[Federal Register Volume 71, Number 122 (Monday, June 26, 2006)]
[Proposed Rules]
[Pages 36231-36252]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 06-5330]


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DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT

Office of Federal Housing Enterprise Oversight

12 CFR Part 1750

RIN 2550-AA35


Risk-Based Capital Regulation Amendment

AGENCY: Office of Federal Housing Enterprise Oversight, HUD.

ACTION: Notice of Proposed Rulemaking.

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

SUMMARY: The Office of Federal Housing Enterprise Oversight (OFHEO) is 
proposing technical amendments to Appendix A to Subpart B Risk-Based 
Capital Regulation Methodology and Specifications of 12 CFR part 1750, 
(Risk-Based Capital Regulation). The proposed amendments are intended 
to enhance the accuracy and transparency of the calculation of the 
risk-based capital requirement for the Enterprises and updates the 
Risk-Based Capital Regulation to incorporate approved new activities 
treatments.

DATES: Comments regarding this Notice of Proposed Rulemaking must be 
received in writing on or before July 26, 2006. For additional 
information, see SUPPLEMENTARY INFORMATION.

ADDRESSES: You may submit your comments on the proposed rulemaking, 
identified by ``RIN 2550-AA35,'' by any of the following methods:
     U.S. Mail, United Parcel Post, Federal Express, or Other 
Mail Service: The mailing address for comments is: Alfred M. Pollard, 
General Counsel, Attention: Comments/RIN 2550-AA35, Office of Federal 
Housing Enterprise Oversight, Fourth Floor, 1700 G Street, NW., 
Washington, DC 20552.
     Hand Delivery/Courier: The hand delivery address is: 
Alfred M. Pollard, General Counsel, Attention: Comments/RIN 2550-AA35, 
Office of Federal Housing Enterprise Oversight, Fourth Floor, 1700 G 
Street, NW., Washington, DC 20552. The package should be logged at the 
Guard Desk, First Floor, on business days between 9 a.m. and 5 p.m.
     E-mail: Comments to Alfred M. Pollard, General Counsel, 
may be sent by e-mail at [email protected]. Please include ``RIN 
2550-AA35'' in the subject line of the message.

FOR FURTHER INFORMATION CONTACT: Isabella W. Sammons, Deputy General 
Counsel, telephone (202) 414-3790 or Jamie Schwing, Associate General 
Counsel, telephone (202) 414-3787 (not toll free numbers), Office of 
Federal Housing Enterprise Oversight, Fourth Floor, 1700 G Street, NW., 
Washington, DC 20552. The telephone number for the Telecommunications 
Device for the Deaf is (800) 877-8339.

SUPPLEMENTARY INFORMATION:

I. Comments

    The Office of Federal Housing Enterprise Oversight (OFHEO) invites 
comments on all aspects of the proposed regulation, and will take all 
comments into consideration before issuing the final regulation. OFHEO 
requests that comments submitted in hard copy also be accompanied by 
the electronic version in Microsoft[supreg] Word or in portable 
document format (PDF) on 3.5'' disk or CD-ROM.
    Copies of all comments will be posted on the OFHEO Internet web 
site at http://www.ofheo.gov. In addition, copies of all comments 
received will be available for examination by the public on business 
days between the hours of 10 a.m. and 3 p.m., at the Office of Federal 
Housing Enterprise Oversight, Fourth Floor, 1700 G Street, NW., 
Washington, DC 20552. To make an appointment to inspect comments, 
please call the Office of General Counsel at (202) 414-3751.

II. Background

    Title XIII of the Housing and Community Development Act of 1992, 
Pub. L. 102-550, titled the Federal Housing Enterprise Financial Safety 
and Soundness Act of 1992 (Act) (12 U.S.C. 4501 et seq.) established 
OFHEO as an independent office within the Department of Housing and 
Urban Development to ensure that the Federal National Mortgage 
Association (Fannie Mae) and the Federal Home Loan Mortgage Corporation 
(Freddie Mac) (collectively, the Enterprises) are adequately 
capitalized, operate safely and soundly, and comply with applicable 
laws, rules and regulations.
    In furtherance of its regulatory responsibilities, OFHEO published 
a final regulation setting forth a risk-based capital test which forms 
the basis for determining the risk-based capital requirement for each 
Enterprise.\1\ The Risk-Based Capital Test has been amended to 
incorporate corrective and technical amendments that enhance the 
accuracy and transparency of the calculation of the risk-based capital 
requirement.\2\ Since the last amendment

[[Page 36232]]

to the Risk-Based Capital Regulation, additional experience with the 
regulation has raised further operational and technical issues. OFHEO 
now proposes technical amendments to address four aspects of the Risk-
Based Capital Regulation. The proposed technical amendments would 
incorporate additional interest rates indices, clarify definitions, 
incorporate approved new Enterprise activities and update treatment of 
certain mark-to-market accounting issues. These amendments are capital 
neutral and largely codify existing practice undertaken pursuant to the 
current Risk-Based Capital Regulation. In addition to the proposed 
technical amendments, OFHEO plans additional future rulemakings to 
address substantial topics such as making adjustments to the loss 
severity equations used to calculate Enterprise risk-based capital and 
the appropriateness of incorporating mark-to-market accounting into the 
Risk-Based Capital Regulation. OFHEO also plans to update the Minimum 
Capital Regulation to address fair value accounting and other 
issues.\3\
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    \1\Risk-Based capital, 66 FR 47730 (September 13, 2001), 12 CFR 
part 1750.
    \2\Risk-Based Capital, 66 FR 47730 (September 13, 2001), 12 CFR 
part 1750, as amended, 67 FR 11850 (March 15, 2002), 67 FR 19321 
(April 19, 2002), 68 FR 7309 (February 13, 2003).
    \3\Minimum Capital, 61 FR 35607 (July 8, 1996), 12 CFR 1750, as 
amended, 67 FR 19321 (April 19, 2002).
---------------------------------------------------------------------------

    Although the changes set forth in this amendment are technical and 
are being proposed to incorporate proxy treatments, new activities, and 
updates already used to calculate Enterprise capital requirements, 
OFHEO welcomes comment as to whether these changes are optimal and on 
any additional issues mentioned herein. The proposed technical 
amendments are discussed in greater detail below.

A. Additional Interest Rate Indices

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

B. Revised Risk-Based Capital Regulation Definitions

    Additional operational experience with the Risk-Based Capital 
Regulation, as well as financial and mortgage market developments, have 
led OFHEO to conclude that a number of defined terms in the Risk-Based 
Capital Regulation lack clarity or were otherwise insufficient. 
Proposed technical amendments in this area include changes to recognize 
that single family loans with interest-only periods have become common 
and that the Enterprises have acquired or guaranteed such loans. 
Sections 3.1.2.1, 3.6.3.3.1, and 3.6.3.3.2 of Appendix A to Subpart B, 
currently provide a treatment for loans with interest-only periods. 
However, the data definitions in sections 3.1.2.1, 3.6.3.3.1, and 
3.6.3.3.2 assume only multifamily loans have this feature. OFHEO 
proposes modifications to the data definitions in those sections of the 
Risk-Based Capital Regulation to accommodate single family interest-
only loans. In addition to the single family interest-only issue, there 
are more than 30 definitions related to deferred balances throughout 
the Risk-Based Capital Regulation. These definitions are not clear or 
consistent throughout the Risk-Based Capital Regulation and across 
product type. Finally, the Risk-Based Capital Regulation definition of 
``float days'' in sections 3.1.2.1.1 and 3.6.3.7.2 would be revised to 
indicate more accurately that amounts referred to in that definition 
are based on weighted averages for a given loan group.

C. Incorporation of New Enterprise Activities

    Section 3.11 of the Risk-Based Capital Regulation provides a method 
for recognizing and quantifying the capital impact of the innovations 
in the financial and mortgage markets that impact the risk profiles of 
the Enterprises. Section 3.11.3, Treatment of New Activities, sets 
forth the procedures by which new Enterprise activities are reported to 
OFHEO, analyzed by OFHEO to determine an appropriately conservative 
treatment, and incorporated into the risk-based capital calculation. 
The section also describes how each newly incorporated treatment is 
made available to the public for comment and possible further revision. 
Since the promulgation of the Risk-Based Capital Regulation, many new 
activities treatments have been incorporated into the capital 
calculation and posted on the OFHEO web site for public comment. 
Because these new activities appear to be permanent and their 
treatments have proved effective, OFHEO is proposing to incorporate 
them into the text of the Risk-Based Capital Regulation. The proposed 
technical amendments regarding new activities treatments in section 
3.6, whole loan cash flows, include treatments concerning reverse 
mortgages and split-rate arm loans. New activities treatments in 
section 3.8, nonmortgage instrument cash flows, relate to futures and 
options on futures, swaptions, consumer price index coupon linked 
instruments, and pre-refunded tax-exempt municipal bonds. The proposed 
amendments would appear at sections 3.6.3.3.1 and 3.8.3.6.2.

D. Update of Mark-to-Market Accounting Treatment

    During the notice and comment development of the Risk-Based Capital 
Regulation, commenters raised concerns regarding treatment of the 
impact of mark-to-market accounting. At that time, Financial Accounting 
Standard (FAS) 115 and FAS 133 required mark-to-market accounting for 
certain instruments. In response to the requirements of FAS 115 and FAS 
133, and taking into account public comments, OFHEO determined to 
implement simplified procedures to allow the efficient and practical 
implementation of the stress test. Generally, the simplified procedures 
provide for the removal of the effects of mark-to-market accounting 
from the balance sheet such that the balance sheet is stated on an 
amortized cost basis.
    Since the adoption of the Risk-Based Capital Regulation, a number 
of new accounting standards have been adopted by the Financial 
Accounting Standards Board that introduce fair values to the balance 
sheet and that are similar in complexity to FAS 115 and FAS 133. OFHEO 
is proposing a technical amendment to Section 3.10.3.6.2 [a] of the 
Risk-Based Capital Regulation that would extend the current risk-based 
capital regulatory treatment of FAS 115 and FAS 133 to other accounting 
standards that require mark-to-market accounting. Under current 
guidance from OFHEO, the Enterprises back out the impact of the new 
mark-to-market accounting standards from their respective balance 
sheets prior to submitting their Risk-Based Capital Reports to OFHEO. 
The treatment set forth in the proposed amendment would codify this 
practice.

[[Page 36233]]

Regulatory Impacts

Executive Order 12866, Regulatory Planning and Review

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

Executive Order 13132, Federalism

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

Paperwork Reduction Act

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

Regulatory Flexibility Act

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

List of Subjects in 12 CFR Part 1750

    Capital classification, Mortgages, Risk-based capital.

