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Federal Register / Vol. 86, No. 5 / Friday, January 8, 2021 / Proposed Rules
b No safe harbor. The liquidity requirements established under this part are minimum requirements. Compliance with this part does not preclude agency action to enforce any other provision of law or regulation, including 12 CFR
parts 1236 and 1239.
c FHFA supervisory and enforcement authority not affected.
Nothing in this part shall be construed to limit the authority of FHFA under any other provision of law or regulation to take supervisory or enforcement action, including action to address unsafe or unsound practices or conditions, deficient liquidity coverage levels, or violations of law. d Prudential standard. This part is a prudential standard under 12 U.S.C.
4513ba5 and 12 CFR part 1236.

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1241.3

Definitions.

For purposes of this part:
Calculation date means the business day as of which an Enterprise calculates its liquidity position and compliance with each of the minimum liquidity requirements established under this part.
Cumulative Daily Net Cash Outflows CDNCO means, with respect to any day within a calendar period i.e., 30day or 365-day period for which the CDNCO is calculated, the cumulative sum of an Enterprises Daily Net Cash Flows starting from the first day following the Calculation Date up to and including the day in the calendar period for which the CDNCO is calculated.
Daily Excess Requirement means an amount equal to $10 billion.
Daily Net Cash Flows DNCF means, for any day within a calendar period i.e., 30-day or 365-day period for which the DNCF is calculated, the Total Cash Outflows minus the Total Cash Inflows for that day. A positive DNCF
represents a net cash outflow for the day, while a negative DNCF represents a net cash inflow for the day.
Day or daily means calendar day, and daily means pertaining to a calendar day, unless otherwise specified.
Elected Calculation Time means the time on the Calculation Date as of which an Enterprise must calculate its liquidity position for purposes of determining compliance with each of the minimum liquidity requirements established under this part. The Elected Calculation Time is 6 p.m. Eastern Standard Time EST, unless the Enterprise elects a different Elected Calculation Time approved in writing by FHFA. The Enterprise may not change its Elected Calculation Time without prior written approval by FHFA.

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High Quality Liquid Assets means, regardless of trading, available for sale, or held-to-maturity accounting designations, the following unencumbered assets that are owned and held by the Enterprise free of legal, regulatory, contractual, or other restrictions on the ability of the Enterprise to monetize the asset for cash, and that have not been pledged, explicitly or implicitly, to secure or provide credit enhancement for any transaction:
1 Cash deposits held in a Federal Reserve Bank account;
2 U.S. Treasury securities;
3 Short-term secured loans to the Federal Reserve Bank of New York secured by U.S. Treasury securities;
short-term secured loans held by the Enterprise secured by U.S. Treasury securities that clear through the Fixed Income Clearing Corporation FICC. For short-term secured loans to the Federal Reserve Bank of New York or those cleared through the FICC, the remaining maturity term of the asset must not be longer than the greater of:
i 15 days; or ii The number of days until the next agency mortgage-backed securities MBS payment date;
4 Up to an amount not to exceed $10
billion, and subject to sufficient counterparty credit risk limits on deposits with any single institution and affiliated institutions, unsecured overnight bank deposits with a federally chartered bank where the bank and any holding company controlling the bank are headquartered in the United States, and where the bank is subject to quarterly reporting under the Federal Reserve Systems FR Y15 reporting requirements or any amended or successor report and has at least $250
billion in assets as of the most recent reporting date.
Highest Cumulative Daily Net Cash Outflows HCDNCO means, with respect to a calendar period i.e., 30-day or 365-day period, the greater of zero or the maximum Cumulative Daily Net Cash Outflows amount occurring within the calendar period.
Minimum Stress Assumptions has the meaning set forth in 1241.10d.
Spread Duration of Unsecured Debt has the meaning set forth in 1241.11c2iiA.
Spread Duration of Retained Portfolio Assets has the meaning set forth in 1241.11c2iiB.
Total Cash Inflows means, for any day for which Total Cash Inflows is calculated, all cash inflows into the Enterprise. Total Cash Inflows includes cash inflows from To-be-Announced TBA contracts held by the Enterprise
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on or before the Calculation Date, which are assumed to be valid and represent cash inflows on the contract settlement date. With respect to any MBS trustrelated cash flows, an Enterprise must include the total cash inflows to the Enterprise from its MBS trusts. Total Cash Inflows must be determined using the Minimum Stress Assumptions. For example, total Cash Inflows do not include any expected cash inflows from new debt issuance, unless the unsecured debt issuance has traded but not yet settled as of the Calculation Date. For cash inflows expected from mortgage sales or securitizations, calculations of Total Cash Inflows are limited consistent with the Minimum Stress Assumptions.
Total Cash Outflows means, for any day for which Total Cash Outflows is calculated, all cash outflows from the Enterprise. Total Cash Outflows includes, but is not limited to, cash outflows related to funding new mortgage purchases through the Enterprise facilities for purchasing mortgages in exchange for cash, i.e., the Freddie Mac cash window or the Fannie Mae whole loan conduit. With respect to any MBS trust-related cash flows, an Enterprise must include the total cash outflows from the Enterprise to its MBS
trusts. Total Cash Outflows must be determined using the Minimum Stress Assumptions. MBS trust-related cash outflows include advances paid by the Enterprise on principal and interest to MBS trusts and investors and delinquent loan buyouts.
Total Less-liquid Retained Portfolio Assets has the meaning set forth in 1241.11c1ii.
Total Long-term Unsecured Debt has the meaning set forth in 1241.11c1i.
Subpart BRequired Minimum Enterprise Liquidity 1241.10 Enterprise liquidity calculation and operational requirements.

a Calculation date for minimum liquidity requirement. An Enterprise must, on each business day, 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.
b Elected Calculation Time. The Enterprise must 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, as of
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