[Federal Register Volume 61, Number 113 (Tuesday, June 11, 1996)]
[Proposed Rules]
[Pages 29592-29621]
From the Federal Register Online via the Government Publishing Office [www.gpo.gov]
[FR Doc No: 96-14496]
[[Page 29591]]
_______________________________________________________________________
Part III
Department of Housing and Urban Development
_______________________________________________________________________
12 CFR Part 1270
Risk-Based Capital; Proposed Rule
Federal Register / Vol. 61, No. 113 / Tuesday, June 11, 1996 /
Proposed Rules
[[Page 29592]]
DEPARTMENT OF HOUSING AND URBAN DEVELOPMENT
12 CFR Part 1270
RIN 2550-AA02
Office of Federal Housing Enterprise Oversight; Risk-Based
Capital
AGENCY: Office of Federal Housing Enterprise Oversight, HUD.
ACTION: Notice of Proposed Rulemaking.
-----------------------------------------------------------------------
SUMMARY: Title XIII of the Housing and Community Development Act of
1992, known as the Federal Housing Enterprises Financial Safety and
Soundness Act of 1992 (1992 Act), requires the Office of Federal
Housing Enterprise Oversight (OFHEO) to develop a risk-based capital
regulation for the Federal National Mortgage Association (Fannie Mae)
and the Federal Home Loan Mortgage Corporation (Freddie Mac)
(collectively, the Enterprises). The regulation will specify a risk-
based capital stress test (stress test) that, when applied to the
Enterprises, determines the amount of capital that an Enterprise must
hold to maintain positive capital throughout a 10-year period of
economic stress. On February 8, 1995, OFHEO published an Advance Notice
of Proposed Rulemaking (ANPR), which solicited public comment on a
variety of issues concerning the development of the risk-based capital
regulation. In light of the complex issues and decisions that OFHEO
must address prior to issuing proposed risk-based capital standards and
the challenge of developing the risk-based capital stress test, OFHEO
has decided to issue the proposed risk-based capital regulation in two
parts.
This first Notice of Proposed Rulemaking (NPR) addresses two key
components of the stress test. The first is OFHEO's proposal of the
procedures for establishing the ``benchmark loss experience,'' which is
the basis for determining the extent of Enterprise credit losses during
the stress test. This NPR describes the methodology and rationale OFHEO
used to identify the proposed benchmark loss experience, responds to
relevant ANPR comments, and describes how the benchmark loss experience
will influence the risk-based capital stress test. In this NPR, OFHEO
also proposes to use its House Price Index (HPI) in the stress test to
estimate changes over time in the values of single-family properties
securing Enterprise mortgages.
A second NPR will: specify the timing and content of risk-based
capital reports to be submitted by the Enterprises; specify all of the
remaining aspects of the risk-based capital stress test; and describe
how the stress test will be used to determine the Enterprises' risk-
based capital requirements.
DATES: Comments regarding this NPR must be received in writing on or
before September 9, 1996.
ADDRESSES: Send written comments to Anne E. Dewey, General Counsel,
Office of General Counsel, Office of Federal Housing Enterprise
Oversight, 1700 G Street, NW., Fourth Floor, Washington, DC 20552.
FOR FURTHER INFORMATION CONTACT: David J. Pearl, Director, Office of
Research, Analysis and Capital Standards; or Gary L. Norton, Deputy
General Counsel, Office of General Counsel, Office of Federal Housing
Enterprise Oversight, 1700 G Street, NW., Fourth Floor, Washington, DC
20552, telephone (202) 414-3800 (not a toll-free number).