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

PART 1750--CAPITAL

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

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

    2. Amend Appendix A to subpart B of part 1750 as follows:
    a. Revise Table 3-2 in paragraph 3.1.2.1 [c];
    b. Revise Table 3-4 in paragraph 3.1.2.1 [c];
    c. Revise Table 3-5 in paragraph 3.1.2.1.1;
    d. Revise Table 3-8 in paragraph 3.1.2.1.1;
    e. Revise Table 3-9 in paragraph 3.1.2.1.1;
    f. Revise Table 3-12 in paragraph 3.1.2.2 [a];
    g. Revise Table 3-13 in paragraph 3.1.2.2 [b];
    h. Revise Table 3-14 in paragraph 3.1.2.2 [c];
    i. Revise Table 3-15 in paragraph 3.1.2.3;
    j. Revise Table 3-16 in paragraph 3.1.2.4;
    k. Revise Table 3-18 in paragraph 3.1.3.1 [c];
    l. Revise Table 3-27 in paragraph 3.3.3 [a] 3. b.;
    m. Redesignate paragraphs 3.6.3.3.1 [d] and [e] as new paragraphs 
3.6.3.3.1. [c] 5. and [c] 6., respectively;
    n. Add new paragraphs 3.6.3.3.1 [c] 7. and [c] 8.;
    o. Revise Table 3-32 in paragraph 3.6.3.3.2;
    p. Revise Table 3-51 in paragraph 3.6.3.7.2;
    q. Revise Table 3-54 in paragraph 3.6.3.8.2;
    r. Revise Table 3-56 in paragraph 3.7.2.1.1;
    s. Revise Table 3-57 in paragraph 3.7.2.1.2 [a];
    t. Revise Table 3-58 in paragraph 3.7.2.1.3 [a];
    u. Revise Table 3-66 in paragraph 3.8.2 [a];
    v. Redesignate paragraph 3.8.3.6.2 [d] as new paragraph 3.8.3.6.2 
[h];
    w. Add new paragraphs 3.8.3.6.2 [d] thru [g];
    x. Revise Table 3-70 in paragraph 3.9.2;
    y. Amend paragraphs 3.10.3.6.2 [a] 1. a. and b.
    The revisions and additions read as follows:

Appendix A to Subpart B of Part 1750--Risk-Based Capital Test 
Methodology and Specifications

* * * * *

3.1.2.1 * * *

    [c] * * *

[[Page 36234]]



                                 Table 3-2--Whole Loan Classification Variables
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              Variable                             Description                              Range
----------------------------------------------------------------------------------------------------------------
Reporting Date                        The last day of the quarter for the   YYYY0331
                                       loan group activity that is being    YYYY0630
                                       reported to OFHEO                    YYYY0930
                                                                            YYYY1231
----------------------------------------------------------------------------------------------------------------
Enterprise                            Enterprise submitting the loan group  Fannie Mae
                                       data                                 Freddie Mac
----------------------------------------------------------------------------------------------------------------
Business Type                         Single family or multifamily          Single family
                                                                            Multifamily
----------------------------------------------------------------------------------------------------------------
Portfolio Type                        Retained portfolio or Sold portfolio  Retained Portfolio
                                                                            Sold Portfolio
----------------------------------------------------------------------------------------------------------------
Government Flag                       Conventional or Government insured    Conventional
                                       loan                                 Government
----------------------------------------------------------------------------------------------------------------
Original LTV                          Assigned LTV classes based on the     LTV<=60
                                       ratio, in percent, between the       60 16.0
----------------------------------------------------------------------------------------------------------------
Original Mortgage Interest Rate       Assigned classes for the original     0.0<=Rate<4.0
                                       mortgage interest rate               4.0<=Rate<5.0
                                                                            5.0<=Rate<6.0
                                                                            6.0<=Rate<7.0
                                                                            7.0<=Rate<8.0
                                                                            8.0<=Rate<9.0
                                                                            9.0<=Rate<10.0
                                                                            10.0<=Rate<11.0
                                                                            11.0<=Rate<12.0
                                                                            12.0<=Rate<13.0
                                                                            13.0<=Rate<14.0
                                                                            14.0<=Rate<15.0
                                                                            15.0<=Rate<16.0
                                                                            Rate=>16.0
----------------------------------------------------------------------------------------------------------------
Mortgage Age                          Assigned classes for the age of the   0<=Age<=12
                                       loan                                 12180
----------------------------------------------------------------------------------------------------------------

[[Page 36235]]

 
Rate Reset Period                     Assigned classes for the number of    Period=1
                                       months between rate adjustments      1=4.00
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Prepayment Penalty Flag               Indicates if prepayment of the loan   Yes
                                       is subject to active prepayment      No
                                       penalties or yield maintenance
                                       provisions
----------------------------------------------------------------------------------------------------------------

* * * * *
3.1.2.1.1* * *


           Table 3-5--Mortgage Amortization Calculation Inputs
------------------------------------------------------------------------
              Variable                           Description
------------------------------------------------------------------------
                                     Rate Type (Fixed or Adjustable)
------------------------------------------------------------------------
                                     Product Type (30/20/15-Year FRM,
                                      ARM, Balloon, Government, etc.)
------------------------------------------------------------------------
UPBORIG                              Unpaid Principal Balance at
                                      Origination (aggregate for Loan
                                      Group)
------------------------------------------------------------------------
UPB0                                 Unpaid Principal Balance at start
                                      of Stress Test (aggregate for Loan
                                      Group), adjusted by UPB scale
                                      factor
------------------------------------------------------------------------
MIR0                                 Mortgage Interest Rate for the
                                      Mortgage Payment prior to the
                                      start of the Stress Test, or
                                      Initial Mortgage Interest Rate for
                                      new loans (weighted average for
                                      Loan Group) (expressed as a
                                      decimal per annum)
------------------------------------------------------------------------
PMT0                                 Amount of the Mortgage Payment
                                      (Principal and Interest) prior to
                                      the start of the Stress Test, or
                                      first Payment for new loans
                                      (aggregate for Loan Group),
                                      adjusted by UPB scale factor
------------------------------------------------------------------------
AT                                   Original loan Amortizing Term in
                                      months (weighted average for Loan
                                      Group)
------------------------------------------------------------------------
RM                                   Remaining term to Maturity in
                                      months (i.e., number of
                                      contractual payments due between
                                      the start of the Stress Test and
                                      the contractual maturity date of
                                      the loan) (weighted average for
                                      Loan Group)
------------------------------------------------------------------------
A0                                   Age of the loan at the start of
                                      Stress Test, in months (weighted
                                      average for Loan Group)
------------------------------------------------------------------------
IRP                                  Initial Rate Period, in months
------------------------------------------------------------------------
                                     Interest-only Flag
------------------------------------------------------------------------
RIOP                                 Remaining Interest-only period, in
                                      months (weighted average for loan
                                      group)
------------------------------------------------------------------------
UPB Scale Factor                     Factor determined by reconciling
                                      reported UPB to published
                                      financials
------------------------------------------------------------------------
Additional Interest Rate Inputs
------------------------------------------------------------------------
GFR                                  Guarantee Fee Rate (weighted
                                      average for Loan Group) (decimal
                                      per annum)
------------------------------------------------------------------------
SFR                                  Servicing Fee Rate (weighted
                                      average for Loan Group) (decimal
                                      per annum)
------------------------------------------------------------------------
Additional Inputs for ARMs (weighted averages for Loan Group, except for
 Index)
------------------------------------------------------------------------
INDEXm                               Monthly values of the contractual
                                      Interest Rate Index
------------------------------------------------------------------------
LB                                   Look-Back period, in months
------------------------------------------------------------------------
MARGIN                               Loan Margin (over index), decimal
                                      per annum
------------------------------------------------------------------------
RRP                                  Rate Reset Period, in months
------------------------------------------------------------------------
                                     Rate Reset Limit (up and down),
                                      decimal per annum
------------------------------------------------------------------------
                                     Maximum Rate (life cap), decimal
                                      per annum
------------------------------------------------------------------------
                                     Minimum Rate (life floor), decimal
                                      per annum
------------------------------------------------------------------------
NAC                                  Negative Amortization Cap, decimal
                                      fraction of UPBORIG
------------------------------------------------------------------------

[[Page 36237]]

 
                                     Unlimited Payment Reset Period, in
                                      months
------------------------------------------------------------------------
PRP                                  Payment Reset Period, in months
------------------------------------------------------------------------
                                     Payment Reset Limit, as decimal
                                      fraction of prior payment
------------------------------------------------------------------------

* * * * *
3.1.2.1.1 * * *


   Table 3-8--Miscellaneous Whole Loan Cash and Accounting Flow Inputs
------------------------------------------------------------------------
              Variable                           Description
------------------------------------------------------------------------
GF                                   Guarantee Fee rate (weighted
                                      average for Loan Group) (decimal
                                      per annum)
------------------------------------------------------------------------
FDS                                  Float Days for Scheduled Principal
                                      and Interest (weighted average for
                                      Loan Group)
------------------------------------------------------------------------
FDP                                  Float Days for Prepaid Principal
                                      (weighted average for Loan Group)
------------------------------------------------------------------------
FREP                                 Fraction Repurchased (weighted
                                      average for Loan Group) (decimal)
------------------------------------------------------------------------
RM                                   Remaining Term to Maturity in
                                      months
------------------------------------------------------------------------
UPD0                                 Sum of all unamortized discounts,
                                      premiums, fees, commissions, etc.,
                                      for the loan group, such that the
                                      unamortized balance equals the
                                      book value minus the face value
                                      for the loan group at the start of
                                      the Stress Test, adjusted by the
                                      Unamortized Balance Scale Factor
------------------------------------------------------------------------
Unamortized Balance Scale Factor     Factor determined by reconciling
                                      reported Unamortized Balance to
                                      published financials
------------------------------------------------------------------------

* * * * *
3.1.2.1.1 * * *


            Table 3-9--Additional Inputs for Repurchased MBS
------------------------------------------------------------------------
              Variable                           Description
------------------------------------------------------------------------
Wtd Ave Percent Repurchased          For sold loan groups, the percent
                                      of the loan group UPB that gives
                                      the actual dollar amount of loans
                                      that collateralize single class
                                      MBSs that the Enterprise holds in
                                      its own portfolio.
------------------------------------------------------------------------
SUPD0                                The aggregate sum of all
                                      unamortized discounts, premiums,
                                      fees, commissions, etc.,
                                      associated with the securities
                                      modeled using the Wtd Ave Percent
                                      Repurchased, such that the
                                      unamortized balance equals the
                                      book value minus the face value
                                      for the relevant securities at the
                                      start of the Stress Test, adjusted
                                      by the percent repurchased and the
                                      Security Unamortized Balance Scale
                                      Factor.
------------------------------------------------------------------------
Security Unamortized Balances Scale  Factor determined by reconciling
 Factor                               reported Security Unamortized
                                      Balances to published financials
------------------------------------------------------------------------

* * * * *
3.1.2.2 * * *
    [a] * * *


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

[[Page 36238]]

