .............. -0.8078 .............. -0.4566 .............. -0.7679
---------------------------------------------------------
0< RSq <= 0.10 .............. -0.3296 .............. -0.3024 .............. -0.2783
---------------------------------------------------------
0.10 < RSq <= 0.20 .............. 0.8045 .............. 0.3631 .............. 0.7270
---------------------------------------------------------
0.20 < RSq <= 0.30 .............. 1.346 .............. 0.7158 .............. 1.229
---------------------------------------------------------
0.30 < RSq .............. 1.377 .............. 0.6824 .............. 1.259
---------------------------------------------------------
PSq
PSq <= -0.20 .............. .............. 0.08490 0.6613 .............. ..............
---------------------------------------------------------
-0.20 < PSq <= -0.10 .............. .............. 0.3736 0.4370 .............. ..............
---------------------------------------------------------
-0.10 < PSq <= 0 .............. .............. 0.2816 0.2476 .............. ..............
---------------------------------------------------------
0< PSq <= 0.10 .............. .............. 0.1381 0.1073 .............. ..............
---------------------------------------------------------
0.10 < PSq <= 0.20 .............. .............. -0.1433 -0.3516 .............. ..............
---------------------------------------------------------
0.20 < PSq <= 0.30 .............. .............. -0.2869 -0.5649 .............. ..............
---------------------------------------------------------
0.30 < PSq .............. .............. -0.4481 -0.5366 .............. ..............
---------------------------------------------------------
YCSq
YCSq < 1.0 .............. -0.2582 .............. -0.2947 .............. -0.2917
---------------------------------------------------------
1.0 <= YCSq < 1.2 .............. -0.02735 .............. -0.1996 .............. -0.01395
---------------------------------------------------------
1.2 <= YCSq < 1.5 .............. -0.04099 .............. 0.03356 .............. -0.03796
---------------------------------------------------------
1.5 <= YCSq .............. 0.3265 .............. 0.4608 .............. 0.3436
---------------------------------------------------------
IREFq .............. .............. 0.1084 -0.01382 .............. ..............
---------------------------------------------------------
PROD
ARMs .............. .............. 0.8151 0.2453 .............. ..............
---------------------------------------------------------
Balloon Loans .............. .............. .............. .............. 1.253 0.9483
---------------------------------------------------------
15-Year FRMs .............. .............. .............. .............. -1.104 0.07990
---------------------------------------------------------
20-Year FRMs .............. .............. .............. .............. -0.5834 0.06780
---------------------------------------------------------
Government Loans .............. .............. .............. .............. 0.9125 -0.5660
---------------------------------------------------------
BCalLTV
LTVORIG <= 60 2.045 .............. 2.045 .............. 2.045 ..............
---------------------------------------------------------
60ORIG <=70 0.3051 .............. 0.3051 .............. 0.3051 ..............
---------------------------------------------------------
70ORIG <= 75 -0.07900 .............. -0.07900 .............. -0.07900 ..............
---------------------------------------------------------
75ORIG <=80 -0.05519 .............. -0.05519 .............. -0.05519 ..............
---------------------------------------------------------
80ORIG <=90 -0.1838 .............. -0.1838 .............. -0.1838 ..............
---------------------------------------------------------
90< LTVORIG 0.2913 .............. 0.2913 .............. 0.2913 ..............
---------------------------------------------------------
Intercept ([beta]0, [gamma]0) -6.516 -4.033 -6.602 -3.965 -6.513 -3.949
--------------------------------------------------------------------------------------------------------------------------------------------------------
[[Page 66540]]
* * * * *
3.7.3.1 * * *
[g] * * *
2. Compute:
[GRAPHIC] [TIFF OMITTED] TR85AD02.002
* * * * *
3.8.3.6.1 * * *
[e] * * *
2. * * *
Table 3-68--Calculation of Monthly Cash Flows for Long Caps and Floors
------------------------------------------------------------------------
Instrument Cash Flows
------------------------------------------------------------------------
Cap (I-K) x N x D if I K; O if I <=K
-------------------------------------------
Floor (K-I) x N x D if I < K; O if
I =K
------------------------------------------------------------------------
* * * * *
3.11.3 * * *
[c] OFHEO will provide the Enterprise with its estimate of the
capital treatment as soon as possible after receiving notice of the
New Activity. In any event, the Enterprise will be notified of the
capital treatment in accordance with the notice of proposed capital
classification provided for in Sec. 1777.21 of this chapter.
* * * * *
Dated: October 17, 2002.
Armando Falcon, Jr.
Director, Office of Federal Housing Enterprise Oversight.
[FR Doc. 02-26863 Filed 10-31-02; 8:45 am]
BILLING CODE 4220-01-P