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Federal Register / Vol. 86, No. 5 / Friday, January 8, 2021 / Proposed Rules TABLE 1EXAMPLE DETERMINATION OF HIGHEST DAILY CUMULATIVE NET CASH OUTFLOWContinued $B
Day
Day Day Day Day Day Day Day Day Day Day Day Day Day Day Day Day Day
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30

Cash outflows

Table 1 illustrates the determination of the total net cash outflow amount using hypothetical daily outflow and inflow calculations for a given 30
calendar-day stress period. Based on the example provided, the peak net cash need would occur on Day 25, resulting in a Highest Daily Cumulative Net Cash Outflow of $80 billion.
The proposed rule does not permit an Enterprise to double count items in this computation. For example, if the fair market value of an asset is included as a part of the highly liquid asset portfolio, such asset may not also be counted as a cash inflow on its maturity date.
Question 3. Does the method FHFA is proposing for cumulative net cash outflows appropriately capture the potential mismatch between the timing of inflows and outflows under the 30
calendar-day stress period? Why or why not?

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5. Daily Excess Requirement For purposes of the 30-day requirement, the proposed rule would require that the Enterprises must maintain a minimum daily excess requirement of at least $10 billion for each day within the first 30 days aka the Daily Excess Requirement. The purpose of this Daily Excess Requirement is to address the possibility of errors and other unforeseen operational errors.
Question 4. For the 30-day requirement, does the proposed $10
billion Daily Excess Requirement adequately address possible forecasting errors and other residual liquidity risks?
Should FHFA consider a larger Daily Excess Requirement than $10 billion? A
smaller amount?

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Cash inflows
40
20
45
10
90
40
50
30
30
10
15
140
20
40
10
30
25

For purposes of the 365-day requirement, the proposed rule would require no minimum Daily Excess Requirement. FHFA does not propose a daily excess requirement for the 365-day requirement because of the longer-term nature of the requirement.
Question 5. For the 365-day requirement, should FHFA consider a Daily Excess Requirement like the one for the 30-day requirement? If so, what would be an appropriate Daily Excess Requirement for the 365-day minimum liquidity requirement?
6. Stressed Cash Flow Scenarios As noted above, the proposed rule would require each Enterprise to forecast expected corporate cash outflows and expected cash inflows from all sources. As described below, the proposed rule would further require that the measure of the enterprise-wide cumulative net cash flows reflects the impact of the stress events.
Given the importance of the Enterprises as key providers of mortgage market liquidity, the proposed rule would assume seven stressed cash outflow and inflow assumptions. These stressed cash flow assumptions included in the proposed rule take into account the potential impact of idiosyncratic and market-wide shocks, including those that would result in:
1 A complete loss of Enterprise ability to issue unsecured debt during the relevant period see section below entitled Complete Loss of Ability to Issue Unsecured Debt;
2 An increased cash outflow associated with additional daily singlefamily and multifamily cash window or whole loan conduit purchases to support the mortgage market,
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40
15
25
20
150
35
15
20
10
20
15
70
25
45
10
30
30

Daily net cash outflow
Daily cumulative net cash outflow
5
20
10
60
5 35
10
20
10
70
5 5

5

5
20
10
50
45
10
20
10
10
80
75
70
70
70
65

particularly small lenders, during a crisis see section below entitled Cash Window or Whole Loan Conduit Purchases;
3 A decreased cash inflow due to the assumed increase in the number of borrowers who fail to make their scheduled principal, interest, tax, and insurance payments to the servicers under a stressed economic environment see section entitled Borrower Scheduled Principal, Interest, Tax, and Insurance Remittances;
4 An increased cash outflow requirement to fund delinquent loan buyouts under a stressed economic environment see section entitled Delinquent Loan Buyouts from MBS
Trusts;
5 An increased cash outflow based on the Enterprises best estimate of the collateral it will be required to post with the FICC for the next month see section entitled FICC Collateral Needs;
6 An increased cash outflow from unscheduled draws on committed liquidity facilities that the Enterprises have provided to their clients related to variable-rate demand bonds see section entitled Liquidity Facility for VariableRate Demand Bonds; and 7 A decreased cash inflow due to the assumed failure of the Enterprises five top non-bank servicers by UPB to make timely principal, interest, tax, and insurance payments to the Enterprises during the next month under a stressed economic environment see section entitled Non-Bank Seller/Servicer Shortfalls.
To determine decreased cash inflows and increased cash outflows due to higher numbers of delinquent borrowers and to higher loan buy-out from MBS
trusts, the proposed rule would require
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