 
Security Rate Index                  If the rate on the security adjusts
                                      over time, the index that the
                                      adjustment is based on
------------------------------------------------------------------------
Unamortized Balance                  The sum of all unamortized
                                      discounts, premiums, fees,
                                      commissions, etc., such that the
                                      unamortized balance equals book
                                      value minus face value, adjusted
                                      by Unamortized Balance Scale
                                      Factor
------------------------------------------------------------------------
Wt Avg Original Amortization Term    Original amortization term of the
                                      underlying loans, in months
                                      (weighted average for underlying
                                      loans)
------------------------------------------------------------------------
Wt Avg Remaining Term of Maturity    Remaining maturity of the
                                      underlying loans at the start of
                                      the Stress Test (weighted average
                                      for underlying loans)
------------------------------------------------------------------------
Wt Avg Age                           Age of the underlying loans at the
                                      start of the Stress Test (weighted
                                      average for underlying loans)
------------------------------------------------------------------------
Wt Avg Current Mortgage Interest     Mortgage Interest Rate of the
 rate                                 underlying loans at the start of
                                      the Stress Test (weighted average
                                      for underlying loans)
------------------------------------------------------------------------
Wt Avg Pass-Through Rate             Pass-Through Rate of the underlying
                                      loans at the start of the Stress
                                      Test (Sold loans only) (weighted
                                      average for underlying loans)
------------------------------------------------------------------------
Wtg Avg Original Mortgage Interest   The current UPB weighted average
 Rate                                 mortgage interest rate in effect
                                      at origination for the loans in
                                      the pool
------------------------------------------------------------------------
Security Rating                      The most current rating issued by
                                      any Nationally Recognized
                                      Statistical Rating Organization
                                      (NRSRO) for this security, as of
                                      the reporting date
------------------------------------------------------------------------
Wt Avg Gross Margin                  Gross margin for the underlying
                                      loans (ARM MBS only) (weighted
                                      average for underlying loans)
------------------------------------------------------------------------
.Wt Avg Net Margin                   Net margin (used to determine the
                                      security rate for ARM MBS)
                                      (weighted average for underlying
                                      loans)
------------------------------------------------------------------------
Wt Avg Rate Reset Period             Rate reset period in months (ARM
                                      MBS only) (weighted average for
                                      underlying loans)
------------------------------------------------------------------------
Wt Avg Rate Reset Limit              Rate reset limit up/down (ARM MBS
                                      only) (weighted average for
                                      underlying loans)
------------------------------------------------------------------------
Wt Avg Life Interest Rate Ceiling    Maximum rate (lifetime cap) (ARM
                                      MBS only) (weighted average for
                                      underlying loans)
------------------------------------------------------------------------
Wt Avg Life Interest Rate Floor      Minimum rate (lifetime floor) (ARM
                                      MBS only) (weighted average for
                                      underlying loans)
------------------------------------------------------------------------
Wt Avg Payment Reset Period          Payment reset period in months (ARM
                                      MBS only) (weighted average for
                                      underlying loans)
------------------------------------------------------------------------
Wt Avg Payment Reset Limit           Payment reset limit up/down (ARM
                                      MBS only) (weighted average for
                                      underlying loans)
------------------------------------------------------------------------
Wt Avg Lockback Period               The number of months to look back
                                      from the interest rate change date
                                      to find the index value that will
                                      be used to determine the next
                                      interest rate. (weighted average
                                      for underlying loans)
------------------------------------------------------------------------
Wt Avg Negative Amortization Cap     The maximum amount to which the
                                      balance can increase before the
                                      payment is recast to a fully
                                      amortizing amount. It is expressed
                                      as a fraction of the original UPB.
                                      (weighted average for underlying
                                      loans)
------------------------------------------------------------------------
Wt Avg Original Mortgage Interest    The current UPB weighted average
 Rate                                 original mortgage interest rate
                                      for the loans in the pool
------------------------------------------------------------------------
Wt Avg Initial Interest Rate Period  Number of months between the loan
                                      origination date and the first
                                      rate adjustment date (weighted
                                      average for underlying loans)
------------------------------------------------------------------------
Wt Avg Unlimited Payment Reset       Number of months between unlimited
 Period                               payment resets, i.e., not limited
                                      by payment caps, starting with
                                      origination date (weighted average
                                      for underlying loans)
------------------------------------------------------------------------
Notional Flag                        Indicates if the amounts reported
                                      in Original Security Balance and
                                      Current Security Balance are
                                      notional
------------------------------------------------------------------------
UPB Scale Factor                     Factor determined by reconciling
                                      reported UPB to published
                                      financials
------------------------------------------------------------------------
Unamortized Balance Scale Factor     Factor determined by reconciling
                                      reported Unamortized Balance to
                                      published financials
------------------------------------------------------------------------
Whole Loan Modeling Flag             Indicates that the Current UPB
                                      Amount and Unamortized Balance
                                      associated with this repurchased
                                      MBS are included in the Wtg Avg
                                      Percent Repurchased and Security
                                      Unamortized Balance fields
------------------------------------------------------------------------
FAS 115 Classification               The financial instrument's
                                      classification according to FAS
                                      115
------------------------------------------------------------------------
HPGRK                                Vector of House Price Growth Rates
                                      for quarters q=1...40 of the
                                      Stress Period.
------------------------------------------------------------------------

* * * * *
3.1.2.2 * * *
    [b] * * *


[[Page 36239]]



  Table 3-13--Information for Multi-Class and Derivative MBS Cash Flows
                                 Inputs
------------------------------------------------------------------------
              Variable                           Description
------------------------------------------------------------------------
CUSIP Number                         A unique number assigned to
                                      publicly traded securities by the
                                      Committee on Uniform Securities
                                      Identification Procedures
------------------------------------------------------------------------
Issuer                               Issuer of the security: FNMA,
                                      FHLMC, GNMA or other
------------------------------------------------------------------------
Original Security Balance            Original principal balance of the
                                      security (notional amount for
                                      interest-only securities) at the
                                      time of issuance, adjusted by UPB
                                      scale factor, multiplied by the
                                      Enterprise's percentage ownership
------------------------------------------------------------------------
Current Security Balance             Initial principal balance, or
                                      notional amount, at the start of
                                      the Stress Period, adjusted by UPB
                                      scale factor, multiplied by the
                                      Enterprise's percentage ownership
------------------------------------------------------------------------
Current Security Percentage Owned    The percentage of a security's
                                      total current balance owned by the
                                      Enterprise
------------------------------------------------------------------------
Notional Flag                        Indicates if the amounts reported
                                      in Original Security Balance and
                                      Current Security Balance are
                                      notional
------------------------------------------------------------------------
Unamortized Balance                  The sum of all unamortized
                                      discounts, premiums, fees,
                                      commissions, etc., such that the
                                      unamortized balance equals book
                                      value minus face value, adjusted
                                      by the Unamortized Balance Scale
                                      Factor
------------------------------------------------------------------------
Unamortized Balance Scale Factor     Factor determined by reconciling
                                      reported Unamortized Balance to
                                      published financials
------------------------------------------------------------------------
UPB Scale Factor                     Factor determined by reconciling
                                      the reported current security
                                      balance to published financials
------------------------------------------------------------------------
Security Rating                      The most current rating issued by
                                      any Nationally Recognized
                                      Statistical Rating Organization
                                      (NRSRO) for this security, as of
                                      the reporting date
------------------------------------------------------------------------

* * * * *
3.1.2.2 * * *
    [c] * * *


    Table 3-14--Inputs for MRBs and Derivative MBS Cash Flows Inputs
------------------------------------------------------------------------
              Variable                           Description
------------------------------------------------------------------------
CUSIP Number                         A unique number assigned to
                                      publicly traded securities by the
                                      Committee on Uniform Securities
                                      Identification Procedures
------------------------------------------------------------------------
Original Security Balance            Original principal balance,
                                      adjusted by UPB scale factor and
                                      multiplied by the Enterprise's
                                      percentage ownership
------------------------------------------------------------------------
Current Security Balance             Initial principal balance (at start
                                      of Stress Period), adjusted by UPB
                                      scale factor and multiplied by the
                                      Enterprise's percentage ownership
------------------------------------------------------------------------
Unamortized Balance                  The sum of all unamortized
                                      discounts, premiums, fees,
                                      commissions, etc., such that the
                                      unamortized balance equals book
                                      value minus face value, adjusted
                                      by Unamortized Balance scale
                                      factor
------------------------------------------------------------------------
Unamortized Balance Scale Factor     Factor determined by reconciling
                                      reported Unamortized Balance to
                                      published financials
------------------------------------------------------------------------
UPB Scale Factor                     Factor determined by reconciling
                                      the reported current security
                                      balance to published financials
------------------------------------------------------------------------
Floating Rate Flag                   Indicates the instrument pays
                                      interest at a floating rate
------------------------------------------------------------------------
Issue Date                           The issue date of the security
------------------------------------------------------------------------
Maturity Date                        The stated maturity date of the
                                      security
------------------------------------------------------------------------
Security Interest Rate               The rate at which the security
                                      earns interest, as of the
                                      reporting date
------------------------------------------------------------------------
Principal Payment Window Starting    The month in the Stress Test that
 Date, Down-Rate Scenario             principal payment is expected to
                                      start for the security under the
                                      statutory ``down'' interest rate
                                      scenario, according to Enterprise
                                      projections
------------------------------------------------------------------------
Principal Payment Window Ending      The month in the Stress Test that
 Date, Down-Rate Scenario             principal payment is expected to
                                      end for the security under the
                                      statutory ``down'' interest rate
                                      scenario, according to Enterprise
                                      projections
------------------------------------------------------------------------
Principal Payment Window Starting    The month in the Stress Test that
 Date, Up-Rate Scenario               principal payment is expected to
                                      start for the security under the
                                      statutory ``up'' interest rate
                                      scenario, according to Enterprise
                                      projections
------------------------------------------------------------------------
Principal Payment Window Ending      The month in the Stress Test that
 Date, Up-Rate Scenario               principal payment is expected to
                                      end for the security under the
                                      statutory ``up'' interest rate
                                      scenario, according to Enterprise
                                      projections
------------------------------------------------------------------------
Notional Flag                        Indicates if the amounts reported
                                      in Original Security Balance and
                                      Current Security Balance are
                                      notional
------------------------------------------------------------------------
Security Rating                      The most current rating issued by
                                      any Nationally Recognized
                                      Statistical Rating Organization
                                      (NRSRO) for this security, as of
                                      the reporting date
------------------------------------------------------------------------
Security Rate Index                  If the rate on the security adjusts
                                      over time, the index on which the
                                      adjustment is based
------------------------------------------------------------------------

[[Page 36240]]

 
Security Rate Index Coefficient      If the rate on the security adjusts
                                      over time, the coefficient is the
                                      number used to multiply by the
                                      value of the index
------------------------------------------------------------------------
Security Rate Index Spread           If the rate on the security adjusts
                                      over time, the spread is added to
                                      the value of the index multiplied
                                      by the coefficient to determine
                                      the new rate
------------------------------------------------------------------------
Security Rate Adjustment Frequency   The number of months between rate
                                      adjustments
------------------------------------------------------------------------
Security Interest Rate Ceiling       The maximum rate (lifetime cap) on
                                      the security
------------------------------------------------------------------------
Security Interest Rate Floor         The minimum rate (lifetime floor)
                                      on the security
------------------------------------------------------------------------
Life Ceiling Interest Rate           The maximum interest rate allowed
                                      throughout the life of the
                                      security
------------------------------------------------------------------------
Life Floor Interest Rate             The minimum interest rate allowed
                                      throughout the life of security
------------------------------------------------------------------------