SUPPLEMENTARY INFORMATION: The Supplementary Information is organized
according to this table of contents:
Background
Statutory Requirements for Risk-Based Capital
Credit Losses in the Stress Test
Interest Rates in the Stress Test
New Business, Other Activities, and Considerations
Management and Operations Risk
Regulation Development
General Approach
Advance Notice of Proposed Rulemaking
Notice of Proposed Rulemaking
Benchmark Loss Experience
Definitions, Data, and Procedures
1. Definitions
2. Data
3. Procedures
Characterization of the Benchmark Loss Experience Implications
of the Benchmark Loss Experience for the Stress Test Issues,
Alternatives Considered, and Comments Received
1. Data Sources Used to Define the Benchmark Loss Experience
2. Loan and Property Types Included in the Benchmark Analysis
3. Determination of a Single Benchmark State/Origination Year
Combination or a Separate Area and Period for Each Enterprise
4. Role of Severity Data in Identifying the Benchmark Loss
Experience
5. Definition of ``Default Rate''
a. In General
b. Interpretation of ``Years''
c. Definition of ``Defaulted Loans''
6. Definitions of ``Severity Rate'' and ``Losses''
7. Definition of ``Contiguous Areas''
8. Procedures for Accounting for Different LTV Ratios
9. Procedures for Combining Data from Different States and Years
in Computing Default and Severity Rates
10. Procedures for Combining Default and Severity Rates of the
Two Enterprises
11. Number of Origination Years in the Benchmark Loss Experience
House Price Indexes
Introduction
Using An Index to Adjust for Seasoning
Description of the HPI
Issues, Alternatives Considered, and Comments Received
1. Use of the HPI versus the CQHPI and Other Alternatives
2. Geographic Aggregation
3. Bias and Volatility in the HPI
4. Statistical Methodology
Background
Title XIII of the Housing and Community Development Act of 1992,
Pub. L. No. 102-550, known as the Federal Housing Enterprises Financial
Safety and Soundness Act of 1992, established OFHEO. OFHEO is an
independent office within the Department of Housing and Urban
Development (HUD) with responsibility for ensuring that Fannie Mae and
Freddie Mac are adequately capitalized and operating in a safe and
sound manner. Included among the express statutory authorities of the
Director of OFHEO (Director) is the authority to issue regulations
establishing minimum and risk-based capital standards.1
---------------------------------------------------------------------------
\1\ 1992 Act, section 1313(b)(1) (12 U.S.C. 4513(b)(1)).
---------------------------------------------------------------------------
Fannie Mae and Freddie Mac are Government-sponsored enterprises
with important public purposes.2 These include providing liquidity
to the residential mortgage market and increasing the availability of
mortgage credit benefiting low-and moderate-income families and areas
that are underserved by lending institutions. The Enterprises engage in
two principal businesses: Investing in residential mortgages and
guaranteeing residential mortgage securities. The securities they
guarantee and the debt instruments they issue are not backed by the
full faith and credit of the United States.3 However, financial
market participants perceive that the United States Government would
not permit the Enterprises to fail. This perception principally arises
from the public purposes of the Enterprises, their Congressional
charters, their potential direct access to Treasury funds, and the
statutory exemptions of their debt and mortgage-backed securities from
otherwise mandatory investor protection provisions.4
[[Page 29593]]
Furthermore, the insolvency of either of the Enterprises would have
serious consequences for the nation's housing markets and financial
system.
---------------------------------------------------------------------------
\2\ See 1992 Act, sections 1331-38 (12 U.S.C. 4561-67, 4562
note).
\3\ See section 306(h)(2), Federal Home Loan Mortgage
Corporation Act (12 U.S.C. 1455(h)(2)), and section 304(b), Federal
National Mortgage Association Charter Act (12 U.S.C. 1719(b)).
\4\ See, e.g., 12 U.S.C. 24 (seventh) (authorizing unlimited
investment by national banks in obligations of or issued by the
Enterprises); 12 U.S.C. 1455(g), 1719(d), 1723c (exempting
securities from oversight from federal regulators); 15 U.S.C. 77r-
1(a) (preempting state law that would treat Enterprise securities
differently from obligations of the United States for investment
purposes); 15 U.S.C. 77r-1(c) (exempting Enterprise securities from
state blue sky laws).
