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Federal Register / Vol. 86, No. 5 / Friday, January 8, 2021 / Proposed Rules
informed the Enterprise of the required amount of initial collateral for the following month, the Enterprise must use its best estimate of the required FICC initial collateral.
6 Immediate need to advance funds under variable-rate demand bond liquidity facilities. In determining its cash outflows, the Enterprise must assume that all contingent liabilities and associated cash flows related to all variable-rate demand bonds whose liquidity is guaranteed by the Enterprise are immediately exercised and due, with the required cash outflows occurring the first day following the Calculation Date i.e., Day 1. 7
Increase in remittance shortfall by top non-bank seller-servicers under stress conditions. In determining its cash inflows, the Enterprise must assume for the first month only that its top-five largest non-bank servicers by unpaid principal balance UPB fail, for all loans serviced for the Enterprise by these servicers, to remit by the applicable remittance due dates scheduled principal, interest, tax, and insurance payments. The Enterprise must assume cash outflows during the first month to cover principal and interest payments to holders of its MBS, and to pay taxes and insurance on the affected mortgages. For purposes of determining Total Cash Inflows, the Enterprise may assume a cash inflow on day 61 following the Calculation Date representing repayment to the Enterprises of the advances made in respect of the amounts assumed not to have been timely remitted.

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1241.11 Minimum Enterprise liquidity requirements.

a Minimum required liquidity to cover 30-day period. 1 An Enterprise must, for each Calculation Date at the Elected Calculation Time, calculate and determine its Cumulative Daily Net Cash Outflows for each day of the 30day period beginning the day following the Calculation Date, the amount of the Highest Cumulative Daily Net Cash Outflows for the 30-day period, and the day on which the Highest Cumulative Daily Net Cash Outflows occurs for the 30-day period.
2 As of each Calculation Date, an Enterprise must maintain High Quality Liquid Assets equal to or greater than the sum of:
i The Enterprises Highest Cumulative Daily Net Cash Outflows calculated to occur over the 30-day period beginning the day following the Calculation Date, and;
ii The Daily Excess Requirement.
b Minimum required liquidity to cover 365-day period. 1 An Enterprise
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must, for each Calculation Date at the Elected Calculation Time, calculate and determine its Cumulative Daily Net Cash Outflows for each day of the 365day period beginning the day following the Calculation Date, the amount of the Highest Cumulative Daily Net Cash Outflows for the 365-day period, and the day on which the Highest Cumulative Daily Net Cash Outflows occurs for the 365-day period.
2 As of each Calculation Date, an Enterprise must maintain a liquidity portfolio with assets set forth in 1241.11b3 equal to or greater than the Enterprises Highest Cumulative Daily Net Cash Outflows calculated to occur over the 365-day period beginning the day following the Calculation Date.
3 For purposes of meeting the minimum required liquidity to cover the 365-day period following the Calculation Date, an Enterprise must hold assets consisting of:
i High Quality Liquid Assets;
ii Subject to a discount of 15 percent of the UPB forecasted to remain on the day on which the Highest Cumulative Daily Net Cash Outflows occur, Enterprise-guaranteed MBS that are eligible as collateral for FICC; or iii Subject to a discount of 15
percent of the UPB forecasted to remain on the day on which the Highest Cumulative Daily Net Cash Outflows occur, mortgage loans that the Enterprise purchased through its cash window or whole loan conduit, or reperforming loans previously purchased from Enterprise MBS trusts, that are readily securitized into MBS that would be eligible as collateral for FICC.
A A single-family mortgage loan purchased through the cash window or whole loan conduit is deemed not readily securitized within the first 60
days following the Calculation Date, and is deemed readily securitized 30 days following the acquisition date of the loan if the loan was acquired after the first 30 days following the Calculation Date.
B For re-performing loans previously purchased out of Enterprise MBS trusts, such loans must be re-performing for at least 180 days in order to be deemed readily securitized into FICC-eligible collateral.
c Minimum required long-term liquidity1 Ratio of Total Long-term Unsecured Debt to Total Less-liquid Retained Portfolio Assets must exceed 120 percent. As of each Calculation Date, an Enterprise must maintain its Total Long-term Unsecured Debt in a proportion greater than 120 percent to its Total Less-liquid Retained Portfolio Assets, such that Total Long-term Unsecured Debt divided by Total Less-

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liquid Retained Portfolio Assets exceeds 1.2 i.e., 120 percent.
i Total Long-term Unsecured Debt means the three-month moving average of the total UPB outstanding of all unsecured debt issued by the Enterprise with one year or longer to maturity remaining from the Calculation Date.
ii Total Less-liquid Retained Portfolio Assets means the three-month moving average of the UPB of all retained portfolio assets that are not eligible collateral to be pledged to the FICC. Loans purchased through the cash window or whole loan conduit and reperforming loans that are readily securitized into FICC-eligible collateral as described in 1241.11b3iii are not included in Total Less-liquid Retained Portfolio Assets.
2 Ratio of Spread Duration of Unsecured Debt to Spread Duration of Retained Portfolio Assets must exceed 60 percenti Enterprise election of spread duration methodology. An Enterprise must, by the effective date of this part, sufficiently document its methodology to determine the spread duration of its unsecured debt and its retained portfolio assets. An Enterprise may not change its spread duration methodology without prior written approval from FHFA.
ii Ratio of Spread Duration of Unsecured Debt to Spread Duration of Retained Portfolio Assets must exceed 60 percent. As of each Calculation Date, an Enterprise must maintain its Spread Duration of Unsecured Debt in a proportion greater than 60 percent to its Spread Duration of Retained Portfolio Assets, such that its Spread Duration of Unsecured Debt divided by its Spread Duration of Retained Portfolio Assets exceeds 0.6.
A The Spread Duration of Unsecured Debt equals the three-month moving average of the daily spread duration of all Enterprise-issued unsecured debt for each business day during the previous three-month period.
1 The daily spread duration of all Enterprise-issued unsecured debt on a particular business day equals the weighted average of the individual spread duration for each issue of unsecured debt weighted by the product of the UPB and the price for the issue of unsecured debt for that day.
2 The three-month moving average of the daily spread duration of all Enterprise-issued unsecured debt is equal to the sum of the daily spread duration for all Enterprise-issued unsecured debt 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.

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