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Federal Register / Vol. 86, No. 5 / Friday, January 8, 2021 / Proposed Rules B The Spread Duration of Retained Portfolio Assets equals the three-month moving average of the daily spread duration of all Enterprise retained portfolio assets funded in whole or in part by unsecured debt for each business day during the previous threemonth period.
1 The daily spread duration of all Enterprise retained portfolio assets funded in whole or in part by unsecured debt on a particular business day equals the weighted average of the individual spread duration for each such retained portfolio asset weighted by the product of the UPB and the price for the retained portfolio asset for that day.
2 The three-month moving average of the daily spread duration of all Enterprise retained portfolio assets funded in whole or in part by unsecured debt is equal to the sum of the daily spread duration for all such Enterprise retained portfolio assets for each business day over the three-month period preceding the Calculation Date divided by the total number of business days during the three-month period.
C An Enterprise may use the following assumptions or exclusions for the specified assets and unsecured debt to calculate its Spread Duration of Unsecured Debt and Spread Duration of Retained Portfolio Assets:
1 For callable debt issued by the Enterprise, the Enterprise may assume that it will not call its callable debt and, instead, use the maturity rather than the actual spread duration of its callable debt.
2 For single-family loans that the Enterprise has purchased and that are in process of securitization, the Enterprise may assume, to the extent that the Enterprise sufficiently documents the evidentiary basis supporting the assumption, a certain holding period for the loans in order to calculate their spread duration, provided that the assumed holding period is not less than two months.
3 For multifamily loans that the Enterprise has purchased and that are in process of securitization, the Enterprise may assume, to the extent that the Enterprise sufficiently documents the evidentiary basis supporting the assumption, a certain holding period for the loans in order to calculate their spread duration, provided that the assumed holding period is not less than six months.
4 For Enterprise-created trusts whose assets are funded, not by unsecured debt issued by the Enterprise, but by debt issued by the respective trusts and backed by assets of the trusts, the Enterprise may exclude such trusts from its calculation of the Spread
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Duration of Unsecured Debt and the Spread Duration of Retained Portfolio Assets. For example, the Enterprise may exclude from its calculation of the spread duration requirement certain trusts related to credit risk transfers, e.g., Freddie Mac STACR CLN Trusts and Fannie Mae CAS CLN Trusts.
5 For High Quality Liquid Assets, an Enterprise may exclude such assets from its calculation of Spread Duration of Retained Portfolio Assets. An Enterprise may also exclude from its calculation of Spread Duration of Retained Portfolio Assets, Treasury assets that are posted as collateral with the FICC for initial margin.
1241.12 Temporary reduction of liquidity requirements.

An Enterprise is not required to meet one or more of the minimum liquidity requirements if FHFA determines that, due to economic, market, or other circumstances, temporarily reduced liquidity levels are necessary or appropriate for the Enterprises to support liquidity in the secondary mortgage market. Such determination shall be evidenced by an FHFA order, which shall set forth the adjusted minimum liquidity requirements applicable to the Enterprise, and be temporary and time-limited to address the relevant circumstances.
Subpart CReporting Requirements 1241.20

Required liquidity reporting.

a Reporting to FHFA. An Enterprise shall report to FHFA daily using the close of business position of the prior business day, the Enterprise calculations of its liquidity position and compliance under each of the minimum liquidity requirements, as of the Elected Calculation Time on the Calculation Date. Such reporting shall be in a form, manner, and content as directed by FHFA. At a minimum, the Enterprise liquidity reports shall include:
1 The daily metric for each of the four liquidity requirements that demonstrates compliance with this part;
2 Key stress scenario assumptions used to calculate Enterprise liquidity metrics, as well as any significant changes in those assumptions from prior reports;
3 Summary of the respective cash flows for each of the stressed cash flow scenarios and other significant information related to the 30-day and 365-day metrics, e.g., the delinquent loan purchases, and cash window and whole loan conduit purchases;
4 Supplemental reports explaining the components of the numerator and denominator of the first long-term
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liquidity and funding requirement, e.g., the composition of the unsecured debt and the composition of FICC-eligible and non-FICC-eligible collateral; and 5 Supplemental reports explaining the components of the numerator and denominator of the second long-term liquidity and funding requirement, e.g., the composition of the spread duration of the unsecured debt and the composition of the spread duration of the retained portfolio assets.
b Minimum enterprise management reporting. An Enterprise shall include in its internal management reports the Enterprise reports to FHFA required under paragraph a of this section.
Enterprise management, in exercise of its prudential management obligations, may require additional reporting regarding Enterprise liquidity.
c Public reporting. An Enterprise shall make public monthly reports on its liquidity through its monthly volume summaries, reporting average and month-end liquidity positions for each of the minimum liquidity requirements including key assumptions used in the calculation of each of the four liquidity and funding requirements.
1241.21

Reporting orders.

FHFA may, by order, specify or add to the form, manner, or content of required reporting. FHFA may amend such reporting orders from time to time as appropriate.
Subpart DSupervisory Framework for Remediating Minimum Liquidity 1241.30 Remediation of minimum liquidity shortfall.

a Notification requirements. An Enterprise must notify FHFA in writing, beyond the regular daily FHFA
reporting, on any business day that the Enterprise liquidity position is calculated to be less than any of the minimum requirements set forth in 1241.11 or any applicable modified temporary minimum liquidity requirements ordered by FHFA. An Enterprise must also notify FHFA in writing on any business day that the Enterprise liquidity position is calculated to be less than any of the minimum liquidity limits established by the Board of the Directors of the Enterprise.
b Liquidity plan. 1 If, as of a Calculation Date, an Enterprises liquidity position is calculated to be less than any applicable liquidity requirements, the Enterprise must submit to FHFA a plan for achieving compliance with the applicable requirements, unless FHFA instructs otherwise.

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