---------------------------------------------------------------------------
OFHEO was created as the safety and soundness regulator of the
Enterprises to reduce the risk of their failure. OFHEO's principal
responsibilities include conducting examinations and establishing and
enforcing compliance with capital standards. At least quarterly, OFHEO
ascertains the amount of capital maintained by each Enterprise,
computes its capital requirements, and determines its capital
classification.5
---------------------------------------------------------------------------
\5\ Section 1364 of the 1992 Act (12 U.S.C. 4614) requires the
Director of OFHEO to determine the capital classification of each
Enterprise not less than quarterly.
---------------------------------------------------------------------------
Capital provides a cushion to absorb financial losses resulting
from adverse economic conditions and other problems at the Enterprises.
The 1992 Act prescribes that to be classified as adequately
capitalized, an Enterprise must meet both a minimum capital standard
and a risk-based capital standard.
Section 1362 of the 1992 Act prescribes the minimum capital
standard for the Enterprises.6 The minimum capital requirements
are computed from ratios that are applied to the assets and specific
categories of off-balance sheet obligations of the Enterprises. The
minimum capital requirement for an Enterprise represents an amount of
capital needed to provide protection against risk in general. The
minimum capital standard is not designed to address specific credit
risk exposures or exposure to interest rate risk. It does not represent
the amount needed by an Enterprise to operate safely and soundly under
all circumstances.
---------------------------------------------------------------------------
\6\ 12 U.S.C. 4612.
---------------------------------------------------------------------------
OFHEO published a proposed rule regarding minimum capital on June
8, 1995. Until 1 year after the effective date of a final rule on risk-
based capital, an Enterprise need only meet the minimum capital
standard in order to be classified as adequately capitalized.
Statutory Requirements for Risk-Based Capital
In contrast to the minimum capital requirement, the risk-based
capital standard required by the 1992 Act addresses specific risk
exposures. This standard determines the amount of capital necessary for
an Enterprise to withstand adverse credit conditions and large interest
rate movements simultaneously during a 10-year period, plus an
additional amount to cover management and operations risk.7 This
10-year period is referred to as the ``stress period.'' The level of
capital required under this standard for an Enterprise will reflect
that Enterprise's specific risk profile.8 This NPR proposes two
key components of the risk-based capital regulation.
---------------------------------------------------------------------------
\7\ 1992 Act, section 1361 (12 U.S.C. 4611).
\8\ For purposes of the risk-based capital standard, the term
``capital'' means ``total capital'' as defined under section
1303(18) of the 1992 Act (12 U.S.C. 4502(18)) to mean the sum of the
following:
(A) The core capital of the enterprise;
(B) A general allowance for foreclosure losses, which--
(i) shall include an allowance for portfolio mortgage losses, an
allowance for nonreimbursable foreclosure costs on government
claims, and an allowance for liabilities reflected on the balance
sheet for the enterprise for estimated foreclosure losses on
mortgage-backed securities; and
(ii) shall not include any reserves of the enterprise made or
held against specific assets.
(C) Any other amounts from sources of funds available to absorb
losses incurred by the enterprise, that the Director by regulation
determines are appropriate to include in determining total capital.
The term ``core capital'' is defined under section 1303(4) of the
1992 Act (12 U.S.C. 4502(4)) to mean the sum of the following (as
determined in accordance with generally accepted accounting
principles):
(A) The par or stated value of outstanding common stock.
(B) The par or stated value of outstanding perpetual,
noncumulative preferred stock.
(C) Paid-in capital.
(D) Retained earnings.
The core capital of an enterprise shall not include any amounts
that the enterprise could be required to pay, at the option of
investors, to retire capital instruments.
