Orders: Reporting by Regulated Entities of Stress Testing Results as of September 30, 2013; Revision and Amendments to Summary Instructions and Guidance, 78165-78255 [2013-30356]

Download as PDF 78165 Rules and Regulations Federal Register Vol. 78, No. 248 Thursday, December 26, 2013 This section of the FEDERAL REGISTER contains regulatory documents having general applicability and legal effect, most of which are keyed to and codified in the Code of Federal Regulations, which is published under 50 titles pursuant to 44 U.S.C. 1510. The Code of Federal Regulations is sold by the Superintendent of Documents. Prices of new books are listed in the first FEDERAL REGISTER issue of each week. NUCLEAR REGULATORY COMMISSION 10 CFR Part 72 [NRC–2012–0052] RIN 3150–AJ12 List of Approved Spent Fuel Storage Casks: HI–STORM 100 Cask System; Amendment No. 9 Nuclear Regulatory Commission. ACTION: Direct final rule; correction and delay of effective date. AGENCY: The U.S. Nuclear Regulatory Commission (NRC) is correcting a direct final rule that appeared in the Federal Register on December 6, 2013, and is delaying the effective date. The direct final rule amends the NRC’s spent fuel storage regulations by revising the Holtec International HI–STORM 100 Cask System listing within the ‘‘List of Approved Spent Fuel Storage Casks’’ to include Amendment No. 9 to Certificate of Compliance (CoC) No. 1014. This action is necessary to correct the NRC’s Agencywide Documents Access and Management System (ADAMS) accession numbers for the CoC, the safety evaluation report (SER), and the ADAMS document package containing the CoC, SER, and the Technical Specifications (TSs) for this amendment. DATES: The effective date of the direct final rule published December 6, 2013, at 78 FR 73379, is delayed from February 19, 2014, to March 11, 2014. ADDRESSES: Please refer to Docket ID NRC–2012–0052 when contacting the NRC about the availability of information for this action. You may access publicly-available information related to this action by any of the following methods: • Federal Rulemaking Web site: Go to https://www.regulations.gov and search sroberts on DSK5SPTVN1PROD with RULES SUMMARY: VerDate Mar<15>2010 16:50 Dec 24, 2013 Jkt 232001 for Docket ID NRC–2012–0052. Address questions about NRC dockets to Carol Gallagher, telephone: 301–287–3422, email: Carol.Gallagher@nrc.gov. For technical questions, contact the individual listed in the FOR FURTHER INFORMATION CONTACT section of this document. • NRC’s Agencywide Documents Access and Management System (ADAMS): You may access publicly available documents online in the NRC Library at: https://www.nrc.gov/readingrm/adams.html. To begin the search, select ‘‘ADAMS Public Documents’’ and then select ‘‘Begin Web-based ADAMS Search.’’ For problems with ADAMS, please contact the NRC’s Public Document Room (PDR) reference staff at: 1–800–397–4209, 301–415–4737, or by email to: pdr.resource@nrc.gov. • NRC’s PDR: You may examine and purchase copies of public documents at the NRC’s PDR, Room O–1F21, One White Flint North, 11555 Rockville Pike, Rockville, Maryland 20852. FOR FURTHER INFORMATION CONTACT: Naiem S. Tanious, Office of Federal and State Materials and Environmental Management Programs, U.S. Nuclear Regulatory Commission, Washington, DC 20555–0001, telephone: 301–415– 6103, email: Naiem.Tanious@nrc.gov. SUPPLEMENTARY INFORMATION: Corrections The NRC is correcting the ADAMS accession numbers for the CoC, the SER, and the ADAMS document package containing the CoC, SER, and the TSs for this amendment because the documents referenced by accession numbers in the direct final rule the NRC published on December 6, 2013 (78 FR 73379; Fr. Doc. 2013–29162), do not clearly display the proposed changes to the documents. In Fr. Doc. 2013–29162, on page 73379, in the second column, second full paragraph, in the last sentence, ‘‘ML120530246’’ is corrected to read ‘‘ML13351A224.’’ On page 73380, in the second column, first full sentence, ‘‘ML120530246’’ is corrected to read ‘‘ML13351A224.’’ On page 73380, in the second column, second full sentence, ‘‘ML120530271’’ is corrected to read ‘‘ML13351A205.’’ On page 73380, in the second column, first full paragraph, in the first full sentence, ‘‘ML120530329’’ is corrected to read ‘‘ML13351A203.’’ On page 73381, in the second column, PO 00000 Frm 00001 Fmt 4700 Sfmt 4700 first full paragraph, in the last sentence, ‘‘ML120530329’’ is corrected to read ‘‘ML13351A203.’’ Delay of Effective Date The NRC is delaying the effective date of the direct final rule from February 19, 2014, to March 11, 2014. The NRC published a companion proposed rule to this direct final rule on December 6, 2013 (78 FR 73456). In the Proposed Rules section of this issue of the Federal Register, the NRC is publishing a document to correct and extend the public comment period of the proposed rule. Specifically, ADAMS accession numbers for the CoC, and the ADAMS document package containing the CoC, SER, and the TSs for this amendment will be corrected and the public comment period will be extended from January 6, 2014, to January 27, 2014, in order to provide the public the opportunity to review all information related to the rulemaking. As a result of the extended public comment period, the effective date of the direct final rule was delayed. Dated at Rockville, Maryland, this 19th day of December, 2013. For the Nuclear Regulatory Commission. Leslie Terry, Acting Chief, Rules, Announcements, and Directives Branch, Division of Administrative Services, Office of Administration. [FR Doc. 2013–30887 Filed 12–24–13; 8:45 am] BILLING CODE 7590–01–P FEDERAL HOUSING FINANCE AGENCY 12 CFR Part 1238 [No. 2013–N–17] Orders: Reporting by Regulated Entities of Stress Testing Results as of September 30, 2013; Revision and Amendments to Summary Instructions and Guidance Federal Housing Finance Agency. ACTION: Orders. AGENCY: In this document, the Federal Housing Finance Agency (FHFA) is issuing Orders to further supplement the final rule implementing section 165(i)(2) of the Dodd-Frank Wall Street Reform and Consumer Protection Act (Dodd-Frank Act), and appeared in the SUMMARY: E:\FR\FM\26DER1.SGM 26DER1 78166 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Federal Register of September 26, 2013, at 78 FR 59219. FHFA also is amending the Summary Instructions and Guidance, which accompanied the Orders. DATES: Each Order is effective November 26, 2013. FOR FURTHER INFORMATION CONTACT: Naa Awaa Tagoe, Senior Associate Director, Office of Financial Analysis, Modeling and Simulations, (202) 649–3140, naaawaa.tagoe@fhfa.gov; Stefan Szilagyi, Examination Manager, FHLBank Modeling, FHLBank Risk Modeling Branch, (202) 649–3515, stefan.szilagy@fhfa.gov; or Mark D. Laponsky, Deputy General Counsel, Office of General Counsel, (202) 649– 3054 (these are not toll-free numbers), mark.laponsky@fhfa.gov. The telephone number for the Telecommunications Device for the Hearing Impaired is (800) 877–8339. SUPPLEMENTARY INFORMATION: sroberts on DSK5SPTVN1PROD with RULES I. Background FHFA is responsible for ensuring that the regulated entities operate in a safe and sound manner, including the maintenance of adequate capital and internal controls, that their operations and activities foster liquid, efficient, competitive, and resilient national housing finance markets, and that they carry out their public policy missions through authorized activities. See 12 U.S.C. 4513. These Orders are being issued under 12 U.S.C. 4514(a), which authorizes the Director of FHFA to require by Order that the regulated entities submit regular or special reports to FHFA and establishes remedies and procedures for failing to make reports required by Order. The Orders prescribe for the regulated entities the scenarios to be used for stress testing. The Summary Instructions and Guidance accompanying each Order provides to the regulated entities advice concerning the content and format of reports required by the Order and rule. VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 These Orders communicate to the regulated entities their reporting requirements under the framework established by the final rule, and the revised and amended Summary Instructions and Guidance that accompany each Order. These Orders also advise the regulated entities of the scenarios to be used for the stress testing. II. Order, Summary Instructions and Guidance For the convenience of the affected parties, the text of the Orders follows below in its entirety. You may access these Orders from FHFA’s Web site at https://www.fhfa.gov/ Default.aspx?Page=43. The Orders and Summary Instructions and Guidance will be available for public inspection and copying at the Federal Housing Finance Agency, Eighth Floor, 400 Seventh St. SW., Washington, DC 20024. To make an appointment, call (202) 649–3804. The text of the Orders and the Summary Instructions and Guidance, as amended, is as follows: Federal Housing Finance Agency Order Nos. 2013–OR–B–2, 2013–OR– FNMA–2, and 2013–OR–FHLMC–2 Reporting by Regulated Entities of Stress Testing Results as of September 30, 2013 Whereas, section 165(i)(2) of the Dodd-Frank Wall Street Reform and Consumer Protection Act (‘‘Dodd-Frank Act’’) requires certain financial companies with total consolidated assets of more than $10 billion, and which are regulated by a primary Federal financial regulatory agency, to conduct annual stress tests to determine whether the companies have the capital necessary to absorb losses as a result of adverse economic conditions; Whereas, FHFA’s rule implementing section 165(i)(2) of the Dodd-Frank Act is codified as 12 CFR part 1238 and PO 00000 Frm 00002 Fmt 4700 Sfmt 4700 requires that ‘‘[e]ach regulated entity must file a report in the manner and form established by FHFA.’’ 12 CFR 1238.5(b); Whereas, The Board of Governors of the Federal Reserve System issued stress testing scenarios on November 1, 2013, corrected on November 7, 2013, and supplemented on November 14, 2013; and Whereas, section 1314 of the Safety and Soundness Act, 12 U.S.C. 4514(a) authorizes the Director of FHFA to require regulated entities, by general or specific order, to submit such reports on their management, activities, and operation as the Director considers appropriate. Now therefore, it is hereby ordered as follows: Each regulated entity shall report to FHFA and to the Board of Governors of the Federal Reserve System the results of stress testing as required by 12 CFR part 1238, in the form and with the content described therein and in the Summary Instructions and Guidance accompanying this Order and dated November 26, 2013, which replaces, amends, and supersedes the Summary Instructions and Guidance issued on September 9, 2013, to this Order, and using the scenarios provided in Appendices 1 through 10 to this Order. This Order is effective immediately. Signed at Washington, DC, this 26th day of November, 2013. Sandra Thompson, Deputy Director for Housing Mission and Goals By delegation. Dated: December 2, 2013. Edward J. DeMarco, Acting Director, Federal Housing Finance Agency. The Appendices to this order and amended Summary Instructions and Guidance are as follows: BILLING CODE 8070–01–P E:\FR\FM\26DER1.SGM 26DER1 sroberts on DSK5SPTVN1PROD with RULES VerDate Mar<15>2010 1& Ed a;;a;:;;:;;;; Market Volatility Index (VlX) Jkt 232001 Q1 Q2 PO 00000 Q4 Q1 Frm 00003 Fmt 4700 Sfmt 4725 Q2 Q3 Q4 E:\FR\FM\26DER1.SGM Q1 Q2 Q3 26DER1 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 32.8 34.7 43.7 35.3 26.1 28.4 45.1 42.6 34.7 29.1 22.7 21.1 21.6 20.0 19.3 16.6 14.6 17.7 14.2 16.5 14.6 23.8 18.6 12.7 19.6 18.9 30.8 31.1 32.2 24.1 46.7 80.9 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 16:15 Dec 24, 2013 Appendix 1: Baseline Scenarios - Domestic 78167 ER26DE13.000</GPH> sroberts on DSK5SPTVN1PROD with RULES 78168 VerDate Mar<15>2010 Market Volatility Index (VlX) Jkt 232001 PO 00000 Frm 00004 Fmt 4700 Sfmt 4725 Ql Q2 Q3 Q4 Ql Q2 Q3 Q4 Ql Q2 Q3 Q4 Ql Q2 Q3 Q4 E:\FR\FM\26DER1.SGM 26DER1 Q3 Q4 Q2 Q3 Q4 Ql Q2 Q3 Q4 56.7 42.3 31.3 30.7 27.3 45.8 32.9 23.5 29.4 22.7 48.0 45.5 23.0 26.7 20.5 22.7 19.0 20.5 17.0 19.0 17.0 18.1 18.0 18.3 18.2 18.9 19.0 19.2 19.5 19.8 20.0 20.1, Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 16:15 Dec 24, 2013 ER26DE13.001</GPH> Appendix 1: Baseline Scenarios - Domestic (Cont.) sroberts on DSK5SPTVN1PROD with RULES VerDate Mar<15>2010 iiifiilliil!ii I OBS 2: Baseline Scenarios - International £ iiM&id itJU14ZZ iJ!i i 8 Jkt 232001 UK Bilateral Dollar Exchange Rate (USD/Pound) PO 00000 Frm 00005 1.4 1.4 1.5 1.5 1.4 1.5 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 1.6 1.6 1.6 1.7 1.7 1.8 1.8 1.8 1.8 1.9 1.9 1.8 1.8 1.7 1.7 1.8 1.9 2.0 2.0 2.0 2.0 2.0 2.0 2.0 1.8 1.5 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 16:15 Dec 24, 2013 ~ppenalX 78169 ER26DE13.002</GPH> sroberts on DSK5SPTVN1PROD with RULES 78170 VerDate Mar<15>2010 UK Bilateral (USD/Pound) L4 Jkt 232001 Exchange Rate PO 00000 L6 L6 L6 L6 L5 Frm 00006 L5 L5 Fmt 4700 Sfmt 4725 L5 L5 L6 L5 L5 L4 26DER1 L5 L5 L5 L5 L5 L5 L5 L5 L5 E:\FR\FM\26DER1.SGM L6 L6 L6 L6 L6 L6 L6 L6 L~ Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Dollar aBS 16:15 Dec 24, 2013 ER26DE13.003</GPH> Baseline Scenarios - International sroberts on DSK5SPTVN1PROD with RULES VerDate Mar<15>2010 OBS Jkt 232001 PO 00000 Frm 00007 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 Q12001 Q22001 Q32001 Q42001 Q12002 Q22002 Q32002 Q42002 Q12003 Q22003 Q32003 Q42003 Q12004 Q22004 Q32004 Q42004 Q12005 Q22005 Q32005 Q42005 Q12006 Q22006 Q32006 Q42006 Q12007 Q22007 Q32007 Q42007 Q1200S Q2200S Q3200S Q4200S 34.7 43.7 35.3 26.1 2S.4 45.1 42.6 34.7 29.1 22.7 21.1 21.6 20.0 19.3 16.6 14.6 17.7 14.2 16.5 14.6 23.S lS.6 12.7 19.6 lS.9 30.S 31.1 32.2 24.1 46.7 SO.9 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 16:15 Dec 24, 2013 Appendix 3: Adverse Scenarios - Domestic 78171 ER26DE13.004</GPH> sroberts on DSK5SPTVN1PROD with RULES 78172 VerDate Mar<15>2010 aBS Jkt 232001 PO 00000 Frm 00008 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 Q1 Q2 Q3 Q4 42.3 31.3 30.7 27.3 45.8 32.9 23.5 29.4 22.7 48.0 45.5 23.0 26.7 20.5 22.7 19.0 20.5 17.0 35.3 31.7 33.7 31.4 27.2 24.6 22.6 20.2 19.2 18.7 18.8 17.5 17.4, Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 16:15 Dec 24, 2013 ER26DE13.005</GPH> Appendix 3: Adverse Scenarios - Domestic (Cont.) sroberts on DSK5SPTVN1PROD with RULES VerDate Mar<15>2010 UK Bilateral Dollar Exchange Rate Jkt 232001 (USD/Poundj PO 00000 Frm 00009 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 1.4 1.4 1.5 1.5 1.4 1.5 1.6 1.6 1.6 1.7 1.7 1.8 1.8 1.8 1.8 1.9 1.9 1.8 1.8 1.7 1.7 1.8 1.9 2.0 2.0 2.0 2.0 2.0 2.0 2.0 1.8 1.5 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 16:15 Dec 24, 2013 Appendix 4: Adverse Scenarios - International 78173 ER26DE13.006</GPH> sroberts on DSK5SPTVN1PROD with RULES 78174 VerDate Mar<15>2010 UK Bilateral OSS f:~'~~~V;~~~~;~'~':!l LUI u I"llcam~~~~,!t~14~i;:!l Rp;:I1 r.;np K~;J I=vrh;:lnP'P R;:Ih20fi;~~~~~~ l;:In;:!ln Infl;:!ltinn f.i:i~h'(~'(:;Ji:fl Uft ncal uur rfiif~ Dollar Exchange Rate Jkt 232001 (USD/Pound) PO 00000 Frm 00010 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 1.4 1.6 1.6 1.6 1.5 1.5 1.6 1.5 1.6 1.6 1.6 1.6 1.6 1.6 1.6 1.6 1.5 1.5 1.6 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4, Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 16:15 Dec 24, 2013 ER26DE13.007</GPH> Adverse Scenarios - International (Cont.) sroberts on DSK5SPTVN1PROD with RULES VerDate Mar<15>2010 k:""a,i", .. ,,'·,'.b.,f a;;:;;s'Wii&P.'::;:as:::g,.., [i,,....L.l1'!<£<ilhIiffN.::;·........."* I CBS Jkt 232001 PO 00000 Frm 00011 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 Q12001 Q22001 Q32001 Q42001 Q12002 Q22002 Q32002 Q42002 Q12003 Q22003 Q32003 Q42003 Q12004 Q22004 Q32004 Q42004 Q12005 Q22005 Q32005 Q42005 Q12006 Q22006 Q32006 Q42006 Q12007 Q22007 Q32007 Q42007 Q12008 Q22008 Q32008 Q42008 32.8 34.7 43.7 35.3 26.1 28.4 45.1 42.6 34.7 29.1 22.7 21.1 21.6 20.0 19.3 16.6 14.6 17.7 14.2 16.5 14.6 23.8 18.6 12.7 19.6 18.9 30.8 31.1 32.2 24.1 46.7 80.9 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 16:15 Dec 24, 2013 Appendix 5: Severely Adverse Scenarios - Domestic 78175 ER26DE13.008</GPH> sroberts on DSK5SPTVN1PROD with RULES 78176 VerDate Mar<15>2010 OBS Jkt 232001 PO 00000 Frm 00012 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 Q12009 Q22009 Q32009 Q42009 Q12010 Q22010 Q32010 Q42010 Q12011 Q22011 Q32011 Q42011 Q12012 Q22012 Q32012 Q42012 Q12013 Q22013 Q32013 Q42013 Q12014 Q22014 Q32014 Q42014 Q12015 Q22015 Q32015 Q42015 Q12016 Q22016 Q32016 Q42016 Il«Yatl'llJ~l NOminal (jIJP m~;~alsposablel:!t!~~~lI'l mnat,ont:?~ff,~.'~ ;:J-yt:dl 56.7 42.3 31.3 30.7 27.3 45.8 32.9 23.5 29.4 22.7 48.0 45.5 23.0 26.7 20.5 22.7 19.0 20.5 17.0 67.9 61.3 65.7 57.9 42.1 34.1 27.7 21.8 19.3 17.9 17.8 15.2 14.9, Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 16:15 Dec 24, 2013 ER26DE13.009</GPH> Appendix 5: Severely Adverse Scenarios - Domestic (Cont.) sroberts on DSK5SPTVN1PROD with RULES VerDate Mar<15>2010 UK Bilateral aBS Dollar Exchange Rate Jkt 232001 (USD/Pound) PO 00000 Q12001 Q22001 Q32001 Q42001 Frm 00013 Q12002 Q22002 Q32002 Q42002 Fmt 4700 Q12003 Q22003 Sfmt 4725 Q12004 Q22004 E:\FR\FM\26DER1.SGM Q42004 26DER1 Q42006 Q32003 Q42003 Q32004 Q12005 Q22005 Q32005 Q42005 Q12006 Q22006 Q32006 Q12007 Q22007 Q32007 Q42007 Q12008 Q22008 Q32008 Q42008 1.4 1.4 1.5 1.5 1.4 1.5 1.6 1.6 1.6 1.7 1.7 1.8 1.8 1.8 1.8 1.9 1.9 1.8 1.8 1.7 1.7 1.8 1.9 2.0 2.0 2.0 2.0 2.0 2.0 2.0 1.8 1.5 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 16:15 Dec 24, 2013 Severely Adverse Scenarios - International 78177 ER26DE13.010</GPH> sroberts on DSK5SPTVN1PROD with RULES 78178 VerDate Mar<15>2010 i,'!. ,):;" \'~';:-: .n'.', ;. 1,;: .',i" : -I ....,.·~"~_.:~~h.(.:;<h;.,,~~·....~;':'6,,,;.~_,i 1-,~i'·:·":'_!.C:''''';-''~1t,:''-'~,.'!:~r....:3 '".1.