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Federal Register / Vol. 86, No. 184 / Monday, September 27, 2021 / Proposed Rules size. Thus, in a manner similar to the U.S. banking regulators proposal to set the eSLR buffer to one-half of the GSIB
surcharge, an Enterprises PLBA would equal one-half of its stability capital buffer under the proposed rule. Under the amended rule, as shown in the
figure below and as of March 31, 2021, Fannie Maes PLBA would decrease from approximately $62 billion, or 1.5
percent of the prior quarters adjusted total assets, to approximately $23
billion, or 0.53 percent of adjusted total assets.14 Freddie Macs PLBA would
53237

similarly decrease from $46 billion, or 1.5 percent of the prior quarters adjusted total assets, to approximately $11 billion, or 0.35 percent of adjusted total assets.15

Figure 2: Estimated Enterprise Leverage Capital under the Current ERCF and the Proposed Rule, as of March 31, 2021

I$168b I
4.5%

I $126b I

I $129b I

4.0%

$91b
4.0%

4.0%
3.5%

3.0%

1.5%

2.9%

Fannie Mae Proposed PLBA

Freddie Mac Current PLBA

Freddie Mac Proposed PLBA

3.0%
2.5%
2.0%
1.5%
1.0%
0.5%
0.0%

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Ill Minimum Leverage Requirement

PLBA Total Leverage Capital
There are several benefits of the proposed approach. First, decreasing the PLBA to the point where risk-based capital is the binding capital constraint at the Enterprises would promote safety and soundness by lessening the likelihood that an Enterprise has an incentive to take on more risk in a capital optimization strategy. Setting the PLBA to 50 percent of the stability capital buffer would not guarantee that leverage capital is never binding, but it would restore leverage capital to a position of a credible backstop rather than the binding capital constraint for the foreseeable future. This would allow the other aspects of the ERCF, namely the risk-based capital requirements, including the single-family countercyclical adjustment, to work as intended. For example, the single-family countercyclical adjustment works by increasing risk-based capital requirements to largely offset capital
benefits driven by house price appreciation. This effective tool alleviates concerns that risk-based capital will artificially decline with increasing property values, thereby lessening the need for a consistently binding leverage capital framework. An unduly high leverage requirement dampens the functionality of the singlefamily countercyclical adjustment.
The ERCF does not currently contain an exposure-level method to mitigate the pro-cyclicality of the credit risk capital requirements for multifamily mortgage exposures. FHFA has, in two notices of proposed rulemaking, indicated it would like to implement such an adjustment, and has twice sought recommendations for potential approaches. Although FHFA has received numerous suggestions for a multifamily countercyclical adjustment, most have relied on proprietary data or indices to some extent. FHFA is again
14 The stability capital buffer is calculated using adjusted total assets as of the most recent December 31, unless adjusted total assets at that time is greater
than adjusted total assets as of the prior December 31, in which case the calculation would use adjusted total assets from the prior December 31.

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expressing its desire to include a multifamily countercyclical adjustment in the ERCF that is not reliant on proprietary information and is seeking input on how that adjustment should be constructed.
Question 1: What approach that relies only on non-proprietary data or indices should FHFA consider to mitigate the pro-cyclicality of the credit risk capital requirements for multifamily mortgage exposures?
Second, the proposed rules PLBA
will encourage the Enterprises to transfer risk rather than to buy and hold risk. Leverage capital requirements and buffers treat each dollar of exposure equally and incentivize risk-taking to the point where risk-based capital equals leverage capital. At the Enterprises, seasoned portfolios generally require less capital than new acquisitions because risk determinants such as the loan-to-value ratio typically 15 Id.

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Fannie Mae Current PLBA