Voglio sapere a riguardo di…

1316

Federal Register / Vol. 86, No. 5 / Friday, January 8, 2021 / Proposed Rules
tkelley on DSKBCP9HB2PROD with PROPOSALS

large enough to fund the first three months of multifamily loan purchases through the cash window. The proposed rule assumes that the Enterprises will forecast expected multifamily loan cash purchases for the entire 365-day period.
For multifamily loans, the typical holding period prior to securitization is approximately three to four months but for some multifamily loans it is much longer. If the Enterprises can demonstrate that they can securitize and sell all of their multifamily loans within 180 days, the proposed rule would allow them to assume that multifamily loans purchased on:
Day 1 can be securitized and sold on day 181;
Day 31 can be securitized and sold on day 211; and Day 61 can be securitized and sold on day 241.
For existing multifamily loans delivered and owned by an Enterprise at the close of business on Day 0, the proposed rule would allow an Enterprise to include cash inflows from the sale and securitization of such multifamily loans on Day 91, which reflects a simplifying assumption that the weighted average time that the Enterprise held the existing multifamily loans in the cash window portfolio at the close of business on Day 0 is approximately 90
days.
Question 8. For the 365-day requirement, should the proposed rule allow for a shorter or longer time period than six-month assumption for the securitization and sale of multifamily loans? Should the proposed rule consider an alternative cash inflow process arising from the securitization and sale of multifamily loans?
c. Borrower Scheduled Principal, Interest, Tax, and Insurance Remittances The proposed rule would require that the 30-day and 365-day requirements have an additional cash inflow stress that assumes that an increased number of borrowers fail to make scheduled principal, interest, tax, and insurance payments consistent with the specified stress scenario. These reduced cash inflows from borrowers would increase cash outflows needed to be made by the Enterprises to the MBS investors and to other entities when the servicers are not required to advance full scheduled payments to the Enterprises, including where servicers are under an actual 6
6 The Enterprises have contracts with servicers to remit borrower principal, interest, tax, and insurance payments. Some of these contracts allow the servicers to remit only the actual principal or actual interest payments made by the borrowers. In cases where the servicer is not obligated to advance missed borrower payments, the Enterprises must
VerDate Sep<11>2014

20:05 Jan 07, 2021

Jkt 253001

contractual remittance obligation to the Enterprises or are otherwise not required to make such advances. FHFA
proposes that the Enterprises estimate these cash outflows based on the greater of the cash outflows estimated using: 1
The most recent DFAST scenario assumptions and resulting delinquencies: or 2 Such other scenarios prescribed by order of FHFA.
Effectively this stress scenario increases the Enterprises cash outflows in months one through 12 and so it affects both the 30-day and the 365-day requirement.
d. Delinquent Loan Buyouts From MBS
Trusts The proposed rule would require that the Enterprises must fund delinquent single-family loan buyouts from MBS
pools assuming an increase in delinquent mortgage loans under an assumed stress scenario prescribed by FHFA under its DFAST scenarios or other stress scenarios by order. The objective is to ensure that the Enterprises have a liquidity portfolio large enough to continue to fund the purchase of delinquent loans from MBS
Trusts in a stress scenario. FHFA
proposes that the Enterprises estimate these cash outflows based on the greater of the cash outflows estimated using: 1
The most recent DFAST scenario assumptions and resulting delinquencies: or 2 Such other stress scenarios prescribed by FHFA order.
For the proposed 30-day and 365-day requirements, the Enterprises must project the cash outflows arising from delinquent loan buyouts over the relevant period assuming the most recent DFAST scenario assumptions and resulting delinquencies or such other stress scenarios prescribed by FHFA
order. In June 2020, FHFA directed the Enterprises to use the greater of DFAST
scenarios or more recent forbearance history if more stressful. Provided that the Enterprises can adequately support the following assumption, the proposed rule would allow the Enterprise to forecast cash inflows based on sales of reperforming loans that were purchased from pools but only after 180 days of reperformance history which would allow them to be readily securitized into MBS
assets eligible as collateral for funding transactions cleared through the FICC.
For example, if an Enterprise can document that over the past 12 months, the average time it took to securitize reperforming loans into securities was six months, then FHFA would consider that adequate support. The FHFA
make the payment of principal and interest to the MBS investor.

PO 00000

Frm 00014

Fmt 4702

Sfmt 4702

supervisory team would validate that there is adequate documentation to support such an assumption.
e. FICC Collateral Needs The proposed rule would require that the Enterprises estimate the cash outflow needed to prefund its expected FICC collateral requirement for the next month. The Enterprises heavily rely on the FICC to conduct their mortgage purchase operations and FICC access to clear trades on the appropriate settlement dates, as well as to support U.S. Treasury functions like the purchase of Treasury repurchase agreements through the FICC. The FICC, specifically its capped contingency liquidity facility CCLF requires a minimum amount of collateral be posted each month with the FICC. The CCLF collateral requirement has two components, that is, a Mortgage Backed Securities Division within the FICC
component arising from the Enterprises TBA clearing activity and a Government Securities Division within the FICC
component arising from the Enterprises FICC-cleared repo activity. The proposed rule would require that an Enterprises liquidity portfolio be large enough to accommodate a cash outflow on Day 1 of the forecast equal to the CCLF collateral requirement for the next month. The FICC provides the Enterprises with the collateral requirement each month based on the Enterprises use of the FICC.
The proposed rule would require that the Enterprises assume that there is a 100 percent cash outflow for the expected next months FICC collateral requirement on Day 1.
f. Liquidity Facility for Variable-Rate Demand Bonds The proposed rule would require that the Enterprises assume that all contingent liabilities, and associated cashflows, related to the Enterprises variable-rate demand bonds VRDBs are treated as cash outflows on Day 1.
As part of the Enterprises guarantee arrangements pertaining to certain multifamily housing revenue bonds and securities backed by multifamily housing revenue bonds, in the past the Enterprises provided commitments to advance funds, commonly referred to as liquidity guarantees. These liquidity guarantees require the Enterprises to advance funds to third parties that enable them to repurchase tendered bonds or securities that cannot be remarketed during the weekly auction process. Given such weekly auctions, these multifamily customers are likely to need backstop funding in a short-term stress environment, such as those
E:FRFM08JAP1.SGM

08JAP1