-: UK Bilateral aBS Dollar Exchange Rate Jkt 232001 (USD/Pound) PO 00000 Frm 00014 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 Q12009 Q22009 Q32009 Q42009 Q12010 Q22010 Q32010 Q42010 Q12011 Q22011 Q32011 Q42011 Q12012 Q22012 Q32012 Q42012 Q12013 Q22013 Q32013 Q42013 Q12014 Q22014 Q32014 Q42014 Q12015 Q22015 Q32015 Q42015 Q12016 Q22016 Q32016 Q42016 1.4 1.6 1.6 1.6 1.5 1.5 1.6 1.5 1.6 1.6 1.6 1.6 1.6 1.6 1.6 1.6 1.5 1.5 1.6 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4 1.4" Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 16:15 Dec 24, 2013 ER26DE13.011</GPH> Appendix 6: Severely Adverse Scenarios - International (Cont.) sroberts on DSK5SPTVN1PROD with RULES VerDate Mar<15>2010 Relative MV Shock Based on Current Rating ,%) Jkt 232001 AAATotal Pre 2006 2006 2007 Post 2007 UnspecifIed Vrntage -7.8% ·10.5% -13.8% PO 00000 Frm 00015 ·13.8% -7.1% -8.9% -11.2% -7.1% -11.2% -19.3% -23.7% -23.7% -19.3% -23.7% -7.8% -10.5% -13.8% -7.8% -13.8% -19.3% -23.7% -14.7% -19.3% -14.7% -9.7% -15.7% -14.7% -9.7% -14.7% -9.7% -9.7% -9.7% -9.7% -9.7% -14.3% -19.2% -19.2% -14.3% -19.2% -19.3% -23.7% -14.7% -19.3% -14.7% -14.3% -19.2% -19.2% -14.3% -19.2% -9.7% -9.7% -9.7% -9.7% -9.7% -7.8% -10.5% '13.8% -7.8% -13.8% -7.1% -8.9% -11.2% -7.1% -11.2% -8.4% -8.4% -8.4% -8.4% -8.4% -19.3% -23.7% -14.7% -19.3% -14.7% ·29.5% ·35.2% ·35.2% ·29.5% ·35.2% -19.1% -18.1% -18.1% -19.1% -18.1% -35.3% -42.3% -42.3% -35.3% -42.3% -29.5% -35.2% -35.2% -29.5% -35.2% -35.3% -42.3% -39.8% -35.3% -39.8% -20.1% -39.8% -39.8% -20.1% -39.8% -18.9% -18.9% -18.9% -18.9% -18.9% -14.3% -19.2% -19.2% -14.3% -19.2% -35.3% -42.3% -39.8% -35.3% -39.8% -14.3% -19.2% -19.2% -14.3% -19.2% -18.9% -18.9% -18.9% -18.9% -18.9% -29.5% -35.2% -35.2% -29.5% -35.2% -19.1% -18.1% -18.1% -19.1% -18.1% -17.3% -17.3% -17.3% -17.3% -17.3% -35.3% ·42.3% ·39.8% ·35.3% -39.8% -34.7% ·37.5% ·37.5% ·34.7% ·37.5% -20.6% -20.0% -19.7% -20.6% -19.7% -41.7% -45.0% -45.0% -41.7% -45.0% -34.7% -37.5% -37.5% -34.7% -37.5% -41.7% -45.0% -39.8% -41.7% -39.8% -24.3% -39.8% -39.8% -24.3% -39.8% -23.9% -23.9% -23.9% -23.9% -23.9% -14.3% -19.2% -19.2% -14.3% -19.2% -41.7% -45.0% -39.8% -41.7% -39.8% -14.3% -19.2% -19.2% -14.3% -19.2% -23.9% -23.9% -23.9% -23.9% -23.9% -34.7% -37.5% ·37.5% -34.7% -37.5% -20.6% -20.0% -19.7% -20.6% -19.7% -24.1% -24.1% -24.1% -24.1% -24.1% -41.7% -45.0% -39.8% -41.7% -39.8% ·34.5% ·38.1% ·38.1% ·34.5% ·38.1% -27.3% -26.7% -26.7% -27.3% -26.7% -41.5% -45.7% -45.7% -41.5% -45.7% -34.5% -38.1% -38.1% -34.5% -38.1% -41.5% -45.7% -39.8% -41.5% -39.8% -28.4% -39.8% -39.8% -28.4% -39.8% -20.9% -20.9% -20.9% -20.9% -20.9% -14.3% -19.2% -19.2% -14.3% -19.2% -41.5% -45.7% -39.8% -41.5% -39.8% -14.3% -19.2% -19.2% -14.3% -19.2% -20.9% -20.9% -20.9% -20.9% -20.9% -34.5% -38.1% -38.1% -34.5% -38.1% -27.3% -27.3% -26.7% -27.3% -27.3% -21.2% -21.2% -21.2% -21.2% -21.2% ·41.5% -45.7% -39.8% -41.5% -39.8% Unspecified Vintage ·34.5% ·38.1% ·38.1% -34.5% ·38.1% -27.3% -27.3% -27.3% -27.3% -27.3% -41.5% -45.7% -45.7% -41.5% -45.7% -34.5% -38.1% -38.1% -34.5% -38.1% -41.5% -45.7% -39.8% -41.5% -39.8% -28.4% -39.8% -39.8% -28.4% -39.8% -20.2% -20.2% -20.2% -20.2% -20.2% -14.3% -19.2% -19.2% -14.3% -19.2% -41.5% -45.7% -39.8% -41.5% -39.8% -14.3% -19.2% -19.2% -14.3% -19.2% -20.2% -20.2% -20.2% -20.2% -20.2% -34.5% ·38.1% -38.1% -34.5% -38.1% -27.3% -27.3% -27.3% -27.3% -27.3% -21.2% -21.2% -21.2% -21.2% -21.2% -41.5% -45.7% -39.8% -41.5% -39.8% BTatal Pre 2006 2006 2007 Post 2007 Unspecified Vintage ·34.5% ·38.1% ·38.1% ·34.5% -38.1% -27.3% -27.3% -27.3% -27.3% -27.3% -41.5% -45.7% -45.7% -41.5% -45.7% -34.5% -38.1% -38.1% -34.5% -38.1% -41.5% -45.7% -39.8% -41.5% -39.8% -28.4% -39.8% -39.8% -28.4% -39.8% -20.2% -20.2% -20.2% -20.2% -20.2% -14.3% -19.2% -19.2% -14.3% -19.2% ·41.5% -45.7% -39.8% -41.5% -39.8% -14.3% -19.2% -19.2% -14.3% -19.2% -20.2% -20.2% -20.2% -20.2% -20.2% -34.5% -38.1% ·38.1% -34.5% -38.1% -27.3% -27.3% -27.3% -27.3% -27.3% -21.2% -21.2% -21.2% -21.2% -21.2% -41.5% -45.7% ·39.8% -41.5% -39.8% ·34.5% ·38.1% ·38.1% ·34.5% ·38.1% -27.3% -27.3% -27.3% -27.3% -27.3% -41.5% -45.7% -45.7% -41.5% -45.7% -34.5% -38.1% -38.1% -34.5% -38.1% -41.5% -45.7% -39.8% -41.5% -39.8% -28.4% -39.8% -39.8% -28.4% -39.8% -20.2% -20.2% -20.2% -20.2% -20.2% -14.3% -19.2% -19.2% -14.3% -19.2% -41.5% -45.7% -39.8% -41.5% -39.8% -14.3% -19.2% -19.2% -14.3% -19.2% -20.2% -20.2% -20.2% -20.2% -20.2% -34.5% -38.1% -38.1% -34.5% -38.1% -27.3% -27.3% -27.3% -27.3% -27.3% -21.2% -21.2% -21.2% -21.2% -21.2% -41.5% -45.7% -39.8% ·41.5% -39.8% ·34.5% ·38.1% ·38.1% ·34.5% ·38.1% -27.3% -27.3% -27.3% -27.3% -27.3% -41.5% -45.7% -45.7% -41.5% -45.7% -34.5% -38.1% -38.1% -34.5% -38.1% -41.5% -45.7% -39.8% -41.5% -39.8% -28.4% -39.8% -39.8% -28.4% -39.8% -20.2% -20.2% -20.2% -20.2% -20.2% -14.3% -19.2% -19.2% -14.3% -19.2% -41.5% -45.7% -39.8% -41.5% -39.8% -14.3% -19.2% -19.2% -14.3% -19.2% -20.2% -20.2% -20.2% -20.2% -20.2% -34.5% -38.1% ·38.1% -34.5% -38.1% -27.3% -27.3% -27.3% -27.3% -27.3% -21.2% -21.2% -21.2% -21.2% -21.2% -41.5% -45.7% ·39.8% ·41.5% -39.8% AATotal Pre 2006 2006 2007 Post 2007 Unspecified Vintage -7.8% A Total Pre 2006 2006 2007 Post 2007 Fmt 4700 Unspecified Vintage BBBTotal Sfmt 4725 Pre 2006 2006 2007 Post 2007 Unspecified Vintage BBTatal E:\FR\FM\26DER1.SGM Pre 2006 2006 2007 Post 2007 26DER1 <BTatal Pre 2006 2006 2007 Post 2007 Unspecified Vintage NRTotal Pre 2006 2006 2007 Post 2007 Unspecified Vintage Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 16:15 Dec 24, 2013 Appendix 7: Global Market Shock - Securitized Products (Adverse) 78179 ER26DE13.012</GPH> sroberts on DSK5SPTVN1PROD with RULES 78180 VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 Pre 2006 2006 2007 Post 2007 Unspecified Vi ntage PO 00000 Frm 00016 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 -9.9% -4.0% -4.0% -4.0% -4.0% -4.0% -8.9% -9.3% -9.9% -8.9% -9.9% -9.4% -9.4% -9.4% -9.4% -9.4% -13.2% -13.2% -13.2% -13.2% -13.2% -17.1% -17.1% -17.1% -17.1% -17.1% -13.2% -13.2% -13.2% -13.2% -13.2% -13.2% -13.2% -13.2% -13.2% -13.2% -9.2% -11.0% -11.0% -9.2% -11.0% -17.1% -17.1% -17.1% -17.1% -17.1% -16.6% -19.0% -19.7% -16.6% -19.7% -16.6% -19.0% -19.7% -16.6% -19.7% -4.0% -4.0% -4.0% -4.0% -4.0% -16.6% -19.0% -19.7% -16.6% -19.7% -24.0% -24.0% -24.0% -24.0% -24.0% -29.2% -29.2% -29.2% -29.2% -29.2% -38.0% -38.0% -38.0% -38.0% -38.0% -29.2% -29.2% -29.2% -29.2% -29.2% -29.2% -29.2% -29.2% -29.2% -29.2% -9.2% -11.0% -11.0% -9.2% -11.0% -38.0% -38.0% -38.0% -38.0% -38.0% -17.7% -18.7% -22.8% -17.7% -22.8% -17.7% -18.7% -22.8% -17.7% -22.8% -17.7% -18.7% -22.8% -17.7% -22.8% -4.0% -4.0% -4.0% -4.0% -4.0% -17.7% -18.7% -22.8% -17.7% -22.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.0% -29.0% -29.0% -29.0% -29.0% -37.8% -37.8% -37.8% -37.8% -37.8% -29.0% -29.0% -29.0% -29.0% -29.0% -29.0% -29.0% -29.0% -29.0% -29.0% -9.2% -11.0% -11.0% -9.2% -11.0% -37.8% -37.8% -37.8% -37.8% -37.8% -23.2% -23.2% -27.5% -23.2% -27.5% -17.7% -18.7% -22.8% -17.7% -22.8% -23.2% -23.2% -27.5% -23.2% -27.5% -23.2% -23.2% -27.5% -23.2% -27.5% -4.0% -4.0% -4.0% -4.0% -4.0% -23.2% -23.2% -27.5% -23.2% -27.5% -32.6% -32.6% -32.6% -32.6% -32.6% -29.8% -29.8% -29.8% -29.8% -29.8% -38.8% -38.8% -38.8% -38.8% -38.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -9.2% -11.0% -11.0% -9.2% -11.0% -38.8% -38.8% -38.8% -38.8% -38.8% Unspecified VI ntage -13.1% -13.1% -14.0% -13.1% -14.0% -23.2% -23.2% -27.5% -23.2% -27.5% -17.7% -18.7% -22.8% -17.7% -22.8% -23.2% -23.2% -27.5% -23.2% -27.5% -23.2% -23.2% -27.5% -23.2% -27.5% -4.0% -4.0% -4.0% -4.0% -4.0% -23.2% -23.2% -27.5% -23.2% -27.5% -32.6% -32.6% -32.6% -32.6% -32.6% -29.8% -29.8% -29.8% -29.8% -29.8% -38.8% -38.8% -38.8% -38.8% -38.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -9.2% -11.0% -11.0% -9.2% -11.0% -38.8% -38.8% -38.8% -38.8% -38.8% STatal Pre 2006 2006 2007 Post 2007 Unspecified Vi ntage -13.1% -13.1% -14.0% -13.1% -14.0% -23.2% -23.2% -27.5% -23.2% -27.5% -17.7% -18.7% -22.8% -17.7% -22.8% -23.2% -23.2% -27.5% -23.2% -27.5% -23.2% -23.2% -27.5% -23.2% -27.5% -4.0% -4.0% -4.0% -4.0% -4.0% -23.2% -23.2% -27.5% -23.2% -27.5% -32.6% -32.6% -32.6% -32.6% -32.6% -29.8% -29.8% -29.8% -29.8% -29.8% -38.8% -38.8% -38.8% -38.8% -38.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -9.2% -11.0% -11.0% -9.2% -11.0% -38.8% -38.8% -38.8% -38.8% -38.8% -13.1% -13.1% -14.0% -13.1% -14.0% -23.2% -23.2% -27.5% -23.2% -27.5% -17.7% -18.7% -22.8% -17.7% -22.8% -23.2% -23.2% -27.5% -23.2% -27.5% -23.2% -23.2% -27.5% -23.2% -27.5% -4.0% -4.0% -4.0% -4.0% -4.0% -23.2% -23.2% -27.5% -23.2% -27.5% -32.6% -32.6% -32.6% -32.6% -32.6% -29.8% -29.8% -29.8% -29.8% -29.8% -38.8% -38.8% -38.8% -38.8% -38.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -9.2% -11.0% -11.0% -9.2% -11.0% -38.8% -38.8% -38.8% -38.8% -38.8% -13.1% -13.1% -14.0% -13.1% -14.0% -23.2% -23.2% -27.5% -23.2% -27.5% -17.7% -18.7% -22.8% -17.7% -22.8% -23.2% -23.2% -27.5% -23.2% -27.5% -23.2% -23.2% -27.5% -23.2% -27.5% -4.0% -4.0% -4.0% -4.0% -4.0% -23.2% -23.2% -27.5% -23.2% -27.5% -32.6% -32.6% -32.6% -32.6% -32.6% -29.8% -29.8% -29.8% -29.8% -29.8% -38.8% -38.8% -38.8% -38.8% -38.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -29.8% -9.2% -11.0% -11.0% -9.2% -11.0% -38.8% -38.8% -38.8% -38.8% -38.8% AATotal Pre 2006 2006 2007 Post 2007 Unspecified Vi ntage -6.9% -6.9% -9.2% -6.9% -9.2% -8.9% -9.3% -9.9% -8.9% -9.9% -8.9% -9.3% -9.9% -8.9% -8.9% -9.3% -9.9% -8.9% -9.9% -8.9% -8.9% -8.9% -9.5% -16.6% -16.6% -19.7% -16.6% -19.7% -14.5% -19.0% -19.1% -14.5% -19.1% -9.7% -9.7% -10.4% -9.7% -10.4% -16.8% -16.8% -20.0% -16.8% -20.0% -9.3% -9.3% -10.0% -9.3% -10.0% -9.S% A Total Pre 2006 2006 2007 Post 2007 Unspecified Vi ntage BBBTotal Pre 2006 2006 2007 Post 2007 Unspecified Vi ntage BSTatal Pre 2006 2006 2007 Post 2007 <STotal Pre 2006 2006 2007 Post 2007 Unspecified Vintage NRTotal Pre 2006 2006 2007 Post 2007 Unspecified Vi ntage ER26DE13.013</GPH> -3.7% -3.7% -3.9% -3.7% -3.9% Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Appendix 7: Globall\larket Shock - Securitized Products (Adverse) (Cont.) sroberts on DSK5SPTVN1PROD with RULES VerDate Mar<15>2010 Appendix 7: Global Market Shock - Securitized Products (Adverse) (Cont.) Jkt 232001 Pre 2006 2006 2007 Post 2007 Unspecified Vintage PO 00000 Frm 00017 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM -8.9% -8.9% -8.9% -8.9% -8.9% -1.3% -1.3% -1.3% -1.3% -1.3% -9.2% -11.0% -11.0% -9.2% -11.0% 9.2% 11.0% 11.0% 9.2% 11.0% -1.3% -1.3% -1.3% -1.3% -1.3% Unspecified Vintage -28.0% -28.0% -28.0% -28.0% -28.0% -1.3% -1.3% -1.3% -1.3% -1.3% -9.2% -11.0% -11.0% -9.2% -11.0% 9.2% 11.0% 11.0% 9.2% 11.0% -1.3% -1.3% -1.3% -1.3% -1.3% A Total Pre 2006 2006 2007 Post 2007 Unspecified Vintage -41.2% -41.2% -41.2% -41.2% -41.2% -1.3% -1.3% -1.3% -1.3% -1.3% -9.2% -11.0% -11.0% -9.2% -11.0% 9.2% 11.0% 11.0% 9.2% 11.0% -1.3% -1.3% -1.3% -1.3% -1.3% -43.0% -43.0% -43.0% -43.0% -43.0% -22.0% -22.0% -22.0% -22.0% -22.0% -9.2% -11.0% -11.0% -9.2% -11.0% 9.2% 11.0% 11.0% 9.2% 11.0% -22.0% -22.0% -22.0% -22.0% -22.0% -43.7% -43.7% -43.7% -43.7% -43.7% -22.0% -22.0% -22.0% -22.0% -22.0% -9.2% -11.0% -11.0% -9.2% -11.0% 9.2% 11.0% 11.0% 9.2% 11.0% -22.0% -22.0% -22.0% -22.0% -22.0% AATotal Pre 2006 2006 2007 Post 2007 26DER1 Unspecified Vintage Unspecified Vintage ER26DE13.014</GPH> , , -22.0% -22.0% -22.0% -22.0% -22.0% -9.2% -11.0% -11.0% -9.2% -11.0% 9.2% 11.0% 11.0% 9.2% 11.0% -22.0% -22.0% -22.0% -22.0% -22.0% -43.7% -43.7% -43.7% -43.7% -43.7% -22.0% -22.0% -22.0% -22.0% -22.0% -9.2% -11.0% -11.0% -9.2% -11.0% 9.2% 11.0% 11.0% 9.2% 11.0% -22.0% -22.0% -22.0% -22.0% -22.0% -43.7% -43.7% -43.7% -43.7% -43.7% -22.0% -22.0% -22.0% -22.0% -22.0% -9.2% -11.0% -11.0% -9.2% -11.0% 9.2% 11.0% 11.0% 9.2% 11.0% -22.0% -22.0% -22.0% -22.0% -22.0% , , · , • • 78181 -43.7% -43.7% -43.7% -43.7% -43.7% NR Total Pre 2006 2006 2007 Post 2007 • , <BTotal Pre 2006 2006 2007 Post 2007 Unspecified Vintage • , BTotal Pre 2006 2006 2007 Post 2007 , : ; BBTotal Pre 2006 2006 2007 Post 2007 Unspecified Vintage · , i BBBTotal Pre 2006 2006 2007 Post 2007 Unspecified Vintage , Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 16:15 Dec 24, 2013 Relative MV Shock Based on Current Rating (%) AAATotal sroberts on DSK5SPTVN1PROD with RULES 16:15 Dec 24, 2013 AAA AA Jkt 232001 A BBB BB B <B NR 1.5 11.5 53.5 138.5 138.5 138.5 138.5 138.5 Loans PO 00000 AAA AA A Frm 00018 BBB BB B <B NR 1.5 11.5 53.5 138.5 138.5 138.5 138.5 138.5 Fmt 4700 CDS AAA AA Sfmt 4725 A E:\FR\FM\26DER1.SGM <B NR BBB BB B 1.5 11.5 53.5 138.5 138.5 138.5 138.5 138.5 Indices AAA AA A 26DER1 BBB BB B 1.5 11.5 53.5 138.5 138.5 138.5 138.5 138.5 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations F~pm!ijIiiiIi!f!t!ti:t'§P'$);] Bonds 78182 VerDate Mar<15>2010 Appendix 7: Global Market Shock - Municipals (Adverse) sroberts on DSK5SPTVN1PROD with RULES VerDate Mar<15>2010 Appendix 7: Global Market Shock - Agencies (Adverse) Jkt 232001 lOs mo PO 00000 POs 10.0 Other CMOs liO Pass-Throughs mo mo mo mo mo Agency Debt/Debentures MBX Index Fmt 4700 Other Agency Derivatives liO TBA's mo Reverse Mortgages ~O Residential Other / Unspecified liO Sfmt 4725 Frm 00019 lOS Index POS Index E:\FR\FM\26DER1.SGM US Commercial Agency Products Cash Agency CMBS Agency CMBS Derivatives Commercial Other / Unspecified 25.0 25.0 25.0 Non-US Agency Products 26DER1 AAA AA A BBB BB B <B NR 25.0 32.5 37.5 62.5 75.0 125.0 150.0 150.0 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 16:15 Dec 24, 2013 US Residential Agency Products 78183 ER26DE13.016</GPH> sroberts on DSK5SPTVN1PROD with RULES 78184 VerDate Mar<15>2010 ~me' Relative MV Shock Based on Current Rating (%) AAATotal Pre 2006 -15.5% Jkt 232001 PO 00000 2006 2007 Post 2007 -21.1% -27.6% -15.5% Unspecified Vintage -27.6% -58.9% AATotal Pre 2006 -14.2% -17_7% -22.5% -38.7% -47.5% -14.2% -47.5% -38.7% -22.5% -47.5% -38.2% -70.7% -84.6% -84.6% -70.7% -84.6% 2006 2007 Post 2007 -70.5% -36.1% -70.5% -58.9% -36.1% -38.2% Unspecified Vintage -70.5% -36.1% -15.5% -21.1% -38.7% -19.5% -19.5% -28.6% -28.6% -19.5% -38.5% -47_5% -38.5% -19_5% -16.8% -47.5% -29.5% -29.5% -19.5% -19.5% -14.2% -17.7% -38.7% -31.4% -15.5% -21.1% -16.8% -47.5% -27.6% -19.5% -27.6% -19.5% -19.5% -28.6% -19.5% -15.5% -22.5% -14.2% -27.6% -29.5% -29.5% -19.5% -29.5% -38.5% -19.5% -27.6% -22.5% -16.8% -16.8% -16.8% -29.5% -38.7% -29.5% -38.7% -38.5% -15.5% -38.5% -28.6% -38.5% -58.9% -70.5% -70.5% -58.9% -70.5% -70.7% -84.6% -79.6% -70.7% -79.6% -40.3% -37.9% -79.6% -37.9% -79.6% -40.3% -37.9% -37.9% -79.6% -37.9% -28.6% -38.5% -38.5% -28.6% -38.5% -38.7"A. -70.7% -38.7% -29.5% Frm 00020 -28.6% -37.9"A> -58.9"A> -38.2% -34.5% -70.7% -84.6% -38.5% -37.9'X. -70.5% -36.1% -34.5% -84.6% -79.6% -70.7% -79.6% -38.5% -28.6% -38.5% -37.9% -37.9% -70.5% -58.9"A> -37.9'}{, -70.5% -36.1% -38.2% -36.1% -34.5% -34.5% -34.5% -79.6% -70.7% -79.6% -83.3% -90.0% A Total Fmt 4700 Pre 2006 -69.4% 2006 2007 Post 2007 -75.0% -41.2% -40.1% -75.0"/0 -39.5% -69.4% Unspecified Vintage -75.0"/0 -41.2% -39.5% -83.3% -90.0% -90.0% -83.3% -90.0% -69.4% Sfmt 4725 -83.3% -90.0% -48.5% -47.8% -79.6% -47.8% -38.5% -83.3% -90.0% -75.0% -69.4% -79.6% -79.6% -47.8% -38.5% -79.6% -83.3% -47.8% -28.6% -83.3% -75.0% -79.6% -48.5% -79.6% -47.8% -38.5% -79.6% -28.6% -38.5% -38.5% -28.6% -38.5% -69.1% -76.2% -76.2% -69.1% -76.2% -82.9% -91.5% -79.6% -56.8% -79.6% -79.6% -41.7% -41.7% -41.7% -28.6% -38.5% -38.5% -82.9% -91.5% -79.6% -75.0% -28.6% -47.8% -69.4% -47.8% -75.0% -47.8% -47.8% -75.0% -69.4% -41.2% -40.1% -48.2% -48.2% -39.5% -48.2% -79.6% -75.0% -41.2% -39.5% -48.2% -48.2% -83.3% -79.6% -47.8% -28.6% -38.5% -38.5% -41.7% -41.7% -41.7% -69.1% -76.2% -76.2% -54.6% -54.6% -53.3% -42.3% -42.3% -42.3% -82.9% -91.5% -79.6% BBBTotal Pre 2006 2006 2007 -54.6% -53.3% -53.3% Post 2007 -69.1% -76.2% -76.2% -69.1% -54.6% Unspecified Vintage -76.2% -53.3% -82.9% -91.5% -91.5% -82.9% -91.5% E:\FR\FM\26DER1.SGM -82.9% -56.8% -41.7% -28.6% -82.9% -28.6% -41.7% -69.1% -54.6% -42.3% -82.9% -79.6% -79.6% -41.7% -38.5% -79.6% -38.5% -41.7% -76.2% -54.6% -42.3% -79.6% -28.6% -38.5% -38.5% -28.6% -38.5% -82.9% -82.9% BBTotal Pre 2006 2006 2007 Post 2007 Unspecified Vintage STotal Pre 2006 2006 2007 Post 2007 Unspecified Vintage -69.1% -76.2% -76.2% -69.1% -76.2% -54.6% -82.9% -69.1% -82.9% -56.8% -40.5% -54.6% -91.5% -76.2% -91.5% -79.6% -40.5% -54.6% -54.6% -54.6% -91.5% -82.9% -76.2% -69.1% -91.5% -76.2% -79.6% -82.9% -79.6% -79.6% -56.8% -79.6% -40.5% -40.5% -40.5% -69.1% -76.2% -56.8% -79.6% -40.5% -40.5% -76.2% -79.6% -40.5% -69.1% -76.2% -82.9% -91.5% -79.6% -82.9% -79.6% -56.8% -79.6% -40.5% -40.5% -28.6% 26DER1 -69.1% -76.2% -54.6% -54.6% -76.2% -54.6% -69.1% -76.2% -54.6% -54.6% -82.9% -91.5% -91.5% -82.9% -91.5% -28.6% -38.5% -38.5% -69.1% -76.2% -76.2% -69.1% -76.2% -54.6% -54.6% -82.9% -91.5% -69.1% -76.2% -82.9% -91.5% -56.8% -79.6% -40.5% -28.6% -40.5% -54.6% -91.5% -76.2% -79.6% -79.6% -40.5% -54.6% -54.6% -82.9% -69.1% -82.9% -91.5% -76.2% -79.6% -56.8% -79.6% -40.5% -40.5% -38.5% -38.5% -28.6% -38.5% -69.1% -76.2% -76.2% -69.1% -76.2% -54.6% -54.6% -54.6% -82.9% -69.1% -76.2% -91.5% -76.2% -79.6% -40.5% -40.5% -40.5% -54.6% -82.9% -69.1% -82.9% -91.5% -79.6% -82.9% -56.8% -91.5% -56.8% -40.5% -54.6% -91.5% -76.2% -79.6% -79.6% -40.5% -38.5% -28.6% -40.5% -69.1% -54.6% -42.3% -91.5% -38.5% -40.5% -76.2% -54.6% -42.3% -91.5% -79.6% -82.9% -79.6% -38.5% -28.6% -38.5% -40.5% -40.5% -40.5% -76.2% -69.1% -76.2% -54.6% -54.6% -54.6% -42.3% -42.3% -42.3% -79.6% -82.9% -79.6% -82.9% -91.5% -28.6% -38.5% -40.5% -40.5% -69.1% -76.2% -54.6% -54.6% -42.3% -42.3% -79.6% -38.5% -40.5% -76.2% -54.6% -42.3% -82.9% -79.6% -28.6% -38.5% -40.5% -40.5% -69.1% -76.2% -54.6% -54.6% -42.3% -42.3% -82.9% -91.5% -79.6% -82.9% -79.6% -82.9% -91.5% -28.6% -38.5% -40.5% -40.5% -69.1% -76.2% -54.6% -54.6% -423% -82.9% -42.3% -79.6% -38.5% -40.5% -76.2% -54.6% -42.3% -91.5% -79.6% -82.9% -79.6% -28.6% -40.5% -40.5% -69.1% -54.6% -42.3% -82.9% -38.5% -76.2% -54.6% -42.3% -79.6% -40.5% -69.1% -54.6% -42.3% -82.9% -40.5% -40.5% -76.2% -54.6% -54.6% -423% -91.5% -42.3% -79.6% <STotal Pre 2006 2006 2007 Post 2007 Unspecified Vintage NRTotal Pre 2006 2006 2007 Post 2007 Unspecified Vintage ER26DE13.017</GPH> ~uns;,elllkinc Non-Agency ~ '. _ ---~b~i:IJ~.i:n:e:Prime -79.6% -28.6% -38.5% -38.5% -28.6% -38.5% -82.9% -91.5% -79.6% -82.9% -79.6% -28.6% -38.5% -38.5% -28.6% -38.5% -40.5% -76.2% -69.1% -54.6% -42.3% -82.9% -40.5% -76.2% -54.6% -42.3% -79.6% Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 16:15 Dec 24, 2013 Appendix 8: Global Market Shock - Securitized Products (Severe) sroberts on DSK5SPTVN1PROD with RULES VerDate Mar<15>2010 16:15 Dec 24, 2013 Relative MV Shock Based on Current Rating (%) AAATotal Pre 2006 Jkt 232001 PO 00000 -7.3% -7.3% -7.8% -7.3% -7.8% -13.7% -13.7% -18.3% -13.7% -18.3% 2006 2007 Post 2007 -17.8% -17.8% -19.0% -17.8% Unspecified Vintage -19.0% -33.1% -33.1% -39.4% -33.1% -39.4% 2006 2007 Post 2007 Unspecified Vintage AATotal Pre 2006 Frm 00021 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 -17.B% -lB.5% -19.B% -17.8% -19.8% -17.8% -lB.5% -19.8% -17.8% -19.8% -17.B% -lB.5% -19.B% -17.B% -19.B% -B.O% -B.O% -B.o% -B.O% -B.O% -17.8% -18.5% -19.8% -17.8% -19.8% -18.9% -lB.9% -18.9% -lB.9% -lB.9% -26.4% -26.4% -26.4% -26.4% -26.4% -34.3% -34.3% -34.3% -34.3% -34.3% -26.4% -26.4% -26.4% -26.4% -26.4% -26.4% -26.4% -26.4% -26.4% -26.4% -lB.4% -22.1% -22.1% -18.4% -22.1% -34.3% -34.3% -34.3% -34.3% -34.3% -28.9% -38.2% -28.9% -38.2% -33.1% -3B.0% -39.4% -33.1% -39.4% -33.1% -B.O% -38.0% -8.0% -39.4% -33.1% -39.4% -B.O% -33.1% -3B.0% -39.4% -33.1% -39.4% -48.1% -48.1% -48.1% -48.1% -48.1% -58.4% -58.4% -58.4% -58.4% -58.4% -75.9% -75.9% -75.9% -75.9% -75.9% -58.4% -58.4% -58.4% -58.4% -58.4% -58.4% -58.4% -58.4% -58.4% -58.4% -18.4% -22.1% -22.1% -18.4% -22.1% -75.9% -75.9% -75.9% -75.9% -75.9% -19.4% -20.7% -33.7% -33.7% -40.0% -33.7% -40.0% -35.4% -37.5% -45.6% -35.4% -45.6% -35.4% -37.5% -45.6% -35.4% -45.6% -35.4% -37.5% -45.6% -35.4% -45.6% -35.4% -37.5% -45.6% -35.4% -45.6% -59.7% -59.7% -59.7% -59.7% -59.7% -58.1% -58.1% -58.1% -58.1% -58.1% -75.5% -75.5% -75.5% -75.5% -75.5% -58.1% -58.1% -58.1% -58.1% -58.1% -58.1% -58.1% -58.1% -58.1% -58.1% -18.4% -22.1% -22.1% -18.4% -22.1% -75.5% -75.5% -75.5% -75.5% -75.5% -18.7% -18.7% -20.0% -18.7% -20.0% -46.3% -46.3% -55.1% -46.3% -55.1% -35.4% -37.5% -45.6% -35.4% -45.6% -46.3% -46.3% -55.1% -46.3% -55.1% -46.3% -46.3% -55.1% -46.3% -55.1% -8.0% -8.0% -46.3% -46.3% -55.1% -46.3% -55.1% -65.1% -65.1% -65.1% -65.1% -65.1% -59.7% -59.7% -59.7% -59.7% -59.7% -77.6% -77.6% -77.6% -77.6% -77.6% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -18.4% -22.1% -22.1% -18.4% -22.1% -77.6% -77.6% -77.6% -77.6% -77.6% -26.2% -26.2% -28.0% -26.2% -28.0% -46.3% -46.3% -55.1% -46.3% -55.1% -35.4% -37.5% -45.6% -35.4% -45.6% -46.3% -46.3% -55.1% -46.3% -55.1% -46.3% -46.3% -55.1% -46.3% -55.1% -8.0% -8.0% -8.0% -8.0% -8.0% -46.3% -46.3% -55.1% -46.3% -55.1% -65.1% -65.1% -65.1% -65.1% -65.1% -59.7% -59.7% -59.7% -59.7% -59.7% -77.6% -77.6% -77.6% -77.6% -77.6% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -18.4% -22.1% -22.1% -18.4% -22.1% -77.6% -77.6% -77.6% -77.6% -77.6% -26.2% -26.2% -46.3% -46.3% -55.1% -46.3% -55.1% -35.4% -37.5% -45.6% -35.4% -45.6% -46.3% -46.3% -55.1% -46.3% -55.1% -46.3% -46.3% -55.1% -46.3% -55.1% -8.0% -8.0% -8.0% -8.0% -8.0% -46.3% -46.3% -55.1% -46.3% -55.1% -65.1% -65.1% -65.1% -65.1% -65.1% -59.7% -59.7% -59.7% -59.7% -59.7% -77.6% -77.6% -77.6% -77.6% -77.6% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -18.4% -22.1% -22.1% -18.4% -22.1% -77.6% -77.6% -77.6% -77.6% -77.6% -46.3% -46.3% -55.1% -46.3% -55.1% -35.4% -37.5% -45.6% -35.4% -45.6% -46.3% -46.3% -55.1% -46.3% -55.1% -46.3% -46.3% -55.1% -46.3% -55.1% -8.0% -8.0% -8.0% -8.0% -8.0% -46.3% -46.3% -55.1% -46.3% -55.1% -65.1% -65.1% -65.1% -65.1% -65.1% -59.7% -59.7% -59.7% -59.7% -59.7% -77.6% -77.6% -77.6% -77.6% -77.6% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -18.4% -22.1% -22.1% -18.4% -22.1% -77.6% -77.6% -77.6% -77.6% -77.6% -46.3% -46.3% -55.1% -46.3% -55.1% -35.4% -37.5% -45.6% -35.4% -45.6% -46.3% -46.3% -55.1% -46.3% -55.1% -46.3% -46.3% -55.1% -46.3% -55.1% -B.O% -46.3% -46.3% -55.1% -46.3% -55.1% -65.1% -65.1% -65.1% -65.1% -65.1% -59.7% -59.7% -59.7% -59.7% -59.7% -77.6% -77.6% -77.6% -77.6% -77.6% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -59.7% -18.4% -22.1% -22.1% -18.4% -22.1% -77.6% -77.6% -77.6% -77.6% -77.6% -38.0% -8.0% -B.O% A Total Pre 2006 2006 2007 Post 2007 Unspecified Vintage -19.4% -19.4% -20.7% -B.O% -8.0% -B.O% -8.0% -B.O% BBBTotal Pre 2006 2006 2007 Post 2007 Unspecified Vintage -B.O% -B.O% -B.O% BBTotal Pre 2006 2006 2007 Post 2007 Unspecified Vintage STotal Pre 2006 2006 2007 Post 2007 Unspecified Vintage -28.0% -26.2% -28.0% <STotal Post 2007 -26.2% -26.2% -28.0% -26.2% Unspecified Vintage -28.0% Pre 2006 2006 2007 NRTotal Pre 2006 2006 2007 Post 2007 Unspecified Vintage -26.2% -26.2% -28.0% -26.2% -28.0% -8.0% -B.O% -8.0% -8.0% Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Appendix 8: Global Market Shock - Securitized Products (Severe) (Cont.) 78185 ER26DE13.018</GPH> sroberts on DSK5SPTVN1PROD with RULES _.. --_.'" ....... _ - .. . ................... Jkt 232001 Pre 2006 2006 2007 Post 2007 'u Unspecified Vintage PO 00000 Frm 00022 Fmt 4700 Sfmt 4725 -17.7% -17.7% -17.7% -17.7% -17.7% -2.7% -2.7% -2.7% -2.7% -2.7% -18.4% -22.1% -22.1% -18.4% -22.1% 18.4% 22.1% 22.1% 18.4% 22.1% -2.7% -2.7% -2.7% -2.7% -2.7% -56.1% -56.1% -56.1% -56.1% -56.1% -2.7% -2.7% -2.7% -2.7% -2.7% -18.4% -22.1% -22.1% -18.4% -22.1% 18.4% 22.1% 22.1% 18.4% 22.1% -2.7% -2.7% -2.7% -2.7% -2.7% -82.3% -82.3% -82.3% -82.3% -82.3% -2.7% -2.7% -2.7% -2.7% -2.7% -18.4% -22.1% -22.1% -18.4% -22.1% 18.4% 22.1% 22.1% 18.4% 22.1% -2.7% -2.7% -2.7% -2.7% -2.7% -85.9% -85.9% -85.9% -85.9% -85.9% -43.9% -43.9% -43.9% -43.9% -43.9% -18.4% -22.1% -22.1% -18.4% -22.1% 18.4% 22.1% 22.1% 18.4% 22.1% -43.9% -43.9% -43.9% -43.9% -43.9% -87.4% -87.4% -87.4% -87.4% -87.4% -43.9% -43.9% -43.9% -43.9% -43.9% -18.4% -22.1% -22.1% -18.4% -22.1% 18.4% 22.1% 22.1% 18.4% 22.1% -43.9% -43.9% -43.9% -43.9% -43.9% -87.4% -87.4% -87.4% -87.4% -87.4% -43.9% -43.9% -43.9% -43.9% -43.9% -18.4% -22.1% -22.1% -18.4% -22.1% 18.4% 22.1% 22.1% 18.4% 22.1% -43.9% -43.9% -43.9% -43.9% -43.9% -87.4% -87.4% -87.4% -87.4% -87.4% -43.9% -43.9% -43.9% -43.9% -43.9% -18.4% -22.1% -22.1% -18.4% -22.1% 18.4% 22.1% 22.1% 18.4% 22.1% -43.9% -43.9% -43.9% -43.9% -43.9% -87.4% -87.4% -87.4% -87.4% -87.4% -43.9% -43.9% -43.9% -43.9% -43.9% -18.4% -22.1% -22.1% -18.4% -22.1% 18.4% 22.1% 22.1% 18.4% 22.1% -43.9% -43.9% -43.9% -43.9% -43.9% AATotal Pre 2006 2006 2007 Post 2007 Unspecified Vintage A Total Pre 2006 2006 2007 Post 2007 Unspecified Vintage BBBTotal Pre 2006 2006 2007 Post 2007 Unspecified Vintage BBTotal E:\FR\FM\26DER1.SGM Pre 2006 2006 2007 Post 2007 Unspecified Vintage BTotal 26DER1 Pre 2006 2006 2007 Post 2007 Unspecified Vintage <BTotal Pre 2006 2006 2007 Post 2007 Unspecified Vintage NRTotal Pre 2006 2006 2007 Post 2007 Unspecified Vintage ER26DE13.019</GPH> Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 16:15 Dec 24, 2013 ." ...................... AAATotal 78186 VerDate Mar<15>2010 Appendix 8: Global Market Shock - Securitized Products (Severe) (Cont.) sroberts on DSK5SPTVN1PROD with RULES VerDate Mar<15>2010 Appendix 8: Global Market Shock - Municipals (Severe) 16:15 Dec 24, 2013 Jkt 232001 AAA AA A BBB BB B <B NR 3.0 23.0 107.0 277.0 277.0 277.0 277.0 277.0 Loans PO 00000 Frm 00023 AAA AA A BBB BB B <B NR 3.0 23.0 107.0 277.0 277.0 277.0 277.0 277.0 Fmt 4700 CDS AAA AA Sfmt 4725 A E:\FR\FM\26DER1.SGM <B NR BBB BB B 3.0 23.0 107.0 277.0 277.0 277.0 277.0 277.0 Indices AAA AA A 26DER1 BBB BB B 78187 <B NR 3.0 23.0 107.0 277.0 277.0 277.0 277.0 277.0 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations pmiiaw'!~Wj6g'~t,~#m Bonds sroberts on DSK5SPTVN1PROD with RULES Jkt 232001 Other CMOs PO 00000 Pass-Th roughs Agency Debt/Debentures lOS Index Frm 00024 pas Index MBX Index Fmt 4700 Other Agency Derivatives TBA's Reverse Mortgages Sfmt 4725 Residential Other / Unspecified E:\FR\FM\26DER1.SGM US Commercial Agency Products Cash Agency CMBS Agency CMBS Derivatives Commercial Other / Unspecified 50.0 50.0 50.0 Non-US Agency Products 26DER1 AAA AA A BBB BB B 160.0 20.0 50.0 40.0 20.0 160.0 20.0 40.0 50.0 40.0 80.0 50.0 50.0 65.0 75.0 125.0 150.0 250.0 300.0 300.0 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 16:15 Dec 24, 2013 US Residential Agency Products las pas 78188 VerDate Mar<15>2010 Appendix 8: Global Market Shock - Agencies (Severe) Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 78189 Appendix 9: House Price Extrapolation House Price Index Extrapolation For house prices, extrapolate from the last period of the scenarios (Q4, 2016) using the following: 2016+ : Long-run house price appreciation rate of 70 basis points over inflation. VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00025 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.022</GPH> sroberts on DSK5SPTVN1PROD with RULES Inflation 2016 - 2018: Congressional Budget Office's projection of 2.2 percent per year. 2019 +: Congressional Budget Office's projection of 2.3 percent per year. 78190 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Appendix 10: Data Notes Data Notes Sources for data through 2013:Q3 (as released through 10/2S/2013). The 2013:03 values of variables marked with an asterisk (*) are projected. u.s. real GOP growth": Percent change in real Gross Domestic Product at an annualized rate, Bureau of Economic Analysis. U.S. nominal GOP growth": Percent change in nominal Gross Domestic Product at an annualized rate, Bureau of Economic Analysis. U.S. real disposable income growth": Percent change in nominal disposable personal income divided by the price index for personal consumption expenditures at an annualized rate, Bureau of Economic Analysis. U.S. nominal disposable income growth": Percent change in nominal disposable personal income at an annualized rate, Bureau of Economic Analysis. U.S. unemployment rate: Quarterly average of monthly data, Bureau of Labor Statistics. U.S. CPI inflation": Percent change in the Consumer Price Index at an annualized rate, Bureau of Labor Statistics. U.S. 3-month Treasury rate: Quarterly average of 3-month Treasury bill secondary market rate discount basis, Federal Reserve Board. U.S. 5-yearTreasuryyield: Quarterly average of the yield on 5-year u.S. Treasury bonds, constructed for FRB/U.S. model by Federal Reserve staff based on the Svensson smoothed term structure model; see Lars E. o. Svensson (1995), "Estimating Forward Interest Rates with the Extended Nelson-Siegel Method," Quarterly Review, no. 3, Sveriges Riksbank, pp. 13-26. U.S. 10-year Treasury yield: Quarterly average ofthe yield on 10-year u.S. Treasury bonds, constructed for FRB/U.S. model by Federal Reserve staff based on the Svensson smoothed term structure model; see Lars E. Quarterly Review, No.3, Sveriges Riksbank, pp. 13-26. o. Svensson (1995), "Estimating Forward Interest Rates with the Extended Nelson-Siegel Method," U.S. BBB corporate yield: Quarterly average of the yield on 10-year BBB-rated corporate bonds, constructed for FRB/U.S. model by Federal Reserve staff using a Nelson-Siegel smoothed yield curve model; see Charles R. Nelson and Andrew F. Siegel (1987), "Parsimonious Modeling of Yield Curves," Journal 0/ Business, vol. 60, pp. 473-89. Data priorto 1997 is based on the WARGA database. Data after 1997 is based on the Merrill Lynch database. U.S. mortgage rate: Quarterly average of weekly series of Freddie Mac data. U.S. prime rate: Quarterly average of monthly series, Federal Reserve Board. U.S. Oow Jones Total Stock Market (Float Cap) Index: End of quarter value, Dow Jones. U.S. House Price Index": CoreLogic, index level, seasonally adjusted by Federal Reserve staff. U.S. Commercial Real Estate Price Index": From the Financial Accounts of the United States, Federal Reserve Board (Z.l release); the series corresponds to the data for price indexes: Commercial Real Estate Price Index (series FI075035503.Qj. U.S. Market Volatility Index (VIX): Chicago Board Options Exchange, converted to quarterly by using the maximum value in any quarter. Euro area real GOP growth*: Staff calculations based on Statistical Office of the European Communities via Haver, extended back using ECB Area Wide Model dataset (ECB Working Paper series no. 42). Euro area inflation: Staff calculations based on Statistical Office of the European Community via Haver. Developing Asia real GOP growth": Staff calculations based on Chinese National Bureau of Statistics via CEIC; Indian Central Statistical Organization via CEIC; Bank of Korea via Haver; Census and Statistics Department of Hong Kong via CEIC; and Taiwan Directorate-General of Budget, Accounting, and Statistics via CEIC. Developing Asia inflation: Staff calculations based on Chinese National Bureau of Statistics via CEIC; Indian Ministry of Statistics and Programme Implementation via Haver; Labour Bureau of India via CEIC; National Statistical Office of Korea via CEIC; Census and Statistic Department of Hong Kong via CEIC; and Taiwan Directorate-General of Budget, Accounting, and Statistics via CEIC. Japan real GOP growth*: Cabinet Office via Haver. Japan inflation: Ministry of Internal Affairs and Communications via Haver. U.K. real GOP growth: Office for National Statistics via Haver. U.K. inflation: Staff calculations based on Office for National Statistics (uses Retail Price Index to extend series back to 1960) via Haver. VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00026 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.023</GPH> sroberts on DSK5SPTVN1PROD with RULES Exchange rates: Bloomberg. Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 78191 Dodd-Frank Stress Tests Summary Instructions and Guidance November 26, 2013 Accompanying Order No. 2013-0R-FNMA-2, Order No. 2013-0R-FHLMC-2, and Order No. 2013-0R-B-2 VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00027 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.024</GPH> sroberts on DSK5SPTVN1PROD with RULES Federal Housing Finance Agency 78192 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Contents Introduction ................................................................................................................................................ 2 Dodd-Frank Stress Test Scenarios ..................................................................................................... 3 FHFA Scenarios - Enterprises ........................................................................................................... 5 Reporting Format and Timing ........................................................................................................... 5 Stress Test Governance ....................................................................................................................... 6 Use of Stress Test Results ................................................................................................................... 6 Incomplete Data ................................................................................................................................... 7 Evaluation of Stress Test Processes ................................................................................................... 7 Appendix 1: Regulatory Expectations for a Stress Testing Process ................................................... 7 Attachment 1: FHFA DFA Reporting Schedules (Non-Public) ........................................................ 14 Attachment 2: FHFA DFA Reporting Schedules (Public) ................................................................. 63 Introduction as each of the Banks (any of the Banks singularly, Bank; Fannie Mae and Freddie Mac collectively, the Enterprises; the Enterprises and the Banks collectively, regulated entities; any of the regulated entities singularly, regulated entity). While each of the regulated entities currently has total consolidated assets of more than $10 billion, the final rule expressly retains the Director's discretion to require any regulated entity that falls below the $10 billion threshold to conduct the stress test. 21 VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00028 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.025</GPH> sroberts on DSK5SPTVN1PROD with RULES Section 16S(i) (2) of the Dodd-Frank Act requires certain financial companies with total consolidated assets of more than $10 billion, and which are regulated by a primary federal financial regulatory agency, to conduct annual stress tests to determine whether the companies have the capital necessary to absorb losses as a result of adverse economic conditions. The Federal Housing Finance Agency (FHF A) is the primary federal financial regulator of Fannie Mae, Freddie Mac, and the twelve Federal Home Loan Banks (Banks) referred to herein Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations The Enterprises' capital positions, supported and restricted by the Senior Preferred Stock Purchase Agreements with the Department of the Treasury are unique. Nonetheless, the Enterprises incorporate capital into their models for new business and to determine adequate returns (among other things). FHFA expects the Enterprises to have processes and procedures for managing their businesses notwithstanding Treasury's support. Therefore, the rule and these instructions apply equally to the Enterprises and the Banks. FHFA's final rule implementing the DoddFrank Act stress testing requirements sets forth the basic requirements for implementing the Dodd-Frank Stress Tests and reporting the results. FHFA anticipates supplementing the rule annually with reporting schedules and such additional Orders, instructions and guidance as may be necessary. This document presents the general instructions and guidance that each regulated entity is expected to follow in conducting stress tests and reporting and publishing results under the rule. General instructions and guidance are provided relating to: • Scenario assumptions; • Reporting and timing; • Stress test process governance; • Use of stress test results; • Incomplete data; • Evaluation of stress test processes Jkt 232001 PO 00000 Frm 00029 The initial stress tests are based on portfolios as of September 30, 2013. The planning horizon for the stress test is nine quarters starting with the fourth quarter of 2013 and extending through the fourth quarter of 2015. A year of scenario assumptions beyond the nine-quarter planning horizon is provided and may be utilized, if needed. Historical data is provided in the event that models require that information. FHFA expects each regulated entity to use those scenario variables that are relevant to the entity's line of business and that are consumed by the entity's models. However, FHFA expects each regulated entity to apply all of the relevant global market shocks provided, with the exception of the counterparty default scenario component which is required for the Enterprises but optional for the Banks. The regulated entities are expected to indicate which scenario variables are included in their stress tests in their reports to FHFA and the Federal Reserve Board of Governors (Board). The global market assumptions provided by FHFA are to be applied to the regulated entities trading securities, available-for-salesecurities and other fair value assets as of September 30, 2013 for the adverse and severely adverse stress test. Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.026</GPH> sroberts on DSK5SPTVN1PROD with RULES 16:15 Dec 24, 2013 For purposes of the Dodd-Frank Stress Test, the regulated entities are required to submit the results of stress tests based on three scenarios: Baseline, Adverse, and Severely Adverse. Assumptions for the variables in each separate scenario may be found in the attachments to the Order. Global Market Shock Assumptions Dodd-Frank Stress Test Scenarios VerDate Mar<15>2010 78193 78194 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Counterparty Default Scenario Component sroberts on DSK5SPTVN1PROD with RULES The Enterprises are required to perform the counterparty default scenario component of the global market shocks, while the component is optional for the Banks. The counterparty default scenario component of the global market shocks should be treated as an add-on to the macroeconomic and financial market scenarios specified in the FHFA's supervisory adverse and severely adverse scenarios. The counterparty default scenario component involves an instantaneous and unexpected default of the regulated entity's largest counterparty across the regulated entity's securities lending, repurchase/ reverse repurchase agreements (collectively Securities Financing Transactions or SFTs) and derivative exposures, and the potential losses and effects on capital associated with such a default. The regulated entity should identify their largest counterparty by the counterparty that represents the largest total VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00030 Fmt 4700 net stressed loss if the counterparty defaulted on its obligations. Net stressed losses for each counterparty are calculated after applying the instantaneous market shock to any non-cash SFT assets (securities/ collateral) posted or received, and, for derivatives, to the value of the trade position and non-cash collateral exchanged. All estimated losses from the counterparty default scenario component should be assumed to occur instantaneously and should be reported in the initial quarter of the planning horizon. More detailed instructions for implementing other assumptions follow: House Prices The House Price Index assumptions provided by FHFA describe the path of national house prices. FHFA expects each regulated entity to extrapolate the national house price path beyond the nine quarters using the assumptions provided in the attachments to the Order. FHFA expects each regulated entity to translate the national house price path in each scenario to regional house price paths as appropriate for each regulated entity's models and to interpolate the house price paths to accommodate the frequency of data required by their models. Missing Interest Rate Series and Other Missing Variables Regulated entities should develop assumptions for interest rate series and other variables that their models consume but that FHFA does not provide and interpolate those series to accommodate the frequency of data required by their models. Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.027</GPH> The result of the global market shock is to be taken as an instantaneous loss and reduction of capital in the first quarter of the planning horizon. The regulated entities should not assume a related decline in portfolio positions as a result of these market shock losses. The global market shock should be treated as an add-on that is exogenous to the macroeconomic and financial market environment specified in the supervisory stress scenarios. The regulated entities should assume no recoveries of the losses generated by the global market shock over the nine quarters. The capital impact of the global market shock is carried over the planning horizon. Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Balance Sheet Evolution The regulated entities should also make the necessary assumptions for rolling their balance sheets forward through the ninequarter projection period. Each entity's assumptions should reflect its reasonable expectations of future business and conform to its strategic plans. Additionally, the Enterprises should ensure that the size and composition of their books of business during the stress test are consistent with the goals in FHFNs Conservatorship Scorecard. For capital actions, the Banks should take into account their actual capital actions as of the end of the calendar quarter preceding the first quarter of the nine-quarter planning horizon. For each succeeding quarter, they should either assume payment of stock dividends equal to those paid in the year ending at the end of the first quarter of the planning horizon, or, follow any established rules they have for dividends payments. The Banks should either assume that they do not redeem or repurchase any capital instrument over the planning horizon or that their capital actions will accord with their established capital plans. They should also assume that they will redeem all mandatorily redeemable capital stock as per their usual practice unless restricted from doing so by FHFA actions. Jkt 232001 PO 00000 Frm 00031 FHFA expects the Banks to use the common platform for estimating other-thantemporary impairments on Private Label Securities in each stress test scenario. For estimating AMA losses, the Banks are expected to use their existing modeling processes and may use the common platform. FHFA Scenarios - Enterprises In 2013, the Enterprises are required to conduct additional FHFA-required stress tests (the "FHFA scenarios"), as they have in the past, in conjunction with the initial implementation of the Dodd-Frank Stress Tests. Next year, the Enterprises will be required to conduct only the Dodd-Frank Stress Tests. Fmt 4700 The Enterprises must submit results of the Baseline, Adverse, and Severely Adverse scenarios to FHFA and the Board by February 5 (30 days after required reporting dates for financial institutions with $50 billion or more of assets) and publish results Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.028</GPH> sroberts on DSK5SPTVN1PROD with RULES FHFA will review those assumptions for reasonableness and consistency with the assumptions used by other regulated entities. In all cases, FHFA may require resubmission where it deems assumptions unacceptable. Reporting Format and Timing Finally, they should assume that they will cease dividend payments, capital redemptions, or repurchases (as applicable) when retained earnings fall to zero. 16:15 Dec 24, 2013 The Enterprises should comply with the terms of the Senior Preferred Stock Agreements, as amended, to determine the level of dividends to pay over the planning horizon. Other-than-temporary-impairments and Estimated AMA Losses Capital Actions VerDate Mar<15>2010 78195 78196 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations The results of a regulated entity's analysis for each scenario should encompass all potential losses and other impacts to net income and capital that the regulated entity might experience under the scenarios. In all cases, regulated entities should substantiate that their results are consistent with the specified macroeconomic and financial environment, and that the components of their results are internally consistent within each scenario. The regulated entities are required to report the results to FHFA and the Board using the Dodd Frank Act (DFA) schedules for nonpublic disclosure provided in Attachment 1. DFA schedules for public disclosure are provided in Attachment 2. The regulated entities also are required to submit qualitative information describing the methodologies, including any simplifying or other assumptions used to produce the estimates, as well as any other information necessary to fully support the reasonableness of the stress test results. sroberts on DSK5SPTVN1PROD with RULES Each regulated entity must submit its results and any supporting information to FHFA through a secure site. The Enterprises must use the secure server. The Banks must use the secure bank portaL VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00032 Fmt 4700 Stress Test Governance The board of directors of each regulated entity or a designated committee thereof is responsible for reviewing and approving policies and procedures established to comply with the rule. The board should also receive and review the results of the stress tests for compliance with the rule and established policies and procedures. Senior management of each regulated entity is responsible for establishing and testing controls. Senior management and each member of the board of directors are to receive a summary of the stress test results. Use of Stress Test Results The rule requires that each regulated entity take the results of the annual stress test into account in making any changes, as appropriate, to its capital structure (including the level and composition of capital); its exposures, concentrations, and risk positions; any plans for recovery and resolution; and to improve overall risk management. Consultation with FHFA supervisory staff is expected in making such improvements. If a regulated entity is under FHFA conservatorship, any post-assessment actions would require FHFA's prior approvaL Results should include effects on capital as required under the Dodd-Frank Act stress testing rule. Specifically, and in accordance with the rule, each regulated entity must calculate how each of the following is affected during each quarter of the stress test planning horizon, for each scenario: • Potential losses, pre-provision net revenues, allowance for loan losses, Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.029</GPH> of only the Severely Adverse scenario between April 15 and April 30. The Banks are to report results of the Baseline, Adverse, and Severely Adverse scenarios to FHFA and the Board by April 30 (30 days after required reporting dates for financial institutions with less than $50 billion of assets) and publish results of only the Severely Adverse scenario between July 15 and July 30. Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations and future pro forma capital positions over the planning horizon; and • Capital levels and capital ratios, including regulatory capital and net worth, each Bank's leverage and permanent capital ratios, and any other capital ratios, as specified by FHFA. Incomplete Data All regulated entities are required to report all data elements in the attached FHFA DFA schedules. Failure to submit complete data to FHFA in a timely manner may require resubmission of data or any other remedy or penalty authorized under the Federal Housing Enterprises Financial Safety and Soundness Act of 1992, as amended (12 U.s.c. 4501 et seq.) (Safety and Soundness Act) and the Federal Home Loan Bank Act, as amended (12 U.s.c. 1421 through 1449) (Bank Act). 78197 Evaluation of Stress Test Processes FHFA will focus particular attention on the processes surrounding the implementation of the scenarios to ensure that these processes are robust and that they capture and stress key vulnerabilities and idiosyncratic risks facing the firm; and that the translation of the scenario into loss, revenue, and post-stress capital projections is conceptually sound and implemented in a well- controlled manner. FHFA will evaluate the extent to which stress testing processes at the regulated entities adhere to the regulatory principles outlined in Appendix 1. Failure to follow these principles in a timely manner constitutes a basis for objection to results, which may result in monetary penalties, revocation of publication or other remedy or penalty, authorized under the Safety and Soundness Act and the Bank Act. Appendix 1: Regulatory Expectations for a Stress Testing Process A regulated entity's stress testing process should adhere to the following principles: • A satisfactory stress testing process requires (1) a comprehensive risk identification process, and (2) complete and accurate measurement and assessment of all material risks. VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00033 • A regulated entity should measure or assess the full spectrum of risks that face the regulated entity, using both quantitative and qualitative methods, where applicable. Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.030</GPH> sroberts on DSK5SPTVN1PROD with RULES Principle 1: The regulated entity has a sound risk measurement and management infrastructure that supports the identification, measurement, assessment, and control of all material risks arising from its exposures and business activities. 78198 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations • The regulated entity should have data capture and retention systems that allow for the input, use, and storage of information required for sound risk identification and measurement and to produce reliable inputs for assessments of capital adequacy. • Quantitative processes for measuring risks should meet supervisory expectations for model effectiveness and be supported by robust model development, documentation, validation, and overall model governance practices. Both qualitative and quantitative processes for assessing risk should be transparent, repeatable, and reviewable by an independent party. • Any identified weaknesses in risk measures used as inputs to the stress testing process should be documented and reported to relevant parties, with an assessment of the potential impact of riskmeasurement weaknesses on the reliability of the stress test results. complementary, not suffer from common limitations, and minimize reliance on common assumptions. • Using the loss estimation methodologies for its various risk exposures, a regulated entity should develop consistent and repeatable processes to aggregate its loss estimates on an enterprise-wide basis. • A regulated entity should demonstrate that its loss estimation tools are developed using sound modeling approaches, appropriate for the manner in which they are being employed, and that the most relevant limitations are clearly identified, well documented, and appropriately communicated. • A regulated entity should recognize that its loss projections are estimates and should have a good understanding of the uncertainty around those estimates, including the potential margin of error and the sensitivity of the estimates to changes in inputs and key assumptions. • Stress tests should include methodologies that generate estimates of potential losses for all material risk exposures, one of which should be an enterprise-wide stress test using scenario analysis. Methodologies should be • Management and the Board of directors should understand the lossabsorption capabilities of the components of the regulated entity's capital base, and maintain projection methodologies for each of the capital VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00034 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.031</GPH> sroberts on DSK5SPTVN1PROD with RULES Principle 2: The regulated entity has effective processes for translating risk measures into estimates of potential losses over a range of stressful scenarios and environments and for aggregating those estimated losses across the regulated entity. Principle 3: The regulated entity has a clear definition of available capital resources and an effective process for estimating available capital resources (including any projected revenues) over the same range of stressful scenarios and environments used for estimating losses. Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations • In estimating available capital resources, a regulated entity will need to consider not only its current positions and mix of capital instruments, but also how its capital resources may evolve over time under varying circumstances and stress scenarios. • As part of a comprehensive enterprisewide stress testing program, projections of pre-provision net revenue (PPNR) should be consistent with balance sheet and other exposure assumptions used for related loss estimation. Projections should estimate all key elements of PPNR, including net interest income, non-interest income, and non-interest expense at a level of granularity consistent with material revenue and expense components. sroberts on DSK5SPTVN1PROD with RULES • A regulated entity should demonstrate that its capital resource estimation tools are developed using sound modeling approaches, appropriate for the manner in which they are being employed, and that the most relevant limitations are clearly identified, well documented, and appropriately communicated. • A regulated entity should recognize that its projections of capital resources are estimates and should have a good understanding of the uncertainty around those estimates, including the potential margin of error and the sensitivity of the estimates to changes in inputs and key assumptions. VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00035 Fmt 4700 Principle 4: The regulated entity has processes for bringing together estimates of losses and capital resources to assess the combined impact on capital adequacy in relation to the regulated entity's stated goals for the level and composition of capital. • A regulated entity should have a comprehensive and consistently executed process for combining loss, resource, and balance sheet estimates to assess the baseline and post-stress impact of those estimates on capital measures. • A regulated entity should calculate and use several capital measures that represent both leverage and risk at specified time horizons under both baseline and stressful conditions, consistent with its capital policy framework. Measures should include quarterly estimates for the impact on capital and leverage ratios as well as other capital and risk measures useful in assessing overall capital adequacy. • The processes for bringing together estimates of losses and capital resources should ensure that appropriately stressful conditions over the regulated entity's planning horizon have been incorporated to properly address the institutions' unique vulnerabilities. • The processes should provide for the presentation of any information that may have material bearing on the regulated entity's capital adequacy assessment, including all relevant risks and strategic Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.032</GPH> components included in relevant capital adequacy metrics. 