* * * * *
3.1.2.3 * * *


    Table 3-15--Input Variables for Nonmortgage Instrument Cashflows
------------------------------------------------------------------------
           Data Elements                         Description
------------------------------------------------------------------------
Amortization Methodology Code        Enterprise method of amortizing
                                      deferred balances (e.g., straight
                                      line)
------------------------------------------------------------------------
Asset ID                             CUSIP or Reference Pool Number
                                      identifying the asset underlying a
                                      derivative position
------------------------------------------------------------------------
Asset Type Code                      Code that identifies asset type
                                      used in the commercial information
                                      service (e.g., ABS, Fannie Mae
                                      pool, Freddie Mac pool)
------------------------------------------------------------------------
Associated Instrument ID             Instrument ID of an instrument
                                      linked to another instrument
------------------------------------------------------------------------
Coefficient                          Indicates the extent to which the
                                      coupon is leveraged or de-
                                      leveraged
------------------------------------------------------------------------
Compound Indicator                   Indicates if interest is compounded
------------------------------------------------------------------------
Compounding Frequency                Indicates how often interest is
                                      compounded
------------------------------------------------------------------------
Counterparty Credit Rating           NRSRO's rating for the counterparty
------------------------------------------------------------------------
Counterparty Credit Rating Type      An indicator identifying the
                                      counterparty's credit rating as
                                      short-term (`S') or long-term
                                      (`L')
------------------------------------------------------------------------
Counterparty ID                      Enterprise counterparty tracking ID
------------------------------------------------------------------------
Country Code                         Standard country codes in
                                      compliance with Federal
                                      Information Processing Standards
                                      Publication 10-4
------------------------------------------------------------------------
Credit Agency Code                   Identifies NRSRO (e.g., Moody's)
------------------------------------------------------------------------
Current Asset Face Amount            Current face amount of the asset
                                      underlying a swap adjusted by UPB
                                      scale factor
------------------------------------------------------------------------
Current Coupon                       Current coupon or dividend rate of
                                      the instrument
------------------------------------------------------------------------
Current Unamortized Discount         Current unamortized premium or
                                      unaccreted discount of the
                                      instrument adjusted by Unamortized
                                      Balance Scale Factor. If the
                                      proceeds from the issuance of debt
                                      or derivatives or the amount paid
                                      for an asset were greater than
                                      par, the value should be positive.
                                      If the proceeds or the amounts
                                      paid were less than par, the value
                                      should be negative
------------------------------------------------------------------------
Current Unamortized Fees             Current unamortized fees associated
                                      with the instrument adjusted by
                                      Unamortized Balance Scale Factor.
                                      Generally fees associated with the
                                      issuance of debt or derivatives
                                      should be negative numbers. Fees
                                      associated with the purchase of an
                                      asset should generally be reported
                                      as positive numbers
------------------------------------------------------------------------
Current Unamortized Hedge            Current unamortized hedging gains
                                      (positive) or losses (negative)
                                      associated with the instrument
                                      adjusted by the Unamortized
                                      Balance Scale Factor
------------------------------------------------------------------------
Current Unamortized Other            Any other unamortized items
                                      originally associated with the
                                      instrument adjusted by Unamortized
                                      Balance Scale Factor. If the
                                      proceeds from the issuance of debt
                                      or derivatives or the amount paid
                                      for an asset were greater than
                                      par, the value should be positive.
                                      If the proceeds or the amounts
                                      paid were less than par, the value
                                      should be negative
------------------------------------------------------------------------
CUSIP--ISIN                          CUSIP or ISIN Number identifying
                                      the instrument
------------------------------------------------------------------------
Day Count                            Day count convention (e.g., 30/360)
------------------------------------------------------------------------
End Date                             The last index repricing date
------------------------------------------------------------------------
EOP Principal Balance                End of Period face, principal or
                                      notional, amount of the instrument
                                      adjusted by UPB scale factor
------------------------------------------------------------------------
Exact Representation                 Indicates that an instrument is
                                      modeled according to its
                                      contractual terms
------------------------------------------------------------------------
Exercise Convention                  Indicates option exercise
                                      convention (e.g., American Option)
------------------------------------------------------------------------
Exercise Price                       Par=1.0; Options
------------------------------------------------------------------------

[[Page 36241]]

 
First Coupon Date                    Date first coupon is received or
                                      paid
------------------------------------------------------------------------
Index Cap                            Indicates maximum index rate
------------------------------------------------------------------------
Index Floor                          Indicates minimum index rate
------------------------------------------------------------------------
Index Reset Frequency                Indicates how often the interest
                                      rate index resets on floating-rate
                                      instruments
------------------------------------------------------------------------
Index Code                           Indicates the interest rate index
                                      to which floating-rate instruments
                                      are tied (e.g., LIBOR)
------------------------------------------------------------------------
Index Term                           Point on yield curve, expressed in
                                      months, upon which the index is
                                      based
------------------------------------------------------------------------
Instrument Credit Rating             NRSRO credit rating for the
                                      instrument
------------------------------------------------------------------------
Instrument Credit Rating Type        An indicator identifying the
                                      instruments credit rating as short-
                                      term (`S') or long-term (`L')
------------------------------------------------------------------------
Instrument ID                        An integer used internally by the
                                      Enterprise that uniquely
                                      identifies the instrument
------------------------------------------------------------------------
Interest Currency Code               Indicates currency in which
                                      interest payments are paid or
                                      received
------------------------------------------------------------------------
Interest Type Code                   Indicates the method of interest
                                      rate payments (e.g., fixed,
                                      floating, step, discount)
------------------------------------------------------------------------
Issue Date                           Indicates the date that the
                                      instrument was issued
------------------------------------------------------------------------
Life Cap Rate                        The maximum interest rate for the
                                      instrument throughout its life
------------------------------------------------------------------------
Life Floor Rate                      The minimum interest rate for the
                                      instrument throughout its life
------------------------------------------------------------------------
Look-Back Period                     Period from the index reset date,
                                      expressed in months, that the
                                      index value is derived
------------------------------------------------------------------------
Maturity Date                        Date that the instrument
                                      contractually matures
------------------------------------------------------------------------
Notional Indicator                   Identifies whether the face amount
                                      is notional
------------------------------------------------------------------------
Instrument Type Code                 Indicates the type of instrument to
                                      be modeled (e.g., ABS, Cap, Swap)
------------------------------------------------------------------------
Option Indicator                     Indicates if instrument contains an
                                      option
------------------------------------------------------------------------
Option Type                          Indicates option type (e.g., Call
                                      option)
------------------------------------------------------------------------
Original Asset Face Amount           Original face amount of the asset
                                      underlying a swap adjusted by UPB
                                      scale factor
------------------------------------------------------------------------
Original Discount                    Original premium or discount
                                      associated with the purchase or
                                      sale of the instrument adjusted by
                                      Unamortized Balance Scale Factor.
                                      If the proceeds from the issuance
                                      of debt or derivatives or the
                                      amount paid for an asset were
                                      greater than par, the value should
                                      be positive. If the proceeds or
                                      the amounts paid were less than
                                      par, the value should be negative
------------------------------------------------------------------------
Original Face                        Original face, principal or
                                      notional, amount of the instrument
                                      adjusted by UPB scale factor
------------------------------------------------------------------------
Original Fees                        Fees or commissions paid at the
                                      time of purchase or sale adjusted
                                      by the Unamortized Balance Scale
                                      Factor. Generally fees associated
                                      with the issuance of debt or
                                      derivatives should be negative
                                      numbers. Fees associated with the
                                      purchase of an asset should
                                      generally be reported as positive
                                      numbers
------------------------------------------------------------------------
Original Hedge                       Gains (positive) or losses
                                      (negative) from closing out a
                                      hedge associated with the
                                      instrument at settlement, adjusted
                                      by the Unamortized Balance Scale
                                      Factor
------------------------------------------------------------------------
Original Other                       Any other items originally
                                      associated with the instrument to
                                      be amortized or accreted adjusted
                                      by the Unamortized Balance Scale
                                      Factor. If the proceeds from the
                                      issuance of debt or derivatives or
                                      the amount paid for an asset were
                                      greater than par, the value should
                                      be positive. If the proceeds of
                                      the amounts paid were less than
                                      par, the value should be negative
------------------------------------------------------------------------
Parent Entity ID                     Enterprise internal tracking ID for
                                      parent entity
------------------------------------------------------------------------
Payment Amount                       Interest payment amount associated
                                      with the instrument (reserved for
                                      complex instruments where interest
                                      payments are not modeled) adjusted
                                      by UPB scale factor
------------------------------------------------------------------------
Payment Frequency                    Indicates how often interest
                                      payments are made or received
------------------------------------------------------------------------
Performance Date                     ``As of'' date on which the data is
                                      submitted
------------------------------------------------------------------------
Periodic Adjustment                  The maximum amount that the
                                      interest rate for the instrument
                                      can change per reset
------------------------------------------------------------------------
Position Code                        Indicates whether the Enterprise
                                      pays or receives interest on the
                                      instrument
------------------------------------------------------------------------
Principal Currency Code              Indicates currency in which
                                      principal payments are paid or
                                      received
------------------------------------------------------------------------
Principal Factor Amount              EOP Principal Balance expressed as
                                      a percentage of Original Face
------------------------------------------------------------------------
Principal Payment Date               A valid date identifying the date
                                      that principal is paid
------------------------------------------------------------------------
Settlement Date                      A valid date identifying the date
                                      the settlement occurred
------------------------------------------------------------------------
Spread                               An amount added to an index to
                                      determine an instrument's interest
                                      rate
------------------------------------------------------------------------

[[Page 36242]]

 
Start Date                           The date, spot or forward, when
                                      some feature of a financial
                                      contract becomes effective (e.g.,
                                      Call Date), or when interest
                                      payments or receipts begin to be
                                      calculated
------------------------------------------------------------------------
Strike Rate                          The price or rate at which an
                                      option begins to have a settlement
                                      value at expiration, or, for
                                      interest-rate caps and floors, the
                                      rate that triggers interest
                                      payments
------------------------------------------------------------------------
Submitting Entity                    Indicates which Enterprise is
                                      submitting information
------------------------------------------------------------------------
Trade ID                             Unique code identifying the trade
                                      of an instrument
------------------------------------------------------------------------
Transaction Code                     Indicates the transaction that an
                                      Enterprise is initiating with the
                                      instrument (e.g., buy, issue
                                      reopen)
------------------------------------------------------------------------
Transaction Date                     A valid date identifying the date
                                      the transaction occurred
------------------------------------------------------------------------
UPB Scale Factor                     Factor determined by reconciling
                                      reported UPB to published
                                      financials
------------------------------------------------------------------------
Unamortized Balances Scale Factor    Factor determined by reconciling
                                      reported Unamortized Balances to
                                      published financials
------------------------------------------------------------------------

* * * * *
3.1.2.4 * * *


       Table 3-16--Inputs for Alternative Modeling Treatment Items
------------------------------------------------------------------------
              Variable                           Description
------------------------------------------------------------------------
TYPE                                 Type of item (asset, liability or
                                      off-balance-sheet item)
------------------------------------------------------------------------
BOOK                                 Book Value of item (amount
                                      outstanding adjusted for deferred
                                      items)
------------------------------------------------------------------------
FACE                                 Face Value or notional balance of
                                      item for off-balance sheet items
------------------------------------------------------------------------
REMATUR                              Remaining Contractual Maturity of
                                      item in whole months. Any fraction
                                      of a month equals one whole month
------------------------------------------------------------------------
RATE                                 Interest Rate
------------------------------------------------------------------------
INDEX                                Index used to calculate Interest
                                      Rate
------------------------------------------------------------------------
FAS 115                              Designation that the item is
                                      recorded at fair value, according
                                      to FAS 115
------------------------------------------------------------------------
RATING                               Instrument or counterparty rating
------------------------------------------------------------------------
FHA                                  In the case of off-balance-sheet
                                      guarantees, a designation
                                      indicating 100% of collateral is
                                      guaranteed by FHA
------------------------------------------------------------------------
MARGIN                               Margin over an Index
------------------------------------------------------------------------

