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tkelley on DSKBCP9HB2PROD with PROPOSALS

Federal Register / Vol. 86, No. 5 / Friday, January 8, 2021 / Proposed Rules the Elected Calculation Time on each Calculation Date. Unless the Enterprise elects a different Elected Calculation Time by written notice approved by FHFA, the Elected Calculation Time will be 6 p.m. EST. The Enterprise may not change its Elected Calculation Time without prior written approval by FHFA.
c Operational requirements for High Quality Liquid Assets. An Enterprise must meet the following requirements for assets held as High Quality Liquid Assets for purposes of meeting the minimum liquidity requirements:
1 Implement and maintain appropriate procedures and systems to monetize the High Quality Liquid Assets at any time in accordance with applicable standard settlement procedures;
2 Conduct periodic testing of the effectiveness and ability of Enterprise procedures and systems to monetize a sample of High Quality Liquid Assets held;
3 Implement and maintain policies requiring all High Quality Liquid Assets to be controlled by the Enterprise management function responsible for managing Enterprise liquidity risk, including a requirement that the High Quality Liquid Assets be segregated from other Enterprise assets for the sole purpose of providing liquidity to the Enterprise in times of market stress; and 4 Implement and maintain policies and procedures that, on a daily basis:
i Identify where the High Quality Liquid Asset is held by legal entity, geographic location, currency, custodial or bank account, and other relevant identifying factors; and ii Determine that the assets held as High Quality Liquid Assets continue to qualify as High Quality Liquid Assets.
d Minimum Stress Assumptions. An Enterprise must use the Minimum Stress Assumptions in determining its Total Cash Inflows and Total Cash Outflows to calculate its liquidity position and compliance with the minimum liquidity requirements established under 1241.11a and b for a 30-day period and a 365-day period, and under 1241.11c for the long-term liquidity requirements.
Minimum Stress Assumptions means the following stress scenarios:
1 Complete loss of enterprise ability to issue unsecured debt. In determining its cash inflows and outflows, the Enterprise must assume it is unable to issue any unsecured debt or receive cash from any unsecured debt issuance for the 365 days following the Calculation Date, except for unsecured debt traded but not yet settled as of the Calculation Date.

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2 Continued mortgage purchases from enterprise cash window and whole loan conduit, with limited ability to sell or securitize mortgagesi Singlefamily. In determining its cash inflows and outflows from its single-family mortgage operations, the Enterprise must:
A Assume it must continue to fund all forecasted single-family mortgage purchases based on Enterprise models for 30 days and 365 days, respectively, following the Calculation Date.
B Assume that, except for mortgages to be delivered under TBA contracts that are cleared through FICC and held by the Enterprise as of the Elected Calculation Time on the Calculation Date, it is unable to sell or securitize any mortgages until the later of 60 days following the Calculation Date or 30
days following acquisition of the mortgage.
C Not include in its cash inflow calculations mortgage sales on existing TBA contracts in excess, as of any Calculation Date, of existing Enterprise mortgage purchases and commitments to purchase mortgages.
D Not double-count its cash inflows for the sale or securitization of a mortgage and from cash inflows arising from an existing TBA contract on that mortgage. For example, an Enterprise may include a cash inflow from the sale of a mortgage, but if so, it may not also incorporate a cash inflow from a TBA
contract associated with the same mortgage.
ii Multifamily. In determining its cash inflows and outflows from its multifamily mortgage operations, the Enterprise must:
A Assume it must continue to fund all forecasted multifamily mortgage purchases over 30 days and 365 days, respectively, following the Calculation Date.
B For any multifamily mortgage that an Enterprise acquires and receives delivery of on or before the Calculation Date, assume it sells or securitizes such mortgage, and receives corresponding cash inflow, starting on day 91
following the Calculation Date, provided that the Enterprise held such a loan for a total of 180 days.
C For any multifamily mortgage that an Enterprise acquires and receives delivery of after the Calculation Date, assume it is unable to sell or securitize such mortgage until at least 180 days following acquisition and delivery. An Enterprise may assume, to the extent it sufficiently documents the factual basis for the assumption, that it is able to sell or securitize a multifamily mortgage after a certain number of days following acquisition of the mortgage, provided
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that the assumed number of days is not less than 180 days.
3 Increase in borrower delinquencies under stress conditions. In determining its cash inflows, the Enterprise must assume the number of borrowers failing to make scheduled principal, interest, tax, and insurance payments under their mortgages increases consistent with a stress scenario. The Enterprise must assume that the Enterprise is required to advance principal, interest, tax, and insurance payments as required under its MBS trust agreements, and consistent with its servicing agreements. To determine the stress increase in borrowers, the Enterprise must use either the following assumed stress scenarios, whichever results in the greater stress estimate of borrowers failing to make scheduled mortgage payments:
i The most recent Dodd-Frank Act Stress Test DFAST severe stress scenario assumptions provided to the Enterprise by FHFA; or ii Other stress scenarios as FHFA
may prescribe by order.
4 Increase in delinquent loan buyouts from enterprise-guaranteed MBS under stress conditions. i In determining its cash outflows, the Enterprise must determine stress volumes of delinquent loan buyouts from its guaranteed MBS for 30 days following the Calculation Date, and for 365 days following the Calculation Date.
To make such determination, the Enterprise must use either of the following assumed stress scenarios, whichever results in the greater stress estimate of delinquent mortgage buyouts:
A The most recent DFAST severe stress scenario assumptions provided to the Enterprise by FHFA, or B Other stress scenarios as FHFA
may prescribe by order.
ii An Enterprise may assume, to the extent that it sufficiently documents the evidentiary basis for the assumption, that it could sell delinquent mortgages forecasted to be repurchased from pools beginning a certain number of days from the forecasted repurchase date, provided that the assumed number of days is not less than 180 days.
5 Immediate need to meet collateral requirements to maintain access to short-term lending market. In determining its cash outflows, the Enterprise must assume a cash outflow, on the first day following the Calculation Date i.e., Day 1, in the amount of initial collateral that the FICC
requires the Enterprise to post in order to access the FICC facility for the calendar month following the Calculation Date. If the FICC has not yet
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