78199 78200 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations information and analysis used to make decisions. Principle 5: The regulated entity has a comprehensive capital policy and robust capital planning practices for establishing capital goals, determining appropriate capital levels and composition of capital, making decisions about capital actions, and maintaining capital contingency plans. Capital Policy • A capital policy is defined as a regulated entity's written assessment of the principles and guidelines used for capital planning, capital issuance, and usage and distributions, including internal capital goals, the quantitative or qualitative guidelines for dividend and stock repurchase decisions, the strategies for addressing potential capital shortfalls, and the internal governance procedures around capital policy principles and guidelines. • A regulated entity should establish capital goals aligned with its risk appetite and risk profile as well as expectations of stakeholders, providing specific targets for the level and composition of capital. The regulated entity should ensure that maintaining its internal capital goals will allow it to continue its operations under stressful conditions. sroberts on DSK5SPTVN1PROD with RULES • The capital policy should describe the decision making processes regarding capital goals, the level and composition of capital, capital actions, and capital contingency plans, including an explanation of the roles and responsibilities of key decision makers and • The regulated entity should outline in its policy specific capital contingency actions it would consider to remedy any current or prospective deficiencies in its capital position, including any triggers and escalation procedures. The policy should also include a detailed explanation of the circumstances in which it will reduce or suspend a dividend or repurchase program, or will not execute a previously planned capital action. • A regulated entity should establish a minimum frequency with which its capital plan is reevaluated (at least annually). In addition, a regulated entity should review its capital policy at least annually to ensure it remains relevant and current. Capital Planning Practices • At regular intervals, a regulated entity should compare the estimates of baseline and post-stress capital measures (see Principle 4) to the capital goals established in the capital policy for purposes of informing capital decisions. • For capital decisions, consideration should be given to any information that may have material bearing on the regulated entity's capital adequacy assessment, including all relevant risks and strategic factors, key uncertainties, and limitations of the stress test. • Assessments of capital adequacy and decisions about capital should be supported by high-quality data and information, informed by current and relevant analysis, and subject to challenge 10 I -, VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00036 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ;" g c ER26DE13.033</GPH> factors, as well as key uncertainties and process limitations. Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations by senior management and the Board of directors. • Periodically, the regulated entity should conduct a thorough assessment of its capital contingency strategies, including their feasibility under stress, impact, timing, and potential stakeholder reactions. • A regulated entity should administer its capital planning activities and capital decision processes in conformance with its policy framework, documenting and justifying any divergence from policy. Principle 6: The regulated entity has robust internal controls governing capital adequacy process components, including policies and procedures, change control, model validation and independent review, comprehensive documentation, and review by internal audit. • Policies and procedures should ensure a consistent and repeatable process and provide transparency to third parties for their understanding of a regulated entity's stress test processes and practices. Policies and procedures should be comprehensive, relevant to their use in the stress test, periodically updated and approved, and cover the entire stress test and all of its components. • Specific to the stress test, a regulated entity should have internal controls that ensure the integrity of reported results and that all material changes to the stress test and its components are appropriately documented, reviewed, and approved. A regulated entity should have controls to ensure that management information systems are robust enough to support stress tests with sufficient flexibility to run ad hoc analysis as needed. • Expectations for validation and independent review for components of the stress test are consistent with existing supervisory guidance on model risk management. Models should be independently validated or otherwise reviewed in line with model risk management and model governance expectations. • A regulated entity should have clear and comprehensive documentation for all aspects of its stress test, including its risk measurement and management infrastructure, loss- and resourceestimation methodologies, the process for making capital decisions, and efficacy of control and governance functions. • A regulated entity's internal audit should play a strong role in evaluating the stress test and its components. A full review of the capital adequacy process component should be done by audit periodically to ensure that as a whole the 111~'zlgc VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00037 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.034</GPH> sroberts on DSK5SPTVN1PROD with RULES • The internal control framework should encompass the entire stress test, including the risk measurement and management systems used to produce input data, the models and other techniques used to estimate loss and resource estimates, the process for making capital adequacy decisions, and the aggregation and reporting framework used to produce management and board reporting. The set of control functions in place should provide confirmation that all aspects of the stress test are functioning as intended. 78201 78202 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations stress test is functioning as expected and in accordance with the regulated entity's policies and procedures. Internal audit should review the manner in which stress test deficiencies are identified, tracked, and remediated. Principle 7: The regulated entity has effective board and senior management oversight of the stress test, including periodic review of the regulated entity's risk infrastructure and loss and resource estimation methodologies; evaluation of capital goals, assessment of the appropriateness of stressful scenarios considered, regular review of any limitations and uncertainties in all aspects of the stress test, and approval of capital decisions. • The Board of directors should make informed decisions on capital adequacy for its regulated entity by receiving sufficient information detailing the risks the regulated entity faces, its exposures and activities, and the impact that loss and resource estimates may have on its capital position. • Senior management should ensure that all weaknesses in the stress test are identified, as well as key assumptions, limitations, and uncertainties, and evaluate them for materiality (both individually and collectively). Senior management also should have remediation plans for any weaknesses affecting stress test reliability or results. • Using appropriate information, senior management should make informed recommendations to the Board of directors about the regulated entity's capital, including capital goals and distribution decisions. Senior management should include supporting information to highlight key assumptions, limitations, and uncertainties in the stress test that may affect capital decisions. • The information the board of directors reviews should include a representation of key limitations, assumptions, and uncertainties within the stress test, enabling the board to have the perspective • A regulated entity should appropriately document the key decisions about capital adequacy - including capital actions - made by the Board of directors and senior management, and describe the information used to make those decisions. 121 VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00038 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ~, ;" g c ER26DE13.035</GPH> • Information provided to the board about capital adequacy should be framed against the capital goals established by the regulated entity and by obligations to external stakeholders, and consider capital adequacy for the regulated entity with respect to the current circumstances as well as on a pro forma, post-stress basis. sroberts on DSK5SPTVN1PROD with RULES to effectively understand and challenge reported results. The board should take action when weaknesses in the stress test are identified, giving full consideration to the impact of those weaknesses in their capital decisions. Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 78203 Attachment 1: FHFA DFA Reporting Schedules (Non-Public) Scenario Schedule Cover Sheet Each regulated entity is expected to provide input data for all the tabs in this spreadsheet. Institution Name:L...1_ _ _ _ _ _ _ _ _ _ _ _ _---1 Date of Data Submission:L...1_ _ _ _ _ _ _ _ _ _ _ _ _---1 Institution Contact Name: 1 _ _ _ _ _ _ _ _ _ _ _ _ _----' .... Institution Contact Phone Number:L...1_ _ _ _ _ _ _ _ _ _ _ _ _---1 VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00039 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.036</GPH> sroberts on DSK5SPTVN1PROD with RULES Institution Contact Email Address:L...1_ _ _ _ _ _ _ _ _ _ _ _ _---1 78204 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Supplied Scenario Variables (Please indicate which scenarios were used in your model by checking the appropriate box:) Domestic Variables International Variables D Real GOP Growth D Norrinal GDP Growth D Real Disposable Incorre Growth D Euro Area Real GDP Growth D Euro Area Inflation D Euro Area Bilateral Dollar Exchange Rate ($/euro) D Norrinal Disposable Incorre Growth D Unerrployrrent Rate D CPI Inflation Rate D 3-rronth Treasury Yield D 5-year Treasury Yield D lO-year Treasury Yield D BBB Corporate Yield D Mortgage Rate D Prirre Rate D Dow Jones Total Stock Market Index D House Price Index D Cornrrercial Real Estate Price Index D Ma rket Volatility Index (VIX) D Developing Asia Real GDP Growth D Developing Asia Inflation D Developing Asia Bilateral Dollar Exchange Rate (F/UDS, indes, base = 2000,Ql) D Japan Real GDP Growth D Japan Inflation D Japan Bilateral Dollar Exchange Rate (yen/USD) D U. K. Real GDP Growth D U. K. Inflation D U. K. Bilaeral Dollar Exchange Rate (USD/pound) Private Label Securities (PL5) or Non-Agency Prices for D Residential Mortgage-backed Securities (RMBS), Assetbased Securities (ABS), Cornrrercial Mortgage-backed Securities (CMBS) and other collateral* D Agency Securities Option-Adjusted Spreads (OAS)* D Municipal Securities* D Counterparty DefaLJt Risk** *Note:These are mandatoryvariables required by the Orderforall Regulated Entities "Note: This is a mandatory variable required by the Orderforthe Enterprises For variables not used, please provide a brief explanation below as to why it was not used: Variable Name Explanation VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00040 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.037</GPH> sroberts on DSK5SPTVN1PROD with RULES 1 2 3 4 5 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 78205 Scenario Variables Beyond Those Supplied Baseline Scenario (additional variables used beyond those supplied) Variable Name Variable Definition 1 2 3 4 5 Adverse Scenario (additional variables used beyond those supplied) Variable Name Variable Definition 1 2 3 4 5 Severely Adverse Scenario (additional variables used beyond those supplied) Variable Name Variable Definition 1 15 I P a 8 c.: VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00041 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.038</GPH> sroberts on DSK5SPTVN1PROD with RULES 2 3 4 5 78206 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Baseline Spread Assumptions Spread to Benchmark Projected Actual Icategory I Benchmark Example: Advance 3-Month UBOR I 3Q 2013 I 10.0 Q1 Q2 10.0 Q3 10.0 I 10.0 Q4 I Q5 15.0 I Q7 Q6 15.0 15.0 Q9 Q8 15.0 15.0 15.0 Variables Used Beyond Those Supplied Actual 3Q2013 Variable Name Projected Q1 Q2 Q3 Q4 I Q5 I Q7 Q6 Q9 Q8 Forward Curve Actual 3Q2013 Maturity 3-Month Treasury Projected Q1 Q2 0.1 Q3 Q7 Q6 0.1 0.1 0.1 Q9 Q8 0.2 0.4 0.6 0.8 1.1 2.4 3.4 2.6 3.5 2.7 3.7 2.8 3.8 6-Month 1 year 2 year 5 year Treasury 1.8 2 2.1 2.2 2.3 10 year Treasury 15 year 2.8 2.9 3 3.1 3.3 30year House Price Index (NOTE: For printing purposes dates only goes to Jul-14. However, the underlying excel spreadsheet collects 30 years a/data.) Actual Region 3Q2013 Projected Oct-13 I Nov-13 I Dec-13 I Jan-14 I Feb-14 I Mar-14I Apr-14 I May-14I Jun-14 I Jul-14 I 161 VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00042 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ~. ,I ER26DE13.039</GPH> sroberts on DSK5SPTVN1PROD with RULES Region 1 Region 2 78207 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Adverse Spread Assumptions Spread to Benchmark Actual Icategory IBenchmark Example: Advance 3-Month UBOR Projected 1 3Q2013 1 10.0 Q1 Q3 Q2 10.0 10.0 Q4 10.0 1 Q5 15.0 1 Q6 15.0 15.0 Q7 Q8 15.0 Q9 15.0 15.0 Variables Used Beyond Those Supplied Actual 3Q2013 Variable Name Q1 Q2 Q3 Q7 Q8 Q7 0.1 Q9 Q8 Forward Curve Actual Maturity 3-Month Treasury 6-Month 1 year 2year 5 year Treasury 10 year Treasury 15year 30year 3Q2013 Q1 0.1 Q2 0.1 2.7 3.5 3.3 4.2 Q3 0.1 0.1 0.1 0.1 3.9 4.5 5.7 4.6 5.8 4.5 5.7 5 4.4 5.5 Q9 0.1 0.1 4.2 5.3 5.1 4 House Price Index (NOTE: For printing purposes dates only goes to Jul-14. However, the underlying excel spreadsheet collects 30 years of data.) Actual Region 3Q2013 Projected 1 Oct-13 1 Nov-13 1 Dec-13 1 Jan-14 1 Feb-141 Mar-141 Apr-141 May-141 Jun-141 Jul-14 1 VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00043 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.040</GPH> sroberts on DSK5SPTVN1PROD with RULES Region 1 Region 2 78208 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Severely Adverse Spread Assumptions Spread to Benchmark Projected Actual 'Category 'Benchmark Example: Advance 3Q2013 3-Month lIBOR 10.0 Q7 Q2 Q1 10.0 10.0 10.0 15.0 15.0 15.0 Q8 15.0 15.0 Q9 15.0 Variables Used Beyond Those Supplied Actual Variable Name 3Q2013 Projected Q2 Q1 Q7 Q8 Q9 Q7 Q3 Q8 Q9 Forward Curve Actual Maturity 3-Month Treasury 3Q2013 Projected Q2 Q1 Q6 Q3 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.1 0.8 1 0.6 1 0.6 0.6 1.1 0.6 0.6 0.6 0.6 1.3 1.3 1.4 1.5 0.6 1.6 6-Month 1year 2year 5 year Treasury 10 year Treasury 1.1 15year 30year House Price Index (NOTE: For printing purposes dates only go to Jul·14. However, the underlying """e/ spreadsheet collects 30 years o/data.) Actual Region 3Q2013 Projected Oct-13 , Nov-13 , Oec-13 , Jan-14 , Feb-14, Mar-14 , Apr-14 , May-14, Jun-14 , Jul-14 , 181 p" g e VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00044 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.041</GPH> sroberts on DSK5SPTVN1PROD with RULES Region 1 Region 2 78209 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations FHLBank Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) Most Recent Ouarter Income Statement (BASE) 2 3 4 5 6 7 8 9 10 11 01 02 03 04 05 06 07 08 09 Interest Income: Advances Whole loans held for portfolio Investment Securities Fed Funds Other Interest Income Total Interest Income Interest Expense: CO Bonds Discount Notes Member Deposits Other I nterest Expense Total Interest Expense ~.~;~iMj~t¥k;;~~~:~~'M#J~~i~1t~~~~~t~8l{~~{~~~~~~~~~\~1~~~~t:~~7i~~~~ 13 Provision (reversal) for credit losses on mortgage loans : ~~Mli!i~~~'~~~~~~~~-f~J;i,~;l{~~ti~ifi~~~~j¥~t8Kii;~~fiFk~~'if~~~~ 15 16 17 18 19 ! Derivatives gains (losses) Gains (losses) on securities Total net gain (loss) on changes in fair value Total OTTI credit charge Other gains (losses) 191 P age VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00045 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.042</GPH> sroberts on DSK5SPTVN1PROD with RULES 20 Operating expenses 21 Other expenses 78210 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations FHLBank Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) Most Recent Quarter Balance Sheet (BASE) Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 ASSETS 1 Advances 2 Investment Securities 3 Mortgage Loans 4 Allowance for loan losses 5 Fed Funds 6 Other assets LIABILITIES 8 CO bonds 9 Discount notes 10 Member deposits 11 Other liabilities _~~*~k'tlil'lWf~".~~JL..!~~~~lI~«''''1.rI CAPITAL 13 Class B capital stock 14 Class A capital stock 15 Capital stock pre-conversion 16 Retained eamings (unrestricted) 17 Retained earnings (restricted) 18 Accumulated other comprehensive income (loss) VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00046 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.043</GPH> sroberts on DSK5SPTVN1PROD with RULES _~a:~~l\f~~l~Wjl_~V~It~~.~ W~~~ ... Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 78211 FHLBank Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) Most Recent Quarter Capital Roll Forward (BASE) 6 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 CAPITAL Beginning Capital Net Income Less: Dividends Other Capital Actions Change in AOCI Other 8 Q1 Regulator Capital 2 3 4 5 Capital Ratios Regulatory Capital Leverage Capital Permanent Capital VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00047 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.044</GPH> sroberts on DSK5SPTVN1PROD with RULES 9 10 11 78212 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations FHLBank Dodd·Frank Stress Test Template (Disclosure to FHFA ONLY) Most Recent Quarter Credit (BASE) Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8 221 g Q9 CREDIT EXPENSES Provision for credit losses PLS CREDIT QUALITY Principal Principal wriledown Balance Credit support COUNTERPARTY CREDIT Unsecured credit Unsecured derivative counterparty exposure Payment from private mortgage insurers VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00048 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 G ER26DE13.045</GPH> 6 7 8 sroberts on DSK5SPTVN1PROD with RULES 2 3 4 5 78213 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations FHLBank Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) Most Recent Ouarter Income Statement (ADVERSE) 1 2 3 4 5 6 7 8 9 10 11 01 02 03 04 05 06 07 08 09 Interest Income: Advances Whole loans held for portfolio Investment Securities Fed Funds Other I nterest Income Total Interest Income Interest Expense: CO Bonds Discount Notes Member Deposits Other Interest Expense Total Interest Expense 13 Provision (reversal) for credit losses on mortgage loans 15 16 17 18 19 Derivatives gains (losses) Gains (losses) on securities Total net gain (loss) on changes in fair value Total OTTI credit charge Other gains (losses) 231 P age VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00049 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.046</GPH> sroberts on DSK5SPTVN1PROD with RULES 20 Operating expenses 21 Other expenses 78214 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations FHLBank Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) Most Recent Quarter Balance Sheet (ADVERSE) ASSETS 1 Advances 2 I nvestment Securities 3 Mortgage Loans 4 Allowance for loan losses 5 Fed Funds 6 Other assets Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 ; ~~a~~fj~~~~~i'~~~1:~~~~4~§.f~~~~'"'Y.