* * * * *
3.1.3.1 * * *
    [c]* * *


                                   Table 3-18--Interest Rate and Index Inputs
----------------------------------------------------------------------------------------------------------------
         Interest rate index                       Description                             Source
----------------------------------------------------------------------------------------------------------------
1 MO Treasury Bill                    One-month Treasury bill yield,        Bloomberg Generic 1 Month
                                       monthly simple average of daily      U.S. Treasury bill
                                       rate, quoted as actual/360           Ticker: GB1M (index)
----------------------------------------------------------------------------------------------------------------
3 MO CMT                              Three-month constant maturity         Federal Reserve H.15 Release
                                       Treasury yield, monthly simple
                                       average of daily rate, quoted as
                                       bond equivalent yield
----------------------------------------------------------------------------------------------------------------
6 MO CMT                              Six-month constant maturity Treasury  Federal Reserve H.15 Release
                                       yield, monthly simple average of
                                       daily rate, quoted as bond
                                       equivalent yield
----------------------------------------------------------------------------------------------------------------
1 YR CMT                              One-year constant maturity Treasury   Federal Reserve H.15 Release
                                       yield, monthly simple average of
                                       daily rate, quoted as bond
                                       equivalent yield
----------------------------------------------------------------------------------------------------------------
2 YR CMT                              Two-year constant maturity Treasury   Federal Reserve H.15 Release
                                       yield, monthly simple average of
                                       daily rate, quoted as bond
                                       equivalent yield
----------------------------------------------------------------------------------------------------------------
3 YR CMT                              Three-year constant maturity          Federal Reserve H.15 Release
                                       Treasury yield, monthly simple
                                       average of daily rate, quoted as
                                       bond equivalent yield
----------------------------------------------------------------------------------------------------------------

[[Page 36243]]

 
5 YR CMT                              Five-year constant maturity Treasury  Federal Reserve H.15 Release
                                       yield, monthly simple average of
                                       daily rate, quoted as bond
                                       equivalent yield
----------------------------------------------------------------------------------------------------------------
10 YR CMT                             Ten-year constant maturity Treasury   Federal Reserve H.15 Release
                                       yield, monthly simple average of
                                       daily rate, quoted as bond
                                       equivalent yield
----------------------------------------------------------------------------------------------------------------
20 YR CMT                             Twenty-year constant maturity         Federal Reserve H.15 Release
                                       Treasury yield, monthly simple
                                       average of daily rate, quoted as
                                       bond equivalent yield
----------------------------------------------------------------------------------------------------------------
30 YR CMT                             Thirty-year constant maturity         Federal Reserve H.15 Release,
                                       Treasury yield, monthly simple        Extrapolation Factors used for
                                       average of daily rate, quoted as      estimation, U.S. Dept. of the
                                       bond equivalent yield; after          Treasury
                                       February 15, 2002, estimated
                                       according to the Department of the
                                       Treasury methodology using long-
                                       term average rates and
                                       extrapolation factors as referenced
                                       in OFHEO guideline 402
----------------------------------------------------------------------------------------------------------------
12-mo Moving Treasury Average (MTA)   12-month Federal Reserve cumulative   Bloomberg Ticker: 12MTA (Index)
                                       average 1 year CMT, monthly simple
                                       average of daily rate.
----------------------------------------------------------------------------------------------------------------
Overnight Fed Funds (Effective)       Overnight effective Federal Funds     Federal Reserve H.15 Release
                                       rate, monthly simple average of
                                       daily rate
----------------------------------------------------------------------------------------------------------------
Certificate of Deposits Index (CODI)  12-month average of monthly           Bloomberg Ticker: COF CODI (index)
                                       published yields on 3-month
                                       certificates of deposit, based on
                                       the Federal Reserve Board
                                       statistical release, H-15
----------------------------------------------------------------------------------------------------------------
1 Week Federal Funds                  1 week Federal Funds rate, monthly    Bloomberg Term Fed Funds U.S.
                                       simple average of daily rates         Domestic
                                                                            Ticker: GFED01W (index)
----------------------------------------------------------------------------------------------------------------
6 Month Fed Funds                     6 month Federal Funds rate, monthly   Bloomberg Term Fed Funds U.S.
                                       simple average of daily rates         Domestic
                                                                            Ticker: GFED06M (index)
----------------------------------------------------------------------------------------------------------------
Conventional Mortgage Rate            FHLMC (Freddie Mac) contract          Federal Reserve H.15 Release
                                       interest rates for 30 YR fixed-rate
                                       mortgage commitments, monthly
                                       average of weekly rates
----------------------------------------------------------------------------------------------------------------
Constant Maturity Mortgage (CMM)      Bond equivalent yield on TBA          TradeWeb
 Index                                 mortgage-backed security which
                                       prices at the par price
----------------------------------------------------------------------------------------------------------------
1-mo Freddie Mac Reference Bill       1-month Freddie Mac Reference Bill,   Freddiemac.com Web site: http://
                                       actual price and yield by auction     www.freddiemac.com/debt/data/cgi-
                                       date                                  bin/refbillaucres.cgi?order=AD
----------------------------------------------------------------------------------------------------------------
FHLB 11th District COF                11th District (San Francisco)         Bloomberg Cost of Funds for the 11th
                                       weighted average cost of funds for    District
                                       savings and loans, monthly           Ticker: COF11 (index)
----------------------------------------------------------------------------------------------------------------
1 MO LIBOR                            One-month London Interbank Offered    British Bankers Association
                                       Rate, average of bid and asked,      Bloomberg Ticker: US0001M (index)
                                       monthly simple average of daily
                                       rates, quoted as actual/360
----------------------------------------------------------------------------------------------------------------
3 MO LIBOR                            Three-month London Interbank Offered  British Bankers Association
                                       Rate, average of bid and asked,      Bloomberg Ticker: US0003M (index)
                                       monthly simple average of daily
                                       rates, quoted as actual/360
----------------------------------------------------------------------------------------------------------------
6 MO LIBOR                            Six-month London Interbank Offered    British Bankers Association
                                       Rate, average of bid and asked,      Bloomberg Ticker: US0006M (index)
                                       monthly simple average of daily
                                       rates, quoted as actual/360
----------------------------------------------------------------------------------------------------------------
12 MO LIBOR                           One-year London Interbank Offered     British Bankers Association
                                       Rate, average of bid and asked,      Bloomberg Ticker: US0012M (index)
                                       monthly simple average of daily
                                       rates, quoted as actual/360
----------------------------------------------------------------------------------------------------------------
Prime Rate                            Prevailing rate as quoted, monthly    Federal Reserve H.15 Release
                                       average of daily rates
----------------------------------------------------------------------------------------------------------------
1 MO Federal Agency COF               One-month Federal Agency Cost of      Bloomberg Generic 1 Month Agency
                                       Funds, monthly simple average of      Discount Note Yield.
                                       daily rates, quoted as actual/360    Ticker: AGDN030Y (index)
----------------------------------------------------------------------------------------------------------------
3 MO Federal Agency COF               Three-month Federal Agency Cost of    Bloomberg Generic 3 Month Agency
                                       Funds, monthly simple average of      Discount Note Yield.
                                       daily rates, quoted as actual/360    Ticker: AGDN090Y (index)
----------------------------------------------------------------------------------------------------------------
6 MO Federal Agency COF               Six-month Federal Agency Cost of      Bloomberg Generic 6 Month Agency
                                       Funds, monthly simple average of      Discount Note Yield.
                                       daily rates, quoted as actual/360    Ticker: AGDN180Y (index)
----------------------------------------------------------------------------------------------------------------
1 YR Federal Agency COF               One-year Federal Agency Cost of       Bloomberg Generic 12 Month Agency
                                       Funds, monthly simple average of      Discount Note Yield.
                                       daily rates, quoted as actual/360    Ticker: AGDN360Y (index)
----------------------------------------------------------------------------------------------------------------
2 YR Federal Agency COF               Two-year Federal Agency Fair Market   Bloomberg Generic 2 Year Agency Fair
                                       Yield, monthly simple average of      Market Yield.
                                       daily rates                          Ticker: CO842Y (index)
----------------------------------------------------------------------------------------------------------------
3 YR Federal Agency COF               Three-year Federal Agency Fair        Bloomberg Generic 3 Year Agency Fair
                                       Market Yield, monthly simple          Market Yield.
                                       average of daily rates               Ticker: CO843Y (index)
----------------------------------------------------------------------------------------------------------------
5 YR Federal Agency COF               Five-year Federal Agency Fair Market  Bloomberg Generic 5 Year Agency Fair
                                       Yield, monthly simple average of      Market Yield.
                                       daily rates                          Ticker: CO845Y (index)
----------------------------------------------------------------------------------------------------------------

[[Page 36244]]

 
10 YR Federal Agency COF              Ten-year Federal Agency Fair Market   Bloomberg Generic 10 Year Agency
                                       Yield, monthly simple average of      Fair Market Yield.
                                       daily rates                          Ticker: CO8410Y (index)
----------------------------------------------------------------------------------------------------------------
30 YR Federal Agency COF              Thirty-year Federal Agency Fair       Bloomberg Generic 30 Year Agency
                                       Market Yield, monthly simple          Fair Market Yield.
                                       average of daily rates               Ticker: CO8430Y (index)
----------------------------------------------------------------------------------------------------------------
15 YR fixed-rate mortgage             FHLMC (Freddie Mac) contract          Bloomberg FHLMC 15 YR, 10 day
                                       interest rates for 15 YR fixed-rate   commitment rate.
                                       mortgage commitments, monthly        Ticker: FHCR1510 (index)
                                       average of FHLMC (Freddie Mac)
                                       contract interest rates for 15 YR
----------------------------------------------------------------------------------------------------------------
7-year balloon mortgage rate          Seven-year balloon mortgage, equal    Computed
                                       to the Conventional Mortgage Rate
                                       less 50 basis points
----------------------------------------------------------------------------------------------------------------
2-yr Swap                             2-yr U.S. Dollar Swap Rate, quoted    Bloomberg Ticker: USSWAP2 (index)
                                       as semi-annually fixed rate vs. 3-
                                       mo U.S. dollar
----------------------------------------------------------------------------------------------------------------
3-yr Swap                             3-yr U.S. Dollar Swap Rate, quoted    Bloomberg Ticker: USSWAP3 (Index)
                                       as semi-annually fixed rate vs. 3-
                                       mo U.S. dollar LIBOR
----------------------------------------------------------------------------------------------------------------
5-yr Swap                             5-yr U.S. Dollar Swap Rate, quoted    Bloomberg Ticker: USSWAP5 (Index)
                                       as semi-annually fixed rate vs. 3-
                                       mo U.S. dollar LIBOR
----------------------------------------------------------------------------------------------------------------
10-yr Swap                            10-yr U.S. Dollar Swap Rate, quoted   Bloomberg Ticker: USSWAP10 (Index)
                                       as semi-annually fixed rate vs. 3-
                                       mo U.S. dollar LIBOR
----------------------------------------------------------------------------------------------------------------
30-yr Swap                            30-yr U.S. Dollar Swap Rate, quoted   Bloomberg Ticker: USSWAP30 (Index)
                                       as semi-annually fixed rate vs. 3-
                                       mo U.S. dollar LIBOR
----------------------------------------------------------------------------------------------------------------