---------------------------------------------------------------------------
Credit Losses in the Stress Test
The 1992 Act requires that the stress test subject each Enterprise
to very large credit losses on mortgages it owns or guarantees. The
frequency and severity of those losses must be reasonably related to
the highest rate of default and severity of mortgage losses experienced
during a period of at least 2 consecutive years in contiguous areas of
the United States that together contain at least 5 percent of the total
U.S. population.9 This provision requires OFHEO to identify a
``benchmark loss experience,'' which is the default and severity
behavior of mortgage loans, in a place and time meeting statutory
requirements, that resulted in the highest loss rate for any such place
and time.10 In this context, default and severity behavior means
the frequency, timing, and severity of losses on mortgage loans, given
the specific characteristics of those loans and the economic
circumstances affecting those losses.
---------------------------------------------------------------------------
\9\ 1992 Act, section 1361(a)(1) (12 U.S.C. 4611(a)(1)).
\10\ In this document, the word ``benchmark,'' when used as an
adjective, refers to the benchmark loss experience.
---------------------------------------------------------------------------
Interest Rates in the Stress Test
The 1992 Act prescribes two interest rate risk scenarios, one with
rates falling and the other with rates rising.11 The 1992 Act
further describes the path of the 10-year constant maturity Treasury
(CMT) yield for each scenario, and directs OFHEO to establish the
yields on Treasury instruments of other maturities in a manner
reasonably related to historical experience.
---------------------------------------------------------------------------
\11\ Section 1361(a)(2) (12 U.S.C. 4611(a)(2)).
---------------------------------------------------------------------------
In the falling rate scenario, the 10-year CMT yield decreases
during the first year of the stress period, and then remains constant
at the lesser of: (a) 600 basis points below the average yield during
the 9 months preceding the stress period or (b) 60 percent of the
average yield during the 3 years preceding the stress period. The 1992
Act further limits the decrease in yield to a yield no less than 50
percent of the average yield in the 9 months preceding the stress
period.12
---------------------------------------------------------------------------
\12\ Section 1361(a)(2)(B) (12 U.S.C. 4611(a)(2)(B)).
---------------------------------------------------------------------------
In the rising rate scenario, the 10-year CMT yield increases during
the first year of the stress period, and then remains constant at the
greater of: (a) 600 basis points above the average yield during the 9
months preceding the stress period or (b) 160 percent of the average
yield during the 3 years preceding the stress period. The 1992 Act
further limits the increase in yield to a yield no more than 175
percent of the average yield over the 9 months preceding the stress
period.13 The 1992 Act recognizes that interest rates can affect
credit risk, specifically requiring that credit losses be adjusted for
a correspondingly higher rate of general price inflation if application
of the stress test assumes an increase of more than 50 percent in the
10-year CMT yield.14
---------------------------------------------------------------------------
\13\ Section 1361(a)(2)(C) (12 U.S.C. 4611(a)(2)(C)).
\14\ Section 1361(a)(2)(E) (12 U.S.C. 4611(a)(2)(E)).
---------------------------------------------------------------------------
New Business, Other Activities, and Considerations
The 1992 Act requires an assumption that the Enterprises conduct no
new business within the stress period, except to fulfill contractual
commitments to purchase mortgages or issue securities. The 1992 Act
states that OFHEO may, 4 years after the final risk-based capital
regulation is issued, incorporate assumptions about additional new
business conducted during the stress
[[Page 29594]]
period.15 In doing so, OFHEO must take into consideration the
results of studies conducted by the Congressional Budget Office and the
Comptroller General of the United States on the advisability and
appropriate forms of new business assumptions. The 1992 Act requires
that the studies be completed within the first year after issuance of
the regulation.
---------------------------------------------------------------------------
\15\ Section 1361(a)(3)(C) and (D) (12 U.S.C. 4611(a)(3)(C) and
(D)).
---------------------------------------------------------------------------
The stress test must take into account distinctions among mortgage
product types and current loan-to-value (LTV) ratios, and may take into
account any other factors that the Director deems appropriate. The 1992
Act does not require a specific adjustment for any of these factors,
allowing the Director to determine how best to account for them.