<~,wg~~!~~4;~ul~l:~~1~~~r_.{~1:1~Ji:~'Wi\ ~~~~~~R\¥Wlt~·\~}~.... "c:.\tt1'{~~~~~•. ,.~~~~~~~~~~(&~~'"~'t~~~~.~~ .~~V~ .....~j& .. ~.~'~:v;..~1fffl..<:!I. s§•..• I i LIABILITIES 8 CO bonds 9 Discount notes 10 Member deposits 11 Other liabilities ! I i ! ! t I 241 P age VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00050 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.047</GPH> sroberts on DSK5SPTVN1PROD with RULES CAPITAL 13 Class B capital stock 14 Class A capital stock 15 Capital stock pre-conversion 16 Retained eamings (unrestricted) 17 Retained earnings (restricted) 18 Accumulated other com rehensive income loss Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 78215 FHLBank Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) Capital Roll Forward (ADVERSE) 2 3 4 5 6 Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 CAPITAL Beginning Capital Net Income Less: Dividends Other Capital Actions Change in AOCI Other 8 Most Recent Quarter Regulator Capital Capital Ratios Regulatory Capital Leverage Capital Permanent Capital 251 P z. g e VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00051 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.048</GPH> sroberts on DSK5SPTVN1PROD with RULES 9 10 11 78216 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations FHLBank Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) Most Recent Quarter Credit (ADVERSE) Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 CREDIT EXPENSES Provision for credit losses PLS CREDIT QUALITY 2 Principal 3 Principal writedown 4 Balance 5 Credit support COUNTERPARTY CREDIT Unsecured credit Unsecured derivative counterparty exposure Payment from private mortgage insurers 261 P VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00052 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 e ER26DE13.049</GPH> sroberts on DSK5SPTVN1PROD with RULES 6 7 8 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 78217 FHLBank Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) Global Market Shock (Adverse) Q1 Loss 271 P VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00053 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 g ER26DE13.050</GPH> sroberts on DSK5SPTVN1PROD with RULES Private Label Securities (PLS) or Non-Agency Prices for Residential Mortgage1 backed Securities (RMSS), Asset-based Securities (ASS), Commercial Mortgagebacked Securities (CMSS) and other collateral 2 Agency Securities Option-Adjust Spread 3 Municipal Securities 78218 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Investment Securities and Other Fair Value Assets Securitized Products (Advers.e) ('"Credit ri!ting.~ !ihOI~ld be i!.~ FHLBank Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) of SeptembE?r ~O, 2013) MV'($MMl AAATotal Pre 2006 2006 2007 Post 2007 Unspecified Vintage AATotal Pre 2006 2006 2007 Unspecified Vintage A To,"1 Pre 2006 2006 Post 2007 Unspec;lfled Vintage BBBTetal Pre 2006 2006 2007 Post 2007 Unspec;lfied Vintage BBTetal Pre 2006 2006 Unspecified Vintage BTetal Pre 2006 2006 Post 2007 Unspecified Vintage <BTotal Pre 2006 2006 2007 Post 2007 UnspC.'!cified Vintage NATotal Pre 2006 2006 Unspecified Vintage O'oft,/Lo" ($MMl AAATotal Pre 2006 2006 2007 UnspE!cifledVintage AATotal Pre 2006 2006 Post 2007 Unspecified Vintage A Total Pre 2006 2006 2007 Post 2007 Unspecified Vintage " ,~ BBBTotal Pre 2006 2006 2007 Unspecified VintagE! BBTotal Pre 2006 2006 2007 Post 2007 Unspecified Vintage "'.'; ., "I' BTetal Pre 2006 2006 2007 Unspec,f,ed Vintage <BTotal Pre 2006 Unspecif,ed Vintage NATotal PrE" 2006 281 VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00054 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.051</GPH> sroberts on DSK5SPTVN1PROD with RULES Unspecified Vintage Tdtal Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Investment Securities and Other fair Value Assets Securitized Products (Adverse) 1~C.redltratlngsshouldbecsofSeptembc:r30, 78219 FHLBank Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) 2013) " ·"'.Wai'ehbuse \,. ',' \"ttO~'1 \, "<,~~~~,/.., ";T;f·I',S\\I,~<"~~~ctl~/ Vn~:'~i;ifi'.~ ,.' Pre 2006 '005 2007 Post 2007 Unspc:cltledVlntalie Pre 2006 '005 "'" 29 p 1 VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00055 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.052</GPH> sroberts on DSK5SPTVN1PROD with RULES Post 2007 Unspc:dfiedVintagC!! 78220 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Trading and Other Fair Value Assets Schedule FHLBank Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) Agencies (Adverse) US Residential Agency Products lOs POs Other CMOs Pass-Throughs Agency Debt/Debentures lOS Index POS Index MBX Index Other Agency Derivatives TBA's Reverse Mortgages Residential Other / Unspecified T6tai>,,::, £'8,;,,:\',;;,' ,,:, >:, t~~;' ~; ~iJB"R£'~ , US Commercial Agencv Products Cash Agency CMBS Agency CMBS Derivatives Commercial Other / Unspecified IT<!'tat>: ;:,;:;\:,'::: ",' Non-US "i", " ~q/, ' ,' " ~en~Products AAA AA A BBB BB B 2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00056 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ::1 g ER26DE13.053</GPH> sroberts on DSK5SPTVN1PROD with RULES NR Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Trading and Other Fair Value Assets Munis (Adverse) 78221 FHLBank Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) AAA AA A AA A BBB BB B BBB BB B AAA AA A BBB BB 31 lPagc VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00057 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.054</GPH> sroberts on DSK5SPTVN1PROD with RULES B 78222 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations FHLBank Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) Most Recent Ouarter Income Statement (SEVERE) 1 2 3 4 5 6 7 8 9 10 11 02 03 04 05 06 07 08 09 Interest Income: Advances Whole loans held for portfolio Investment Securities Fed Funds Other Interest Income Total Interest Income Interest Expense: CO Bonds Discount Notes Member Deposits Other Interest Expense Total Interest Expense I 13 Provision (reversal) for credit losses on mortgage loans 15 16 17 18 19 01 Derivatives gains (losses) Gains (losses) on securities Total net gain (loss) on changes in fair value Total OTTI credit charge Other gains (losses) 20 Operating expenses 21 Other expenses VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00058 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.055</GPH> sroberts on DSK5SPTVN1PROD with RULES 321 P age 78223 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations FHLBank Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) Balance Sheet (SEVERE) Most Recent Quarter Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 ASSETS 1 Advances 2 Investment Securities 3 Mortgage Loans 4 Allowance for loan losses 5 Fed Funds 6 Other assets LIABILITIES 8 CO bonds 9 Discount notes 10 Member deposits 11 Other liabilities 331 P a VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00059 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 " ER26DE13.056</GPH> sroberts on DSK5SPTVN1PROD with RULES CAPITAL 13 Class B capital stock 14 Class A capital stock 15 Capital stock pre-conversion 16 Retained earnings (unrestricted) 17 Retained earnings (restricted) 18 Accumulated other 78224 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations FHLBank Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) Most Recent Quarter Capital Roll Forward (SEVERE) Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 CAPITAL 1 Beginning Capital 2 Net Income 3 Less: Dividends 4 Other Capital Actions 5 Change in AOCI 6 Other 8 Regulator Capital Capital Ratios 9 Regulatory Capital 10 Leverage Capital 11 Permanent Capital VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00060 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.057</GPH> sroberts on DSK5SPTVN1PROD with RULES 341 P age Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 78225 FHLBank Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) Most Recent Quarter Credit (SEVERE) Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 CREDIT EXPENSES Provision for credit losses PLS CREDIT QUALITY Principal Principal writedown Balance Credit support 6 7 8 COUNTERPARTY CREDIT Unsecured credit Unsecured derivative counterparty exposure Payment from private mortgage insurers 351 p VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00061 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.058</GPH> sroberts on DSK5SPTVN1PROD with RULES 2 3 4 5 78226 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations FHLBank Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) Q1 Loss Global Market Shock (Severe) Private Label Securities (PLS) or Non-Agency Prices for Residential Mortgage1 backed Securities (RMBS). Asset-based Securities (ABS). Commercial Mortgagebacked Securities (CMBS) and other collateral 2 Agency Securities Option-Adjust Spread 3 Municipal Securities , VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00062 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 -- .;> "-'I. ,> --,-- ~~ i:;"'" ER26DE13.059</GPH> sroberts on DSK5SPTVN1PROD with RULES -- 36 I p Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Investement Securities and Fair Value Trading Assets Securitized Products (Severe) 78227 FHLBank Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) ("Credit ratings should be as of September 30, 2013) Pre 2006 2006 2007 Post 2007 Unspecified Vintage Pre 2006 2006 2007 Unspecified Vintage BBBTotal Pre 2006 2006 Post 2007 Unspecified Vintage BBTotal Pre 2006 2006 2007 Unspecified Vintage BTotal Pre 2006 2006 2007 Post 2007 Unspecified Vlnta,ge Pre 2006 Post 2007 Unspecified Vintage NRTotal Pre 2006 200G 2007 Unspecified Vintage .,0fltlLo," ('MM' IAAATota' Pre 2006 200G POSl2007 Unspecified Vlntase IAATot., Pre 2006 2006 2007 Post 2007 UnspeCified Vintage IATotal Pre 2006 2006 2007 Post 2007 lJnspf'clfled VintageBBBTotal 2006 2007 Post 2007 Unspel:ified Vintage BBTotai Prf' 2006 2006 2007 Post 2007 Unspecified Vintage ':j:' STotal Pre 2006 2006 2007 Post 2007 Unspecified Vintage <BTotal Pre 2006 Unspecified VIntage Pre 2006 2006 2007 371 p VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00063 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.060</GPH> sroberts on DSK5SPTVN1PROD with RULES UnspecIfied Vintage 78228 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Investement Securities and Fair Value Trading Assets Securitized Products (Severe) FHLBank Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) 381 p VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00064 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.061</GPH> sroberts on DSK5SPTVN1PROD with RULES (~CredltratlngsshouldbeasotSeptember30,2013) Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Trading & Other Fair Value Assets Schedule Agencies (Severe) US Residential lOs POs Other CMOs Pass-Throughs 78229 FHLBank Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) Products Agency Debt/Debentures lOS Index POS Index MBX Index Othe rAge ncy Derivatives TBA's Reve rse Mortgages Non-US Products AAA AA A 39 I VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00065 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 t: ER26DE13.062</GPH> sroberts on DSK5SPTVN1PROD with RULES BBB BB B 78230 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Trading and Other Fair Value Assets Munis (Severe) FHLBank Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) AAA AA A AAA AA A BBB BB B 2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00066 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.063</GPH> sroberts on DSK5SPTVN1PROD with RULES AAA AA A 78231 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Enterprise Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) ($8 in billions) Most Recent Quarter Income Statement (BASE) 1 2 3 4 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 Interest income: Securities Mortgage loans Other Total interest income 5 6 7 8 Q1 Interest expense: Short-term debt Long-term debt Other debt/Interest expense Total interest expense 10 Guaranty fees 11 Other income i i 13 (Provision) benefit for credit losses ~~.~~l~_tB'~)i({t?'JB~Bt~~I~~B~~r~~\~J 15 Derivatives gains (losses) 16 Trading gains (losses) 17 Other gains (losses) 18 REO (foreclosed property exp.) 19 SOP 03-3 losses, net 20 Security impairments 21 Administrative expenses 22 Other ex enses 24 Provision (benefit) for federal income taxes 25 Extraordinary gains (losses), net of tax effect VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00067 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.064</GPH> sroberts on DSK5SPTVN1PROD with RULES 411Page 78232 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Enterprise Dodd-Frank Stress Test Template (Disclosure to FHFAONLY) ($5 in billions) Most Recent Quarter Balance Sheet (BASE) Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 ASSETS 1 Cash and cash equivalents 2 I nvestments in securities 3 Available-far-sale, at fair value 4 Trading, at fair value 5 Mortgage loans, excluding loss allowance 6 Allowance for loan losses 7 Deferred tax assets, net of allowance 8 Other assets LIABILITIES 10 Short-term debt 11 Long-term debt 12 Debt of consolidated trusts/PCs 13 Guarantee fee obligation 14 Reserve for guaranty losses 15 Other liabilities ~.~~~K~~Bl~.~~~~'~1Ii~_""\~lJ~~~I~~~Wi~~' 17 Minority interest 421 P age VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00068 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.065</GPH> sroberts on DSK5SPTVN1PROD with RULES CAPITAL 18 Senior preferred stock 19 Preferred stock 20 Common stock 21 Retained earnings (deficit) 22 Accumulated other comprehensive income (loss) 23 Treasury stock 24 Total stockholders' equity (deficit) 78233 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Enterprise Dodd-Frank Stress Test TemplateD (Disclosure to FHFA ONLY) ($5 in billions) Most Recent Quarter Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 Capital Roll Forward (BASE) CAPITAL 431 P age VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00069 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.066</GPH> sroberts on DSK5SPTVN1PROD with RULES 1 Beginning capital 2 Senior preferred Treasury draw (prior period) 3 Net income 4 Less: Dividends 5 Other capital actions Change in AOCI 6 7 Change in non-controlling/minority interest Other 8 78234 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Enterprise Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) ($s in billions) Most Recent Quarter Credit (BASEl Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 CREDIT EXPENSES 1 Credit losses 2 REO (foreclosed property exp.) 3 Net charge-offs 4 Provision for credit losses 5 SOP 03-3 losses, net LOAN LOSS RESERVE 7 Loan loss reserve beginning balance 8 Net charge-offs 9 Provison (benefit) for loan/guaranty losses 10 Other 11 Allowance for accrued interest receivable 12 Allowance for accrued property taxes and insurance ~f~f""~~~~~~1»$.f~.~__ fi:D.~'-1l~]f,~~~~~'f~_.~'f~it~~~ 14 15 16 17 18 19 PAYMENTS FROM PRIVATE MORTGAGE INSURERS MGIC Radian United Genworth PMI Other CREDIT QUALITY 20 21 22 23 24 25 26 27 28 29 30 31 32 33 Defaults (count) REO acquisitions (count) Average seriously delinquent loans (count) Average seriously delinquent rate (%) Aggregate UPB of seriously delinquent loans ($) Loan modifications (count) Special Mention (count) Special Mention ($) Substandard (count) Substandard ($) Doubtful (count) Doubtful ($) Loss (count) Loss ($) VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00070 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.068</GPH> sroberts on DSK5SPTVN1PROD with RULES 441Page 78235 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Enterprise Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) ($5 in billions) Most Recent Quarter Income Statement (ADVERSE) 1 2 3 4 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 Interest income: Securities Mortgage loans Other Total interest income 5 6 7 8 Q1 Interest expense: Short-term debt Long-term debt Other debtll nterest expense Total interest expense 10 Guaranty fees 11 Fee and float income i 13 (Provision) benefit for credit losses i i i _~~JfIiI~l'~~ltt8lf.:_j~~'JJjI~t~lI't~ . . ~ 15 Derivatives gains (losses) 16 Trading gains (losses) 17 Other gains (losses) 18 REO (foreclosed property exp.) 19 SOP 03-3 losses, net 20 Security impairments 21 Administrative expenses 22 Other expenses 24 Provision (benefit) for federal income taxes 25 Extraordinary gains (losses), net of tax effect 451 P age VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00071 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.067</GPH> sroberts on DSK5SPTVN1PROD with RULES >;i."" 78236 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Enterprise Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) ($5 in billions) Most Recent Quarter Balance Sheet (ADVERSE) Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 ASSETS 1 Cash and cash equivalents 2 Investments in securities 3 Available-for-sale, at fair value 4 Trading, atfair value 5 Mortgage loans, excluding loss allowance 6 Allowance for loan losses 7 Deferred tax assets, net of allowance 8 Other assets LIABILITIES 10 Short-term debt 11 Long-term debt 12 Debt of consolidated trusts/PCs 13 Guarantee fee obligation 14 Reserve for guaranty losses 15 Other liabilities 17 Minority interest VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00072 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.069</GPH> sroberts on DSK5SPTVN1PROD with RULES CAPITAL 18 Senior preferred stock 19 Preferred stock 20 Common stock 21 Retained earnings (deficit) 22 Accumulated other comprehensive income (loss) 23 Treasury stock 24 Total stockholders' equity (deficit) 78237 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Enterprise Dodd-Frank Stress Test TemplateD (Disclosure to FHFA ONLY) ($5 in billions) Most Recent Quarter Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 Capital Roll Forward (ADVERSE) CAPITAL 1 Beginning capital 2 Senior preferred Treasury draw (prior period) 3 Net income 4 Less: Dividends 5 Other capital actions 6 Change in AOCI 7 Change in non-controlling/minority interest 8 Other VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00073 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.070</GPH> sroberts on DSK5SPTVN1PROD with RULES 471 P age 78238 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Enterprise Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) ($9 in billions) Most Recent Quarter Credit (ADVERSE) Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 CREDIT EXPENSES 1 Credit losses 2 REO (foreclosed property exp.) 3 Net charge-offs 4 Provision for credit losses 5 SOP 03-3 losses, net :";. LOAN LOSS RESERVE 7 Loan loss reserve beginning balance 8 Net charge-offs 9 Provison (benefit) for loan/guaranty losses 10 Other 11 Allowance for accrued interest receivable 12 Allowance for accrued property taxes and insurance PAYMENTS FROM PRIVATE MORTGAGE INSURERS 14 15 16 17 18 19 MGIC Radian United Genworth PMI Other CREDIT QUALITY 20 21 22 23 24 25 26 27 28 29 30 31 32 33 Defaults (count) REO acquisitions (count) Average seriously delinquent loans (count) Average seriously delinquent rate (%) Aggregate UPB of seriously delinquent loans ($) Loan modifications (count) SpeCial Mention (count) Special Mention ($) Substandard (count) Substandard ($) Doubtful (count) Doubtful ($) Loss (count) Loss ($) VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00074 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.071</GPH> sroberts on DSK5SPTVN1PROD with RULES 481 P age Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 78239 Enterprise Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) Global Market Shock (Adverse) Q1 Loss Private Label Securities (PLS) or Non-Agency Prices for Residential Mortgage1 backed Securities (RMBS), Asset-based Securities (ABS), Commercial Mortgagebacked Securities (CMBS) and other collateral 2 Agency Securities Option-Adjust Spread 3 Municipal Securities 4 Counterparty Default Risk* * Please provide the name and type (eg: derivatives, repo, etc.) of the largest counterparty below: Counterparty Type 491 P age VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00075 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.072</GPH> sroberts on DSK5SPTVN1PROD with RULES Counterparty Name 78240 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Investment Securities and Other Fair Value Assets Securitized Products (Adverse) Enterprise Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) ("'Credit ratings should be as of September 30,2013) MV· ($MMi A::~~~~ 2006 2007 Unspecified Vintage AATotal Pr~ 2006 2006 2007 Unspecified VintaS8 "," A Total Pre 2006 2006 2007 Po.