    3.3.3 * * *
    [a] * * *
3. * * *
b. * * *


                 Table 3-27--Non-Treasury Interest Rates
------------------------------------------------------------------------
             Mortgage Rates                      Spread Based on
------------------------------------------------------------------------
15-year Fixed-rate Mortgage Rate         10-year CMT
------------------------------------------------------------------------
30-year Conventional Mortgage Rate       10-year CMT
------------------------------------------------------------------------
7-year Balloon Mortgage Rate             (computed from Conventional
                                          Mortgage Rate)
------------------------------------------------------------------------
Constant Maturity Mortgage Index         10-year CMT
------------------------------------------------------------------------
                    Other Non-Treasury Interest Rates
------------------------------------------------------------------------
Overnight Fed Funds                      1-month Treasury Yield
------------------------------------------------------------------------
7-day Fed Funds                          1-month Treasury Yield
------------------------------------------------------------------------
1-month LIBOR                            1-month Treasury Yield
------------------------------------------------------------------------
1-month Federal Agency Cost of Funds     1-month Treasury Yield
------------------------------------------------------------------------
12-mo Moving Treasury Average            1-month Treasury Yield
------------------------------------------------------------------------
3-month LIBOR                            3-month CMT
------------------------------------------------------------------------
3-month Federal Agency Cost of Funds     3-month CMT
------------------------------------------------------------------------
PRIME                                    3-month CMT
------------------------------------------------------------------------
6-month LIBOR                            6-month CMT
------------------------------------------------------------------------
6-month Federal Agency Cost of Funds     6-month CMT
------------------------------------------------------------------------
6-month Fed Funds                        6-month CMT
------------------------------------------------------------------------
FHLB 11th District Cost of Funds         1-year CMT
------------------------------------------------------------------------
12-month LIBOR                           1-year CMT
------------------------------------------------------------------------
1-mo Freddie Mac Reference Bill          1-year CMT
------------------------------------------------------------------------
Certificate of Deposits Index            1-year CMT
------------------------------------------------------------------------
1-year Federal Agency Cost of Funds      1-year CMT
------------------------------------------------------------------------

[[Page 36245]]

 
2-year Federal Agency Cost of Funds      2-year CMT
------------------------------------------------------------------------
3-year Federal Agency Cost of Funds      3-year CMT
------------------------------------------------------------------------
5-year Federal Agency Cost of Funds      5-year CMT
------------------------------------------------------------------------
10-year Federal Agency Cost of Funds     10-year CMT
------------------------------------------------------------------------
30-year Federal Agency Cost of Funds     30-year CMT
------------------------------------------------------------------------
2-yr Swap                                2-year CMT
------------------------------------------------------------------------
3-yr Swap                                3-year CMT
------------------------------------------------------------------------
5-yr Swap                                5-year CMT
------------------------------------------------------------------------
10-yr Swap                               10-year CMT
------------------------------------------------------------------------
30-yr Swap                               30-year CMT
------------------------------------------------------------------------

* * * * *
3.6.3.3.1 * * *
    [c] * * *
7. Reverse Mortgages. In a reverse mortgage, a borrower receives one or 
more payments from the lender and the lender is repaid with a lump sum 
when the borrower dies, sells the property or moves out of the home 
permanently. The stress test models reverse mortgages as a ladder of 
zero-coupon securities:
    a. 11 proxy securities for each reverse mortgage program are 
created.
    b. A 10% conditional payment rate is used to create the zero-coupon 
securities that will mature in every year of the stress test. The zero-
coupon securities are a laddered series of floating-rate coupon-bearing 
accreting bonds with a first payment date at maturity.
    c. The 11th zero-coupon security will mature three months after the 
stress test to reflect the 35% of UPB not paid down during the stress 
period.
    d. An OFHEO credit rating equivalent to AAA for the FHA insured 
programs and AA for other reverse mortgage programs is assigned.
8. Split-Rate ARM Loans. In split-rate ARM loans, the principal portion 
of the payment is based on a fixed-rate amortization schedule while the 
interest portion is based on a floating rate index. These multifamily 
loans are available as fully amortizing product or with a balloon 
feature. The stress test model does not provide treatment for split-
rate ARM loans. Split-rate loans shall be treated as ARMs when they are 
issued without a balloon payment feature or as Balloon ARMs when the 
loans contain a balloon payment feature.
3.6.3.3.2 * * *

                       Table 3-32--Loan Group Inputs for Mortgage Amortization Calculation
----------------------------------------------------------------------------------------------------------------
              Variable*                                Description                              Source
----------------------------------------------------------------------------------------------------------------
                                      Rate Type (Fixed or Adjustable)                RBC Report
----------------------------------------------------------------------------------------------------------------
                                      Product Type (30/20/15-Year FRM, ARM,          RBC Report
                                       Balloon, Government, etc.)
----------------------------------------------------------------------------------------------------------------
UPBORIG                               Unpaid Principal Balance at Origination        RBC Report
                                       (aggregate for Loan Group)
----------------------------------------------------------------------------------------------------------------
UPB0                                  Unpaid Principal Balance at start of Stress    RBC Report
                                       Test (aggregate for Loan Group)
----------------------------------------------------------------------------------------------------------------
MIR0                                  Mortgage Interest Rate for the Mortgage        RBC Report
                                       Payment prior to the start of the Stress
                                       Test, or Initial Mortgage Interest Rate for
                                       new loans (weighted average for Loan Group)
                                       (expressed as a decimal per annum)
----------------------------------------------------------------------------------------------------------------
PMT0                                  Amount of the Mortgage Payment (Principal and  RBC Report
                                       Interest) prior to the start of the Stress
                                       Test, or first payment for new loans
                                       (aggregate for Loan Group)
----------------------------------------------------------------------------------------------------------------
AT                                    Original loan Amortizing Term in months        RBC Report
                                       (weighted average for Loan Group)
----------------------------------------------------------------------------------------------------------------
RM                                    Remaining term to Maturity in months (i.e.,    RBC Report
                                       number of contractual payments due between
                                       the start of the Stress Test and the
                                       contractual maturity date of the loan)
                                       (weighted average for Loan Group)
----------------------------------------------------------------------------------------------------------------
A0                                    Age immediately prior to the start of the      RBC Report
                                       Stress Test, in months (weighted average for
                                       Loan Group)
----------------------------------------------------------------------------------------------------------------
                                      Interest-only Flag                             RBC Report
----------------------------------------------------------------------------------------------------------------
RIOP                                  Remaining Interest-only period, in months      RBC Report
                                       (weighted average for loan group)
----------------------------------------------------------------------------------------------------------------
Additional Interest Rate Inputs
----------------------------------------------------------------------------------------------------------------
GFR                                   Guarantee Fee Rate (weighted average for Loan  RBC Report
                                       Group) (decimal per annum)
----------------------------------------------------------------------------------------------------------------
SFR                                   Servicing Fee Rate (weighted average for Loan  RBC Report
                                       Group) (decimal per annum)
----------------------------------------------------------------------------------------------------------------

[[Page 36246]]

 
Additional Inputs for ARMs (weighted
 averages for Loan Group, except for
 Index)
----------------------------------------------------------------------------------------------------------------
INDEXm                                Monthly values of the contractual Interest     section 3.3, Interest Rates
                                       Rate Index
----------------------------------------------------------------------------------------------------------------
LB                                    Look-Back period, in months                    RBC Report
----------------------------------------------------------------------------------------------------------------
MARGIN                                Loan Margin (over index), decimal per annum    RBC Report
----------------------------------------------------------------------------------------------------------------
RRP                                   Rate Reset Period, in months                   RBC Report
----------------------------------------------------------------------------------------------------------------
                                      Rate Reset Limit (up and down), decimal per    RBC Report
                                       annum
----------------------------------------------------------------------------------------------------------------
                                      Maximum Rate (life cap), decimal per annum     RBC Report
----------------------------------------------------------------------------------------------------------------
                                      Minimum Rate (life floor), decimal per annum   RBC Report
----------------------------------------------------------------------------------------------------------------
NAC                                   Negative Amortization Cap, decimal fraction    RBC Report
                                       of UPBORIG
----------------------------------------------------------------------------------------------------------------
                                      Unlimited Payment Reset Period, in months      RBC Report
----------------------------------------------------------------------------------------------------------------
PRP                                   Payment Reset Period, in months                RBC Report
----------------------------------------------------------------------------------------------------------------
                                      Payment Reset Limit, as decimal fraction of    RBC Report
                                       prior payment
----------------------------------------------------------------------------------------------------------------
IRP                                   Initial Rate Period, in months                 RBC Report
----------------------------------------------------------------------------------------------------------------
*Variable name is given when used in an equation

* * * * *
3.6.3.7.2 * * *


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


[[Page 36247]]

* * * * *
3.6.3.8.2 * * *


                               Table 3-54--Inputs for Whole Loan Accounting Flows
----------------------------------------------------------------------------------------------------------------
              Variable                                 Description                              Source
----------------------------------------------------------------------------------------------------------------
RM                                    Remaining Term to Maturity in months           RBC Report
----------------------------------------------------------------------------------------------------------------
UPD0                                  Sum of all unamortized discounts, premiums,    RBC Report
                                       fees, commissions, etc., for the loan group,
                                       such that the unamortized balance equals the
                                       book value minus the face value for the loan
                                       group at the start of the Stress Test,
                                       adjusted by the Unamortized Balance Scale
                                       Factor
----------------------------------------------------------------------------------------------------------------
NYR0                                  Net Yield Rate at time zero                    section 3.6.3.3.4, Mortgage
                                                                                      Amortization Schedule
                                                                                      Outputs
----------------------------------------------------------------------------------------------------------------
PUPBm                                 Performing Loan Group UPB in months m=0...RM   section 3.6.3.7.4, Stress
                                                                                      Test Whole Loan Cash Flow
                                                                                      Outputs
----------------------------------------------------------------------------------------------------------------
PTR0                                  Pass-Through Rate at time zero                 section 3.6.3.3.4, Mortgage
                                                                                      Amortization Schedule
                                                                                      Outputs
----------------------------------------------------------------------------------------------------------------
SPUPBm                                Security Performing UPB in months m=0...RM     section 3.6.3.7.4, Stress
                                                                                      Test Whole Loan Cash Flow
                                                                                      Outputs
----------------------------------------------------------------------------------------------------------------
SUPD0                                 The sum of all unamortized discounts,          RBC Report
                                       premiums, fees, commissions, etc. associated
                                       with the securities modeled using the Wtd
                                       Ave Percent Repurchased, such that the
                                       unamortized balance equals the book value
                                       minus the face value for the relevant
                                       securities at the start of the Stress Test,
                                       adjusted by the percent repurchased and the
                                       Security Unamortized Balance Scale Factor
----------------------------------------------------------------------------------------------------------------