Likewise, the 1992 Act requires the Director to determine losses and
gains on Enterprise activities not specifically addressed, and all
other characteristics of the stress period not explicitly defined in
the 1992 Act, on the basis of available information, in a manner
consistent with the stress period.16 These stress period
characteristics could include, among others, mortgage prepayment rates
and Enterprise funding policies, operating expenses, and dividend
policies.
---------------------------------------------------------------------------
\16\ Sections 1361(b) and (d)(2) (12 U.S.C. 4611(b) and (d)(2)).
---------------------------------------------------------------------------
Management and Operations Risk
To supplement the amount of capital that would permit an Enterprise
to meet the requirements of the stress test, each Enterprise must
maintain an additional 30 percent of this amount to protect against
management and operations risk.17
---------------------------------------------------------------------------
\17\ 1992 Act, section 1361(c)(2) (12 U.S.C. 4611(c)(2)).
---------------------------------------------------------------------------
Regulation Development
General Approach
The mission of OFHEO is to protect the taxpayer by ensuring that
the Enterprises are adequately capitalized and operating in a safe and
sound manner. The principal objective of the risk-based capital
standard is to reduce the risk of Enterprise insolvency. However,
effective capital standards should promote prudent business practices
and strategies and the maintenance of the financial health necessary to
fulfill the Enterprises' public purposes. Although the stress test
produces a single capital requirement, it effectively creates marginal
capital requirements--incremental requirements for each additional
dollar of business--for every type of product the Enterprises guarantee
or hold in portfolio. Marginal capital requirements for mortgages held
in portfolio will vary depending on the risk, as reflected in the
stress test, of an Enterprise's funding strategy. These marginal
capital requirements will have significant bearing on how the
Enterprises choose to conduct their businesses.
OFHEO will seek to design the stress test so that the incentives it
creates closely reflect the relative risks inherent in the Enterprises'
different activities. To this end, OFHEO will incorporate, to the
extent feasible, consistent relationships between the economic
environment of the stress period and the Enterprises' businesses. Doing
so will require modeling the Enterprises' assets, liabilities, and off-
balance sheet positions at a sufficient level of detail to capture
important risk characteristics.
However, as the level of detail of a stress test increases, so does
its complexity, together with the time and other resources required to
develop it. There are also practical limits to the number of variables
that can be modeled from existing data. OFHEO, therefore, seeks to
establish a level of complexity and realism in the stress test that
appropriately weighs the associated benefits and costs.
OFHEO's stress test is composed of a number of components, some
that correspond to subjects specifically cited in the 1992 Act and
others that represent the infrastructure that makes the stress test
operational. Figure 1 illustrates these components and their
interrelationships. The infrastructure components--database, cashflows,
and financial reports--are shaded gray. The unshaded components
implement the specific requirements of the 1992 Act, as well as the
many other aspects of the stress test that the 1992 Act either requires
or permits OFHEO to determine.
Each of the components of the stress test involves one or more
projects of varying complexity, resource intensity and expected
duration. The diagram highlights in bold the completed components of
the stress test that OFHEO proposes and describes in this NPR--the
benchmark loss experience and a house price index.
BILLING CODE 4220-01-P
[[Page 29595]]
Figure 1
[GRAPHIC] [TIFF OMITTED] TP11JN96.000
BILLING CODE 4220-01-C
[[Page 29596]]
Advance Notice of Proposed Rulemaking
On February 8, 1995, OFHEO published an ANPR 18 as its first
step in developing the risk-based capital regulation. The ANPR
announced OFHEO's intention to develop and publish a risk-based capital
regulation and solicited public comment on a variety of issues relating
to that regulation.
---------------------------------------------------------------------------
\18\ Risk-Based Capital, ANPR, 60 FR 7468.