<;t 2007 Unspecified Vintilge BBBTo•• 1 Pre 200G 2006 2007 Post 2007 Unspecified Vintage BBTo.al Pre 2006 2006 2007 Unspecified Vintage B;~et~loo6 2006 2007 Post 2007 Unsp@clfiedVintase <BTotal Pre 2006 2006 2007 Post 2007 Unspecified Vintage NRTotal Pre 2006 2006 Post 2007 Unspecified Vintage P,oflt/Loss ($MM) AAATo•• 1 Pre 2006 2006 2007 Po.<;t 2007 Un~pecified Vlntilge AATotal Pre 2006 2006 2007 Post 2007 Un!>peclfled Vintage , A Total Pre 2006 2006 ,\,', Unspecified VlntaPle BBB To•• 1 . I'. Pre 2006 2006 2007 Post 2007 Unspecified Vintage Post 2007 Unspecified Vintage n,I·, BTo.al Pre 2006 2006 Unspecified VintagE" <~~;~~6 Unspecified Vintage NRTotal Pre 2006 2006 50 I F a VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00076 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.073</GPH> sroberts on DSK5SPTVN1PROD with RULES Unspecified Vintage 78241 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Investment Securities and Other Fair Value Assets Securitized Products (Adverse) Enterprise Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) ("Creciitratlngsshouldbe asofSeptember3Q,2013) enh ." I~;~~'> ,'~M8S\' th~ex <MSS' .':',::;~'~:1~ , "1ranctlef'" ,(di ,,':' ('ot)', 'W~o'e': iIcI~n5 ',' " ',dtt,'er',.,;, ."~~,r/.::',, iJnspedf/@d , Onspetltl '1 .. ',1 "", ?r!i'2006 2006 2007 Post 2007 lJn~pE!dflfld Vlntagfl Pre 2005 2006 2007 Post 2007 Unspe~ified Vintage Total Pre 2005 2006 Post 2007 Unspecified Vintage Pre 2006 200' 2007 Unspecified Vintage Total Pre 2005 2007 51 I P VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00077 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.074</GPH> sroberts on DSK5SPTVN1PROD with RULES UnspeClfieoVintage 78242 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Trading and Other Fair Value Assets Schedule Agencies (Adverse) Enterprises Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) US Residential A 105 POS Other CMOs Pass-Throughs Agency Debt/Debentures 105 Index POSlndex MBXlndex Other Agency Derivatives TBA's Reverse Mortgages Residential Other I Unspecified US Commercial A2enCY Products Non-US A enc AAA AA A BBB BB B Products 2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00078 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.075</GPH> sroberts on DSK5SPTVN1PROD with RULES NR Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Trading and Other Fair Value Assets Munis (Adverse) 78243 Enterprises Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) Loans AAA AA AA A A BBB BB B B 531 P g VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00079 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.076</GPH> sroberts on DSK5SPTVN1PROD with RULES BBB BB 78244 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Enterprise Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) ($5 in billions) Most Recent Quarter Income Statement (SEVERE) 1 2 3 4 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 Interest income: Securities Mortgage loans Other Total interest income 5 6 7 8 Q1 Interest expense: Short-term debt Long-term debt Other debt/Interest expense Total interest expense 10 Guaranty fees 11 Other income 15 Derivatives gains (losses) 16 Trading gains (losses) 17 Other gains (losses) 18 REO (foreclosed property exp.) 19 SOP 03-3 losses, net 20 Security impairments 21 Administrative expenses 22 Other expenses ! 24 Provision (benefit) for federal income taxes 25 Extraordinary gains (losses), net of tax effect I I I i .~I1"~n~~~._il.~~~_~Jl~l~iIi~~lr.~l1.~~~ VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00080 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.077</GPH> sroberts on DSK5SPTVN1PROD with RULES 541 P age 78245 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Enterprise Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) ($s in billions) Most Recent Quarter Balance Sheet (SEVERE) Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 ASSETS 1 Cash and cash equivalents 2 Investments in securities 3 Available-far-sale, at fair value 4 Trading, atfair value 5 Mortgage loans, excluding loss allowance 6 Allowance for loan losses 7 Deferred tax assets, net of allowance 8 Other assets ~.A.~'~~~jk~~~.\lI.~llI~ri'tt.\gJ.£fL".Jf~~~~ LIABILITIES 10 Short-term debt 11 Long-term debt 12 Debt of consolidated trusts/PCs 13 Guarantee fee obligation 14 Reserve for guaranty losses 15 Other liabilities r o • 17 Minority interest CAPITAL 18 Senior preferred stock 19 Preferred stock 20 Common stock 21 Retained earnings (deficit) 22 Accumulated other comprehensive income (loss) 23 Treasury stock 24 Total stockholders' equity (deficit) VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00081 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.078</GPH> sroberts on DSK5SPTVN1PROD with RULES 551 P age 78246 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Enterprise Dodd-Frank Stress Test TemplateD (Disclosure to FHFA ONLY) ($5 in billions) Most Recent Quarter Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 Capital Roll Forward (SEVERE) CAPITAL 1 Beginning capital 2 Senior preferred Treasury draw (prior period) 3 Net income 4 Less: Dividends 5 Other capital actions 6 Change in AOCI 7 Change in non-controlling/minority interest 8 Other VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00082 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.079</GPH> sroberts on DSK5SPTVN1PROD with RULES 561 P age 78247 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Enterprise Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) ($s in billions) I i Most i Recent! Quarter! Q1 Credit (SEVERE) Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 CREDIT EXPENSES 1 Credit losses REO (foreclosed property exp.) 2 3 Net charge-offs 4 Provision for credit losses 5 SOP 03-3 losses, net ~_~~~~~~("i-~L~~~~A~l"~.~~lli~~~~~~.~If~l115t~ll~ LOAN LOSS RESERVE 7 8 9 10 11 12 Loan loss reserve beginning balance Net charge-offs Provison (benefit) for loan/guaranty losses Other Allowance for accrued interest receivable Allowance for accrued prope taxes and insurance PAYMENTS FROM PRIVATE MORTGAGE INSURERS 14 15 16 17 18 19 MGIC Radian United Genworth PMI Other CREDIT QUALITY 20 21 22 23 24 25 26 27 28 29 30 31 32 33 Defaults (count) REO acquisitions (count) Average seriously delinquent loans (count) Average seriously delinquent rate (%) Aggregate UPB of seriously delinquent loans ($) Loan modifications (count) Special Mention (count) Special Mention ($) Substandard (count) Substandard ($) Doubtful (count) Doubtful ($) Loss (count) Loss ($) VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00083 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.080</GPH> sroberts on DSK5SPTVN1PROD with RULES 571 P:l g e 78248 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Enterprise Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) Global Market Shock (Severe) Q1 Loss Private Label Securities (PLS) or Non-Agency Prices for Residential Mortgage1 backed Securities (RMBS), Asset-based Securities (ABS), Commercial Mortgagebacked Securities (CMBS) and other collateral 2 Agency Securities Option-Adjust Spread 3 Municipal Securities 4 Counterparty Default Risk* * Please provide the name and type (eg: derivatives, repo, etc.) of the largest counterparty below: Counterparty Name Counterpa rty Type VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00084 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.081</GPH> sroberts on DSK5SPTVN1PROD with RULES 581 P age Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Investernent Securities and Fair Value Trading Assets 78249 Enterprises Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) Securitized Products (Severe) ("'Credit ratlnBs should be as of September 30,2013) 2007 Post2(XJ7 Unspecified VlntaBe Pre 2006 2006 Post20CT1 Unspecified Vintage P~2006 2006 Post2Oa1 Unspecified Vintage 591 P age VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00085 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.082</GPH> sroberts on DSK5SPTVN1PROD with RULES Unspecified Vint:ag(! 78250 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Investement Securities and fair value Trading Assets Securitized Produc1:!; (Severe) Enterprises Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) ('"Credit ratinp should be as of September 30, 2013) Pre"'" 2006 Post2fXI1 Unspedfled Vintage Pre"'" 2006 PO$t2007 lJnspedfledVlntage Pre"'" """ P"'- Unspedfled Vintage 60lPage VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00086 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.083</GPH> sroberts on DSK5SPTVN1PROD with RULES l/flspecifiedVin"tage Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Trading & Other Fair Value Assets Schedule 78251 Enterprises Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) Agencies (Severe) US Residential Agency Products las pas Other CMOs Pass-Throughs Agency Debt/Debentures lOS Index pas Index MBX Index Other Agency Derivatives TBA's Reve rse Mortgages Residential Other / Unspecified t~t<·... :;,:,i,r,(;;i4¥L:" ... '::;·>~;~Y~'<'~~"~' .~. US Commercial Agency Products T I Cash Agency CMBS Agency CMBS Derivatives Commercial Other / Unspecified tQtid:;;:~:':~;>«·;/)W,~~<>iU;;::::·.'·:;;,">k'>':"·\ , Non-US Agency Products AAA AA A BBB BB B 2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00087 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.084</GPH> sroberts on DSK5SPTVN1PROD with RULES r'GtM··;.: ;;'>SS,},!);r.;,'." 78252 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Trading and Other Fair Value Assets Munis (Severe) Enterprises Dodd-Frank Stress Test Template (Disclosure to FHFA ONLY) :'::~~:Jj7~~~~;:Y 5· . ·:;· 5 Il!:ads .:-.: .... ,..;.. : '",',":0; '. <r.: ~. Loans AAA AA A BBB BB B 2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00088 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.085</GPH> sroberts on DSK5SPTVN1PROD with RULES AAA AA Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations 78253 Attachment 2: FHFA DFA Reporting Schedules (Public) FHLBank Dodd-Frank Stress Test Template - SEVERE (Disclosure to the Public) Most Recent Quarter Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 1 Net interest income + other non-interest income 2 Provision (reversal) for credit losses on mortgage loans 3 Net income (loss) before assessments 4 Total capital VerDate Mar<15>2010 16:15 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00089 Fmt 4700 Sfmt 4725 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.086</GPH> sroberts on DSK5SPTVN1PROD with RULES 631 P age 78254 Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Enterprise Dodd-Frank Stress Test Template - SEVERE (Disclosure to the Public) ($s in billions) Most Recent Quarter Q1 Q2 Q3 Q4 Q5 Q6 Q7 Q8 Q9 Total net revenue before provision for credit losses 2 Benefit (Provision) for credit losses 3 Net income before taxes 4 Credit losses ($s) 5 Credit losses (% of average portfolio balance) 6 Ending capital Credit losses are defined as charge-offs, net plus foreclosed property expenses [FR Doc. 2013–30356 Filed 12–24–13; 8:45 am] BILLING CODE 8070–01–C VerDate Mar<15>2010 16:55 Dec 24, 2013 Jkt 232001 PO 00000 Frm 00090 Fmt 4700 Sfmt 4700 E:\FR\FM\26DER1.SGM 26DER1 ER26DE13.087</GPH> sroberts on DSK5SPTVN1PROD with RULES 641Pflge Federal Register / Vol. 78, No. 248 / Thursday, December 26, 2013 / Rules and Regulations Par. 2. Section 1.5000A–0 is amended by revising the entry in the table of contents for § 1.5000A–2 (b)(2)(iii) to read as follows: ■ DEPARTMENT OF THE TREASURY Internal Revenue Service 26 CFR Part 1 § 1.5000A–0 [TD 9632] * RIN 1545–BL36 § 1.5000A Internal Revenue Service (IRS), Treasury. ACTION: Correcting amendment. This document contains corrections to final regulations (TD 9632) that were published in the Federal Register on Friday, August 30, 2013. The final regulations provide guidance to individual taxpayers on the liability under section 5000A of the Internal Revenue Code for the shared responsibility payment for not maintaining minimum essential coverage. SUMMARY: This correction is effective December 26, 2013 and applicable beginning August 30, 2013. DATES: John Lovelace, at (202) 622–4960 (not a toll free number). SUPPLEMENTARY INFORMATION: FOR FURTHER INFORMATION CONTACT: Background The final regulations (TD 9632) that are the subject of this correction is under section 5000A of the Internal Revenue Code. List of Subjects in 26 CFR Part 1 Income taxes, Reporting and recordkeeping requirements. Correction of Publication Accordingly, 26 CFR part 1 is corrected by making the following correcting amendments: sroberts on DSK5SPTVN1PROD with RULES PART 1—INCOME TAXES Paragraph 1. The authority citation for part 1 is amended by correcting the sectional authority for § 1.5000A–4 to read in part as follows: VerDate Mar<15>2010 16:55 Dec 24, 2013 Jkt 232001 * * Minimum essential coverage. * * * * * Par. 3. Section 1.5000A–1 is amended by revising paragraphs (d)(6) and (7) to read as follows: ■ § 1.5000A–1 Maintenance of minimum essential coverage and liability for the shared responsibility payment. * * * * (d) * * * (6) Group health insurance coverage. Group health insurance coverage has the same meaning as in section 2791(b)(4) of the Public Health Service Act (42 U.S.C. 300gg–91(b)(4)). (7) Group health plan. Group health plan has the same meaning as in section 2791(a)(1) of the Public Health Service Act (42 U.S.C. 300gg–91(a)(1)). * * * * * ■ Par. 4. Section 1.5000A–2 is amended by revising paragraphs (b)(1)(iv), (b)(2)(iii), (c)(1)(i)(B), (c)(2), and the last sentence of paragraph (d)(2) to read as follows: (2) Qualified health plan offered by an exchange. * * * If a territory of the United States elects to establish an Exchange under section 1323(a)(1) and (b) of the Affordable Care Act (42 U.S.C. 18043(a)(1), (b)), a qualified health plan offered by that Exchange is a plan in the individual market. * * * * * Par. 5. Section 1.5000A–3 is amended by revising the first sentence of paragraph (e)(4)(ii)(D), the last sentence of paragraph (e)(4)(iii), and the heading of (e)(4)(iii) Example 1 to read as follows: ■ § 1.5000A–3 * Minimum essential coverage. * * * * (b) * * * (1) * * * (iv) TRICARE. Medical coverage under chapter 55 of Title 10, U.S.C., including coverage under the TRICARE program; * * * * * (2) * * * (iii) Limited-benefit TRICARE programs. [Reserved] (c) * * * (1) * * * (i) * * * (B) Any other plan or coverage offered in the small or large group market within a State; or * * * * * (2) Government-sponsored program generally not an eligible employersponsored plan. Except for the program identified in paragraph (b)(1)(vii) of this section, a government-sponsored program described in paragraph (b) of this section is not an eligible employersponsored plan. (d) * * * PO 00000 Frm 00091 Fmt 4700 Sfmt 4700 * Exempt individuals. * * * (e) * * * (4) * * * * * As published, the final regulations (TD 9632), August 30, 2013 (78 FR 53646), contain errors that may prove to be misleading and are in need of clarification. Authority: 26 U.S.C. 7805 * * * Section 1.5000A–3 also issued under 26 U.S.C. 5000A(e)(4). 2 § 1.5000A–2 Need for Correction ■ Table of Contents. * (a) * * * (b) * * * (2) * * * (iii) Limited-benefit TRICARE programs. Shared Responsibility Payment for Not Maintaining Minimum Essential Coverage; Correction AGENCY: * 78255 (ii) * * * (D) * * * For each individual, affordability under paragraph (e)(4) of this section is determined separately for each period described in paragraph (e)(4)(ii)(E) of this section that is less than a 12-month period. * * * (iii) * * * Unless stated otherwise, in each example the taxpayer’s taxable year is a calendar year, the rate of premium growth has not exceeded the rate of income growth since 2013, and the taxpayer is ineligible for any of the exemptions described in paragraphs (a) through (d) and (f) through (j) of this section for a month. Example 1. Unmarried individual with no dependents. * * * * * * * * Par. 6. Section 1.5000A–4 is amended by revising the second sentence of paragraphs (d) Example 1(ii), (d) Example 5(iii), and the third sentence of (d) Example 5(iv) to read as follows: ■ § 1.5000A–4 Computation of shared responsibility payment. * * * * * (d) * * * Example 1. * * * (ii) * * * Under paragraph (b)(2)(i) of this section, G’s flat dollar amount is $695 (the lesser of $695 and $2,085 ($695 × 3)). * * * Example 5. * * * (iii) * * * Under paragraph (b)(2)(i) of this section, the flat dollar amount is $2,085 (the lesser of $2,085 or $2,085 ($695 × 3)). * * * (iv) * * * Therefore, under paragraph (a) of this section, the shared responsibility payment imposed on S E:\FR\FM\26DER1.SGM 26DER1