* * * * *
3.7.2.1.1 * * *


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

[[Page 36248]]

 
Wt Avg Rate Reset Limit                      Rate reset limit up/down (ARM MBS only) (weighted average for
                                              underlying loans)
----------------------------------------------------------------------------------------------------------------
Wt Avg Life Interest Rate Ceiling            Maximum rate (lifetime cap) (ARM MBS only) (weighted average for
                                              underlying loans)
----------------------------------------------------------------------------------------------------------------
Wt Avg Life Interest Rate Floor              Minimum rate (lifetime floor) (ARM MBS only) (weighted average for
                                              underlying loans)
----------------------------------------------------------------------------------------------------------------
Wt Avg Payment Reset Period                  Payment reset period in months (ARM MBS only) (weighted average for
                                              underlying loans)
----------------------------------------------------------------------------------------------------------------
Wt Avg Payment Reset Limit                   Payment reset limit up/down (ARM MBS only) (weighted average for
                                              underlying loans)
----------------------------------------------------------------------------------------------------------------
Wt Avg Lookback Period                       The number of months to look back from the interest rate change
                                              date to find the index value that will be used to determine the
                                              next interest rate (ARM MBS only) (weighted average for underlying
                                              loans)
----------------------------------------------------------------------------------------------------------------
Wt Avg Negative Amortization Cap             The maximum amount to which the balance can increase before the
                                              payment is recast to a fully amortizing amount. It is expressed as
                                              a fraction of the original UPB. (ARM MBS only) (weighted average
                                              for underlying loans)
----------------------------------------------------------------------------------------------------------------
Wt Avg Initial Interest Rate Period          Number of months between the loan origination date and the first
                                              rate adjustment date (ARM MBS only) (weighted average for
                                              underlying loans)
----------------------------------------------------------------------------------------------------------------
Wt Avg Unlimited Payment Reset Period        Number of months between unlimited payment resets i.e., not limited
                                              by payment caps, starting with Origination date (ARM MBS only)
                                              (weighted average for underlying loans)
----------------------------------------------------------------------------------------------------------------
Notional Flag                                Indicates that amounts reported in Original UPB Amount and Current
                                              UPB Amount are notional
----------------------------------------------------------------------------------------------------------------
UPB Scale Factor                             Factor applied to the current UPB that offsets any timing
                                              adjustments between the security level data and the Enterprise's
                                              published financials
----------------------------------------------------------------------------------------------------------------
Whole Loan Modeling Flag                     Indicates that the Current UPB Amount and Unamortized Balance
                                              associated with this Repurchased MBS are included in the Wtg Avg
                                              Percent Repurchased and Security Unamortized Balance fields
----------------------------------------------------------------------------------------------------------------
FAS 115 Classification                       The financial instrument's classification according to FAS 115
----------------------------------------------------------------------------------------------------------------
HPGRK                                        Vector of House Price Growth Rates for quarters q=1...40 of the
                                              Stress Period
----------------------------------------------------------------------------------------------------------------

* * * * *
3.7.2.1.2 * * *
    [a] * * *


                   Table 3-57--RBC Report Inputs for Multi-Class and Derivative MBS Cash Flows
----------------------------------------------------------------------------------------------------------------
                  Variable                                               Description
----------------------------------------------------------------------------------------------------------------
CUSIP Number                                 A unique number assigned to publicly traded securities by the
                                              Committee on Uniform Securities Identification Procedures
----------------------------------------------------------------------------------------------------------------
Issuer                                       Issuer of the security: FNMA, FHLMC, GNMA or other
----------------------------------------------------------------------------------------------------------------
Original Security Balance                    Original principal balance of the security (notional amount for
                                              Interest-Only securities) at the time of issuance, multiplied by
                                              the Enterprise's percentage ownership
----------------------------------------------------------------------------------------------------------------
Current Security Balance                     Initial principal balance, or notional amount, at the start of the
                                              Stress Period multiplied by the Enterprise's percentage ownership
----------------------------------------------------------------------------------------------------------------
Current Security Percentage Owned            The percentage of a security's total current balance owned by the
                                              Enterprise
----------------------------------------------------------------------------------------------------------------
Unamortized Balance                          The sum of all unamortized discounts, premiums, fees, commissions,
                                              etc., such that the unamortized balance equals book value minus
                                              face value, adjusted by the Unamortized Balance Scale Factor
----------------------------------------------------------------------------------------------------------------

* * * * *
3.7.2.1.3 * * *
    [a] * * *


                      Table 3-58--RBC Report Inputs for MRBs and Derivative MBS Cash Flows
----------------------------------------------------------------------------------------------------------------
                  Variable                                               Description
----------------------------------------------------------------------------------------------------------------
CUSIP Number                                 A unique number assigned to publicly traded securities by the
                                              Committee on Uniform Securities Identification Procedures
----------------------------------------------------------------------------------------------------------------
Original Security Balance                    Original principal balance, multiplied by the Enterprise's
                                              percentage ownership
----------------------------------------------------------------------------------------------------------------
Current Security Balance                     Initial principal balance (at start of Stress Period), multiplied
                                              by the Enterprise's percentage ownership
----------------------------------------------------------------------------------------------------------------

[[Page 36249]]

 
Unamortized Balance                          The sum of all unamortized discounts, premiums, fees, commissions,
                                              etc., such that the unamortized balance equals book value minus
                                              face value, adjusted by the Unamortized Balance Scale Factor
----------------------------------------------------------------------------------------------------------------
Issue Date                                   The Issue Date of the security
----------------------------------------------------------------------------------------------------------------
Maturity Date                                The stated Maturity Date of the security
----------------------------------------------------------------------------------------------------------------
Security Interest Rate                       The rate at which the security earns interest, as of the reporting
                                              date
----------------------------------------------------------------------------------------------------------------
Principal Payment Window Starting Date,      The month in the Stress Test that principal payment is expected to
 Down-Rate Scenario                           start for the security under the statutory ``down'' interest rate
                                              scenario, according to Enterprise projections
----------------------------------------------------------------------------------------------------------------
Principal Payment Window Ending Date, Down-  The month in the Stress Test that principal payment is expected to
 Rate Scenario                                end for the security under the statutory ``down'' interest rate
                                              scenario, according to Enterprise projections
----------------------------------------------------------------------------------------------------------------
Principal Payment Window Starting Date, Up-  The month in the Stress Test that principal payment is expected to
 Rate Scenario                                start for the security under the statutory ``up'' interest rate
                                              scenario, according to Enterprise projections
----------------------------------------------------------------------------------------------------------------
Principal Payment Window Ending Date, Up-    The month in the Stress Test that principal payment is expected to
 Rate Scenario                                end for the security under the statutory ``up'' interest rate
                                              scenario, according to Enterprise projections
----------------------------------------------------------------------------------------------------------------
Security Rating                              The most current rating issued by any Nationally Recognized
                                              Statistical Rating Organization (NRSRO) for this security, as of
                                              the reporting date. In the case of a ``split'' rating, the lowest
                                              rating should be given
----------------------------------------------------------------------------------------------------------------
Security Rate Index                          If the rate on the security adjusts over time, the index on which
                                              the adjustment is based
----------------------------------------------------------------------------------------------------------------
Security Rate Index Coefficient              If the rate on the security adjusts over time, the coefficient is
                                              the number used to multiply by the value of the index
----------------------------------------------------------------------------------------------------------------
Security Rate Index Spread                   If the rate on the security adjusts over time, the spread is added
                                              to the value of the index multiplied by the coefficient to
                                              determine the new rate
----------------------------------------------------------------------------------------------------------------
Security Rate Adjustment Frequency           The number of months between rate adjustments
----------------------------------------------------------------------------------------------------------------
Security Interest Rate Ceiling               The maximum rate (lifetime cap) on the security
----------------------------------------------------------------------------------------------------------------
Security Interest Rate Floor                 The minimum rate (lifetime floor) on the security
----------------------------------------------------------------------------------------------------------------

* * * * *
3.8.2 * * *
    [a] * * *


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

[[Page 36250]]

 
Current Unamortized Discount             Current unamortized premium or unaccreted discount of the instrument
                                          adjusted by the Unamortized Balance Scale Factor. If the proceeds from
                                          the issuance of debt or derivatives or the amount paid for an asset
                                          were greater than par, the value should be positive. If the proceeds
                                          or the amounts paid were less than par, the value should be negative
----------------------------------------------------------------------------------------------------------------
Current Unamortized Fees                 Current unamortized fees associated with the instrument adjusted by the
                                          Unamortized Balance Scale Factor. Generally fees associated with the
                                          issuance of debt or derivatives should be negative numbers. Fees
                                          associated with the purchase of an asset should generally be reported
                                          as positive numbers
----------------------------------------------------------------------------------------------------------------
Current Unamortized Hedge                Current unamortized hedging gains (positive) or losses (negative)
                                          associated with the instrument adjusted by the Unamortized Balance
                                          Scale Factor
----------------------------------------------------------------------------------------------------------------
Current Unamortized Other                Any other unamortized items originally associated with the instrument
                                          adjusted by the Unamortized Balance Scale Factor. If the proceeds from
                                          the issuance of debt or derivatives or the amount paid for an asset
                                          was greater than par, the value should be positive. If the proceeds or
                                          the amounts paid were less than par, the value should be negative.
----------------------------------------------------------------------------------------------------------------
CUSIP--ISIN                              CUSIP or ISIN Number identifying the instrument
----------------------------------------------------------------------------------------------------------------
Day Count                                Day count convention (e.g. 30/360)
----------------------------------------------------------------------------------------------------------------
End Date                                 The last index repricing date
----------------------------------------------------------------------------------------------------------------
EOP Principal Balance                    End of Period face, principal or notional, amount of the instrument
----------------------------------------------------------------------------------------------------------------
Exact Representation                     Indicates that an instrument is modeled according to its contractual
                                          terms
----------------------------------------------------------------------------------------------------------------
Exercise Convention                      Indicates option exercise convention (e.g., American Option)
----------------------------------------------------------------------------------------------------------------
Exercise Price                           Par=1.0; Options
----------------------------------------------------------------------------------------------------------------
First Coupon Date                        Date first coupon is received or paid
----------------------------------------------------------------------------------------------------------------
Index Cap                                Indicates maximum index rate
----------------------------------------------------------------------------------------------------------------
Index Floor                              Indicates minimum index rate
----------------------------------------------------------------------------------------------------------------
Index Reset Frequency                    Indicates how often the interest rate index resets on floating-rate
                                          instruments
----------------------------------------------------------------------------------------------------------------
Index Code                               Indicates the interest rate index to which floating-rate instruments
                                          are tied (e.g., LIBOR)
----------------------------------------------------------------------------------------------------------------
Index Term                               Point on yield curve, expressed in months, upon which the index is
                                          based
----------------------------------------------------------------------------------------------------------------
Instrument Credit Rating                 NRSRO credit rating for the instrument
----------------------------------------------------------------------------------------------------------------
Instrument Credit Rating Type            An indicator identifying the instruments credit rating as short-term
                                          (S) or long-term (L)
----------------------------------------------------------------------------------------------------------------
Instrument ID                            An integer used internally by the Enterprise that uniquely identifies
                                          the instrument
----------------------------------------------------------------------------------------------------------------
Interest Currency Code                   Indicates currency in which interest payments are paid or received
----------------------------------------------------------------------------------------------------------------
Interest Type Code                       Indicates the method of interest rate payments (e.g., fixed, floating,
                                          step, discount)
----------------------------------------------------------------------------------------------------------------
Issue Date                               Indicates the date that the instrument was issued
----------------------------------------------------------------------------------------------------------------
Life Cap Rate                            The maximum interest rate for the instrument throughout its life
----------------------------------------------------------------------------------------------------------------
Life Floor Rate                          The minimum interest rate for the instrument throughout its life
----------------------------------------------------------------------------------------------------------------
Look-Back Period                         Period from the index reset date, expressed in months, that the index
                                          value is derived
----------------------------------------------------------------------------------------------------------------
Maturity Date                            Date that the instrument contractually matures
----------------------------------------------------------------------------------------------------------------
Notional Indicator                       Identifies whether the face amount is notional
----------------------------------------------------------------------------------------------------------------
Instrument Type Code                     Indicates the type of instrument to be modeled (e.g., ABS, Cap, Swap)
----------------------------------------------------------------------------------------------------------------
Option Indicator                         Indicates if instrument contains an option
----------------------------------------------------------------------------------------------------------------
Option Type                              Indicates option type (e.g., Call option)
----------------------------------------------------------------------------------------------------------------
Original Asset Face Amount               Original face amount of the asset underlying a swap
----------------------------------------------------------------------------------------------------------------
Original Discount                        Original premium or discount associated with the purchase or sale of
                                          the instrument adjusted by the Unamortized Balance Scale Factor. If
                                          the proceeds from the issuance of debt or derivatives or the amount
                                          paid for an asset were greater than par, the value should be positive.
                                          If the proceeds or the amounts paid were less than par, the value
                                          should be negative
----------------------------------------------------------------------------------------------------------------
Original Face                            Original face, principal or notional, amount of the instrument
----------------------------------------------------------------------------------------------------------------