---------------------------------------------------------------------------
The comment period for the ANPR ended on May 9, 1995, and was
extended through June 8, 1995.19 OFHEO received 15 comments on the
ANPR from a variety of interested parties. Commenters included two
Executive Branch Departments (Department of Housing and Urban
Development and Department of Veterans Affairs), one financial
institution regulatory agency (Office of Thrift Supervision), the
Enterprises (Fannie Mae and Freddie Mac), four trade groups (Mortgage
Bankers Association of America, America's Community Bankers, National
Association of Realtors, and Mortgage Insurance Companies of America),
two mortgage banking firms (PNC Mortgage Corporation of America and
Norwest Mortgage, Inc.), one rating agency (Standard and Poor's Ratings
Group), one thrift institution (World Savings and Loan Association),
one private mortgage research firm (Mortgage Risk Assessment
Corporation), and one individual (Professor Anthony Yezer of George
Washington University).
---------------------------------------------------------------------------
\19\ Risk-Based Capital, Extension of Public Comment Period for
ANPR, 60 FR 25174 (May 11, 1995).
---------------------------------------------------------------------------
The responses to the ANPR ranged from a comment on only one or two
specific risk-based capital issues to an extensive analysis of every
question or issue raised. OFHEO has been considering these comments in
the development of its risk-based capital regulation.
Notice of Proposed Rulemaking
OFHEO will issue two separate NPRs before issuing a final risk-
based capital regulation. This NPR addresses two key aspects of that
regulation. The first is OFHEO's methodology for identifying and
measuring the benchmark loss experience. The benchmark loss experience
will be the basis for determining credit losses that the Enterprises
will experience during the stress period. This NPR describes: (1) The
proposed methodology (definitions, data, and procedures) that is used
to identify the benchmark loss experience; (2) characteristics of the
benchmark loss experience that was identified and proposed using this
methodology; and (3) in general terms, the implications of the
benchmark loss experience for mortgage losses in the risk-based capital
test. OFHEO seeks comment on the methodology it used to determine the
benchmark loss experience.
In the second key aspect of the regulation addressed in this NPR,
OFHEO also proposes to use a weighted repeat transactions house price
index, the HPI produced by OFHEO, rather than the Constant Quality Home
Price Index (CQHPI), published by the Secretary of Commerce, referenced
in the 1992 Act, to measure differences in seasoning of single-family
mortgages in the stress test. The 1992 Act defines ``seasoning'' as the
change over time in the LTV ratio of a mortgage.20 Such changes
result from changes in principal balance and changes in the value of
the property. OFHEO proposes to use the HPI as the basis for estimating
changes in property values and seeks comment about its choice of index.
---------------------------------------------------------------------------
\20\ Section 1361(d)(1) (12 U.S.C. 4611(d)(1)). This usage in
the 1992 Act should not be confused with the usage of the same term
in the mortgage industry. Within this industry, seasoning is
synonymous with aging, which has important implications for patterns
of both prepayments and defaults. See Linda Lowell, Mortgage Pass-
Through Securities, in Handbook of Mortgage-Backed Securities 59, 78
(F. Fabozzi ed., 3rd ed., Probus 1992) (prepayments); Standard and
Poor's, Residential Mortgages: Criteria, Statistics, Credit Week,
Oct. 25, 1993, at 29 (defaults).
---------------------------------------------------------------------------
At a later date OFHEO will issue a second NPR which will: (1)
Specify and propose for public comment all of the remaining aspects of
the risk-based capital stress test, (2) describe how the stress test
will be used to determine the Enterprises' risk-based capital
requirements, and (3) respond to all ANPR comments not addressed in
this NPR. OFHEO will consider comments received in response to both
NPRs in the final risk-based capital regulation.
OFHEO decided to publish two NPRs for several reasons. They include
the complex issues and decisions that OFHEO must address prior to
completing its proposal for the risk-based capital regulation and the
challenge of developing the stress test infrastructure. Further, the
development of the risk-based capital standard comprises multiple
projects, most of which will not be concluded until later this year.
Rather than delay in order to present an entire proposal, OFHEO
believes the public interest is best served by publishing the results
of completed projects that can be considered independently of the rest
of the regulation. OFHEO's analysis, which identified the location,
time and magnitude of the highest mortgage losses, may also be of
public interest apart from the development of the risk-based capital
regulation.
