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September 30, 2014, Fannie Mae had drawn $116.1 billion from the Treasury Department under the terms of the PSPA, with $117.6 billion of remaining funding commitment. Fannie Mae projected that the remaining funding commitment under the PSPA at the end of the Severely Adverse scenario would range between $22.6 billion and $83.4 billion (Figure 13). Freddie Mac – In the Severely Adverse scenario, Freddie Mac projected additional draws from the Treasury Department of between $34.4 billion and $62.3 billion depending on the treatment of deferred tax assets. As of September 30, 2014, Freddie Mac had drawn $71.3 billion from the Treasury Department under the terms of the PSPA, with $140.5 billion of remaining funding commitment. Freddie Mac projected that the remaining funding commitment under the PSPA at the end of the Severely Adverse scenario would range between $78.2 billion and $106.1 billion (Figure 13). Federal Home Loan Banks – All of the FHLBanks maintained compliance with regulatory capital and leverage capital requirements over the nine quarters of the stress test. Though some variables caused negative net income or other reductions in capital under the severely 2015 FANNIE + FREDDIE STRESS RESULTS Figure 13 • Fannie Mae and Freddie Mac Stress Test Results adverse scenarios, these losses were lower than the cushion the FHLBanks held above their capital requirements at the start of the stress test (Figures 13 and 14). Nine FHLBanks projected negative net income in one or more quarters under the Severely Adverse scenario, but only two banks projected cumulative losses over the nine quarters. The losses occurred almost entirely in the first quarter of the projection period and were primarily due to Other Than Temporary Impairment charges on securities. Several FHLBanks projected significant declines in Generally Accepted Accounting Principles (GAAP) capital in the Severely Adverse scenario. Only one FHLBank projected negative GAAP capital during the planning horizon, but regained positive GAAP capital by the end of the nine-quarter period. The declines were mainly a function of declines in the market value of Available-for-Sale (AFS) securities related to the global market shock assumptions. Declines in the value of AFS securities directly reduced GAAP capital but did not flow through net income. The level of decline in values was primarily a function of the size and rating of the FHLBank’s private-label MBS portfolio held as AFS. $250 Fannie Mae Freddie Mac $ Billions $200 $150 $100 $50 $83.4 $34.2 $116.1 $22.6 $94.9 $116.1 Remaining PSPA Funding Commitment Potential Incremental Treasury Draws Cumulative Treasury Draws as of 9/30/14 $106.1 $34.4 $71.3 $78.2 $62.3 $71.3 $0 Without valuation allowance on Deferred Tax Assets With valuation allowance on Deferred Tax Assets Without valuation allowance on Deferred Tax Assets With valuation allowance on Deferred Tax Assets Source: Federal Housing Finance Agency 44 FEDERAL HOUSING FINANCE AGENCY
SUPERVISION AND OVERSIGHT 2015 Regulatory Capital Ratio Figure 14 • FHLBank Regulatory Capital Ratios under the Severely Adverse Scenario a 9.00% 8.00% 7.00% 6.00% 5.00% 4.00% 3.00% 2.00% 1.00% 0.00% Source: Federal Housing Finance Agency ATLANTA BOSTON CHICAGO CINCINNATI DALLAS DES MOINES INDIANAPOLIS NEW YORK PITTSBURGH SAN FRANCISCO SEATTLE TOPEKA Regulatory Capital Ratio Regulatory Limit 2015 Leverage Capital Ratio a Each FHLBank is required to maintain a four percent minimum regulatory capital-to-assets ratio. Capital for regulatory capital adequacy purposes is defined as the sum of each FHLBank’s: (1) permanent capital; (2) amounts paid-in for Class A stock; (3) general loss allowance, if consistent with GAAP and not established for specific assets; (4) other amounts from sources determined by the FHFA as available to absorb losses (including additional capital from merger); and (5) mandatorily redeemable capital stock. Figure 15 • FHLBank Leverage Capital Ratios under the Severely Adverse Scenario b 14.00% 12.00% 10.00% 8.00% 6.00% 4.00% 2.00% 0.00% Source: Federal Housing Finance Agency ATLANTA BOSTON CHICAGO CINCINNATI Leverage Capital Ratio DALLAS DES MOINES INDIANAPOLIS NEW YORK PITTSBURGH SAN FRANCISCO SEATTLE TOPEKA Regulatory Limit b Each FHLBank is required to maintain at all times a leverage capital-to-assets ratio of at least five percent. Leverage capital is defined as the sum of permanent capital weighted 1.5 times and all other capital without a weighting factor. REPORT TO <strong>CONGRESS</strong> • 2015 45
Page 1 and 2: 2015 Report to Congress FEDERAL HOU
Page 3 and 4: Federal Housing Finance Agency 400
Page 5 and 6: T A B L E O F C O N T E N T S F I G
Page 7 and 8: C O N S E R V A T O R S H I P S O F
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Page 27 and 28: SUPERVISION AND OVERSIGHT 2015 Quar
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Page 31 and 32: SUPERVISION AND OVERSIGHT Some FHLB
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Page 37 and 38: SUPERVISION AND OVERSIGHT District
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Page 61 and 62: SUPERVISION AND OVERSIGHT Proposed
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Page 83 and 84: A P P E N D I X : H I S T O R I C A
Page 85 and 86: A P P E N D I X : H I S T O R I C A
Page 87 and 88: Table 1b. Fannie Mae Purchases of M
Page 89 and 90: Table 3. Fannie Mae Earnings A P P
Page 91 and 92: Table 4a. Fannie Mae Total MBS Outs
Page 93 and 94: Table 5a. Fannie Mae Mortgage Asset
Page 95 and 96: End of Period Manufactured Housing
Page 97 and 98: Table 6. Fannie Mae Financial Deriv
Page 99 and 100: Table 8. Fannie Mae Mortgage Asset
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Table 10. Freddie Mac Mortgage Purc
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A P P E N D I X : H I S T O R I C A
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Table 13. Freddie Mac Balance Sheet
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Table 16. Freddie Mac Nonmortgage I
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Table 18. Freddie Mac Capital a A P
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Table 22. Federal Home Loan Banks A
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Table 24. Loan Limits A P P E N D I
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Federal Housing Finance Agency KEY
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