[[Page 36251]]

 
Original Fees                            Fees or commissions paid at the time of purchase or sale adjusted by
                                          the Unamortized Balance Scale Factor. Generally fees associated with
                                          the issuance of debt or derivatives should be negative numbers. Fees
                                          associated with the purchase of an asset should generally be reported
                                          as positive numbers
----------------------------------------------------------------------------------------------------------------
Original Hedge                           Gains (positive) or losses (negative) from closing out a hedge
                                          associated with the instrument at settlement, adjusted by the
                                          Unamortized Balance Scale Factor
----------------------------------------------------------------------------------------------------------------
Original Other                           Any other amounts originally associated with the instrument to be
                                          amortized or accreted adjusted by the Unamortized Balance Scale
                                          Factor. If the proceeds from the issuance of debt or derivatives or
                                          the amount paid for an asset were greater than par, the value should
                                          be positive. If the proceeds or the amounts paid were less than par,
                                          the value should be negative
----------------------------------------------------------------------------------------------------------------
Parent Entity ID                         Enterprise internal tracking ID for parent entity
----------------------------------------------------------------------------------------------------------------
Payment Amount                           Interest payment amount associated with the instrument (reserved for
                                          complex instruments where interest payments are not modeled)
----------------------------------------------------------------------------------------------------------------
Payment Frequency                        Indicates how often interest payments are made or received
----------------------------------------------------------------------------------------------------------------
Performance Date                         ``As of'' date on which the data is submitted
----------------------------------------------------------------------------------------------------------------
Periodic Adjustment                      The maximum amount that the interest rate for the instrument can change
                                          per reset
----------------------------------------------------------------------------------------------------------------
Position Code                            Indicates whether the Enterprise pays or receives interest on the
                                          instrument
----------------------------------------------------------------------------------------------------------------
Principal Currency Code                  Indicates currency in which principal payments are paid or received
----------------------------------------------------------------------------------------------------------------
Principal Factor Amount                  EOP Principal Balance expressed as a percentage of Original Face
----------------------------------------------------------------------------------------------------------------
Principal Payment Date                   A valid date identifying the date that principal is paid
----------------------------------------------------------------------------------------------------------------
Settlement Date                          A valid date identifying the date the settlement occurred
----------------------------------------------------------------------------------------------------------------
Spread                                   An amount added to an index to determine an instrument's interest rate
----------------------------------------------------------------------------------------------------------------
Start Date                               The date, spot or forward, when some feature of a financial contract
                                          becomes effective (e.g., Call Date), or when interest payments or
                                          receipts begin to be calculated
----------------------------------------------------------------------------------------------------------------
Strike Rate                              The price or rate at which an option begins to have a settlement value
                                          at expiration, or, for interest-rate caps and floors, the rate that
                                          triggers interest payments
----------------------------------------------------------------------------------------------------------------
Submitting Entity                        Indicates which Enterprise is submitting information
----------------------------------------------------------------------------------------------------------------
Trade ID                                 Unique code identifying the trade of an instrument
----------------------------------------------------------------------------------------------------------------
Transaction Code                         Indicates the transaction that an Enterprise is initiating with the
                                          instrument (e.g. buy, issue reopen)
----------------------------------------------------------------------------------------------------------------
Transaction Date                         A valid date identifying the date the transaction occurred
----------------------------------------------------------------------------------------------------------------
UPB Scale Factor                         Factor applied to UPB to adjust for timing differences
----------------------------------------------------------------------------------------------------------------
Unamortized Balances Scale Factor        Factor applied to Unamortized Balances to adjust for timing differences
----------------------------------------------------------------------------------------------------------------

* * * * *
3.8.3.6.2 * * *
    [a] * * *
    [b] * * *
    [c] * * *
    [d] Futures and Options on Futures also require special treatment:
1. Settle positions on their expiration dates. Exercise only in-the-
money options (settlement value greater than zero).
2. Settle all contracts for cash.
3. Calculate the cash settlement amount--the change in price of a 
contract from the contract trade date to its expiration date. Calculate 
the price on the expiration date based on stress test interest rates 
(or, as necessary, forward rates extrapolated from these rates).
4. Amortize amounts received or paid at the expiration date into income 
or expense on a straight-line basis over the life of the underlying 
instrument (in the case of an option on a futures contract, the life of 
the instrument underlying the futures contract).
5. Amortize an option premium on a straight-line basis over the life of 
the option. (Amortize any remaining balances upon option exercise.)
    [e] Swaptions also require special treatment:
1. Assume swap settlement (i.e., initiation of the underlying swap) 
when a swap option is exercised.
2. Calculate a ``normalized'' fixed-pay coupon by subtracting the 
spread over the index, if any, from the coupon on the fixed-rate swap 
leg.
3. For all exercise types (American, Bermudan, and European), 
consistent with RBC Rule section 3.8.3.7, assume exercise by the party 
holding the swap option if the equivalent maturity Enterprise Cost of 
Funds is more than
    a. 50 basis points above the normalized fixed-pay coupon, for a 
pay-fixed swaption (a call or `payor' swaption), or
    b. 50 basis points below the normalized fixed pay coupon for a 
receive-fixed swaption (a put or `receiver' swaption).
4. Amortize option premiums on a straight-line basis over the option 
term. (Amortize any remaining balances upon option exercise).
    [f] CPI-Linked Instruments also require special treatment. The 
stress test lacks the ability to accommodate

[[Page 36252]]

floating-rate instruments that reset in response to changes in the 
consumer price index (CPI) as published by the Bureau of Labor 
Statistics. Enterprise issuance of CPI-linked instruments is tied to 
swap market transactions intended to create desired synthetic debt 
structure and terms. In such cases, the true economic position nets to 
the payment terms of the related derivative contract. Accordingly, in 
order to accommodate and address the existence of CPI-linked 
instruments in the Enterprises' portfolios, the net synthetic position 
shall be evaluated in the stress test. That is, for CPI-linked 
instruments tied to swap transactions that are formally linked in a 
hedge accounting relationship, the Enterprise should substitute the 
CPI-linked instrument's coupon payment terms with those of the related 
swap contract.
    [g] Pre-refunded municipal bonds also require special treatments. 
Pre-refunded municipal bonds are collateralized by securities that are 
structured to fund all the cash flows of the refunded municipal bonds 
until the bonds are callable. Since the call date for the bonds, also 
referred to as the pre-refunded date, is a more accurate representation 
of the payoff date than the contractual maturity date of the bonds, the 
stress test models the bonds to mature on the call date.
* * * * *
3.9.2 * * *

            Table 3-70--Alternative Modeling Treatment Inputs
------------------------------------------------------------------------
            Variable                           Description
------------------------------------------------------------------------
TYPE                             Type of item (asset, liability or off-
                                  balance sheet item)
------------------------------------------------------------------------
BOOK                             Book Value of item (amount outstanding
                                  adjusted for deferred items)
------------------------------------------------------------------------
FACE                             Face Value or notional balance of item
                                  for off-balance sheet items
------------------------------------------------------------------------
REMATUR                          Remaining Contractual Maturity of item
                                  in whole months. Any fraction of a
                                  month equals one whole month.
------------------------------------------------------------------------
RATE                             Interest Rate
------------------------------------------------------------------------
INDEX                            Index used to calculate Interest Rate
------------------------------------------------------------------------
FAS115                           Designation that the item is recorded
                                  at fair value, according to FAS 115
------------------------------------------------------------------------
RATING                           Instrument or counterparty rating
------------------------------------------------------------------------
FHA                              In the case of off-balance sheet
                                  guarantees, a designation indicating
                                  100% of collateral is guaranteed by
                                  FHA
------------------------------------------------------------------------
MARGIN                           Margin over an Index
------------------------------------------------------------------------

* * * * *
3.10.3.6.2 * * *
    [a] * * *
1. Fair Values
    a. The valuation impact of any Applicable Fair Value Standards 
(AFVS), cumulative from their time of implementation, will be reversed 
out of the starting position data, by debiting any accumulated credits, 
and crediting any accumulated debits.
    (1) AFVS are defined as GAAP pronouncements that require 
recognition of periodic changes in fair value, e.g., EITF 99-20, FAS 
65, FAS 87, FAS 115, FAS 133, FAS 140, FAS 149 and FIN 45.
    (2) The GAAP pronouncements covered by this treatment are subject 
to OFHEO review. The Enterprises will submit a list of standards and 
pronouncements which are being reversed in the RBC Reports.
    b. After reversing the valuation impact of AFVS, any affected 
activities are rebooked as follows:
    (1) If absent the adoption of the AFVS, the affected transactions 
would have been accounted for on an historical cost basis, they are 
rebooked and presented as if they had always been accounted for on an 
historical cost basis. (The historical cost basis may include 
amortization from the time of the activity to the beginning of the 
stress test.)
    (2) To the extent that transactions would not have been accounted 
for on an historical cost basis, they are accounted for as if they were 
income and expense activities.
* * * * *

    Dated: June 6, 2006.
James B. Lockhart III,
Acting Director, Office of Federal Housing Enterprise Oversight.
[FR Doc. 06-5330 Filed 6-23-06; 8:45 am]
BILLING CODE 4220-01-P