Agencies

FEDERAL HOUSING FINANCE AGENCY

[Federal Register Volume 78, Number 248 (Thursday, December 26, 2013)]
[Rules and Regulations]
[Pages 78165-78255]
From the Federal Register Online via the Government Printing Office [www.gpo.gov]
[FR Doc No: 2013-30356]


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FEDERAL HOUSING FINANCE AGENCY

12 CFR Part 1238

[No. 2013-N-17]


Orders: Reporting by Regulated Entities of Stress Testing Results 
as of September 30, 2013; Revision and Amendments to Summary 
Instructions and Guidance

AGENCY: Federal Housing Finance Agency.

ACTION: Orders.

-----------------------------------------------------------------------

SUMMARY: In this document, the Federal Housing Finance Agency (FHFA) is 
issuing Orders to further supplement the final rule implementing 
section 165(i)(2) of the Dodd-Frank Wall Street Reform and Consumer 
Protection Act (Dodd-Frank Act), and appeared in the

[[Page 78166]]

Federal Register of September 26, 2013, at 78 FR 59219. FHFA also is 
amending the Summary Instructions and Guidance, which accompanied the 
Orders.

DATES: Each Order is effective November 26, 2013.

FOR FURTHER INFORMATION CONTACT: Naa Awaa Tagoe, Senior Associate 
Director, Office of Financial Analysis, Modeling and Simulations, (202) 
649-3140, naaawaa.tagoe@fhfa.gov; Stefan Szilagyi, Examination Manager, 
FHLBank Modeling, FHLBank Risk Modeling Branch, (202) 649-3515, 
stefan.szilagy@fhfa.gov; or Mark D. Laponsky, Deputy General Counsel, 
Office of General Counsel, (202) 649-3054 (these are not toll-free 
numbers), mark.laponsky@fhfa.gov. The telephone number for the 
Telecommunications Device for the Hearing Impaired is (800) 877-8339.

SUPPLEMENTARY INFORMATION: 

I. Background

    FHFA is responsible for ensuring that the regulated entities 
operate in a safe and sound manner, including the maintenance of 
adequate capital and internal controls, that their operations and 
activities foster liquid, efficient, competitive, and resilient 
national housing finance markets, and that they carry out their public 
policy missions through authorized activities. See 12 U.S.C. 4513. 
These Orders are being issued under 12 U.S.C. 4514(a), which authorizes 
the Director of FHFA to require by Order that the regulated entities 
submit regular or special reports to FHFA and establishes remedies and 
procedures for failing to make reports required by Order. The Orders 
prescribe for the regulated entities the scenarios to be used for 
stress testing. The Summary Instructions and Guidance accompanying each 
Order provides to the regulated entities advice concerning the content 
and format of reports required by the Order and rule.
    These Orders communicate to the regulated entities their reporting 
requirements under the framework established by the final rule, and the 
revised and amended Summary Instructions and Guidance that accompany 
each Order. These Orders also advise the regulated entities of the 
scenarios to be used for the stress testing.

II. Order, Summary Instructions and Guidance

    For the convenience of the affected parties, the text of the Orders 
follows below in its entirety. You may access these Orders from FHFA's 
Web site at https://www.fhfa.gov/Default.aspx?Page=43. The Orders and 
Summary Instructions and Guidance will be available for public 
inspection and copying at the Federal Housing Finance Agency, Eighth 
Floor, 400 Seventh St. SW., Washington, DC 20024. To make an 
appointment, call (202) 649-3804.
    The text of the Orders and the Summary Instructions and Guidance, 
as amended, is as follows:

Federal Housing Finance Agency

Order Nos. 2013-OR-B-2, 2013-OR-FNMA-2, and 2013-OR-FHLMC-2

Reporting by Regulated Entities of Stress Testing Results as of 
September 30, 2013
    Whereas, section 165(i)(2) of the Dodd-Frank Wall Street Reform and 
Consumer Protection Act (``Dodd-Frank Act'') requires certain financial 
companies with total consolidated assets of more than $10 billion, and 
which are regulated by a primary Federal financial regulatory agency, 
to conduct annual stress tests to determine whether the companies have 
the capital necessary to absorb losses as a result of adverse economic 
conditions;
    Whereas, FHFA's rule implementing section 165(i)(2) of the Dodd-
Frank Act is codified as 12 CFR part 1238 and requires that ``[e]ach 
regulated entity must file a report in the manner and form established 
by FHFA.'' 12 CFR 1238.5(b);
    Whereas, The Board of Governors of the Federal Reserve System 
issued stress testing scenarios on November 1, 2013, corrected on 
November 7, 2013, and supplemented on November 14, 2013; and
    Whereas, section 1314 of the Safety and Soundness Act, 12 U.S.C. 
4514(a) authorizes the Director of FHFA to require regulated entities, 
by general or specific order, to submit such reports on their 
management, activities, and operation as the Director considers 
appropriate.
    Now therefore, it is hereby ordered as follows:
    Each regulated entity shall report to FHFA and to the Board of 
Governors of the Federal Reserve System the results of stress testing 
as required by 12 CFR part 1238, in the form and with the content 
described therein and in the Summary Instructions and Guidance 
accompanying this Order and dated November 26, 2013, which replaces, 
amends, and supersedes the Summary Instructions and Guidance issued on 
September 9, 2013, to this Order, and using the scenarios provided in 
Appendices 1 through 10 to this Order.
    This Order is effective immediately.

    Signed at Washington, DC, this 26th day of November, 2013.
Sandra Thompson,
Deputy Director for Housing Mission and Goals By delegation.
    Dated: December 2, 2013.
Edward J. DeMarco,
Acting Director, Federal Housing Finance Agency.
    The Appendices to this order and amended Summary Instructions and 
Guidance are as follows:
BILLING CODE 8070-01-P

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[FR Doc. 2013-30356 Filed 12-24-13; 8:45 am]
BILLING CODE 8070-01-C

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