In the sections titled ``Issues, Alternatives Considered, and
Comments Received,'' this NPR discusses the ANPR comments that related
directly to the benchmark loss experience and house price index topics.
There were certain other issues, such as the potential impact of
improved underwriting standards on credit losses, the application of a
regional recession to the Enterprises' books of business, and the
impact of recent loss mitigation programs that were raised by ANPR
commenters in discussing the credit stress benchmark. OFHEO believes
that those issues are more appropriately addressed in the second NPR,
which will discuss how, or whether, to account for these factors in the
risk-based capital stress test.
Benchmark Loss Experience
Definitions, Data, and Procedures
OFHEO proposes to use the methodology (definitions, data, and
procedures) described in this section to identify the benchmark loss
experience. Alternatives OFHEO considered and the reasons for OFHEO's
choices are discussed below in the section titled ``Issues,
Alternatives Considered, and Comments Received.''
1. Definitions
The 1992 Act requires OFHEO to determine the highest rate of
default and severity of mortgage losses in contiguous areas containing
5 percent or more of the U.S. population for a period of 2 or more
years. OFHEO defined ``contiguous areas'' as all the areas within a
state or a group of two or more states sharing common borders, and
interpreted ``year'' to mean the calendar year in which a loan is
originated (origination year). Thus, OFHEO's proposed methodology is
designed to identify the combination of states and origination years
from which mortgages had a higher loss rate than mortgages from any
other qualifying state/year combination.
OFHEO defined ``defaulted loans'' as loans that, within 10 years
following their origination, (1) resulted in pre-foreclosure sale, (2)
completed foreclosure, (3) resulted in real estate owned (REO), or (4)
resulted in a credit loss to an Enterprise. For any group of loans,
OFHEO defined the ``default rate'' as the ratio of the aggregate
original principal balance of the defaulted loans in the group to the
aggregate original principal balance of all loans in the
[[Page 29597]]
group. OFHEO defined ``losses'' on defaulted loans in categories 1, 2,
or 3 above as the difference between: (1) The sum of the principal and
interest owed when the borrower lost title to the property securing the
mortgage; REO financing costs 21 through the date of property
disposition; and cash expenses incurred during the foreclosure process,
REO holding period, and property liquidation process; and (2) the sum
of the property sales price and any other liquidation proceeds (except
those resulting from private mortgage insurance proceeds or other
third-party credit enhancements). Losses on defaulted loans not in
categories 1, 2, or 3 above were defined as the amount of the financial
loss to the Enterprise. For any group of defaulted loans, the
``severity rate'' was defined as the aggregate losses on those loans
divided by the aggregate original principal balance of all loans in the
group. ``Loss rate'' for a group of loans was defined as the product of
the default rate for those loans and the severity rate for all
defaulted loans in that group for which loss data are available.
---------------------------------------------------------------------------
\21\ The financing costs associated with properties acquired
through foreclosure from the time of foreclosure through property
disposition were calculated using the average from 1982 through 1992
of the 12-month Federal Agency constant maturity yield computed by
Bank of America.
---------------------------------------------------------------------------
2. Data
OFHEO used the proposed methodology to identify the benchmark loss
experience using historical loan-level data from each of the two
Enterprises. OFHEO's analysis was based entirely on fixed-rate
mortgages or ``FRMs'' (which were defined as conventional, 30-year,
fixed-rate loans secured by first liens) on ``single-family
properties'' (which were defined as single-unit, owner-occupied,
detached properties) that were originated from 1979 to 1993. Detached
properties were defined as single-family properties excluding
condominiums, planned urban developments (PUDs), and cooperatives. The
data included only loans that were purchased by an Enterprise within 12
months after loan origination and loans for which the Enterprise had no
recourse to the lender.
Table 1 lists by year the number of loans, by Enterprise, used in
the analysis. Fannie Mae's loan totals in most years are lower than
Freddie Mac's, because Fannie Mae's data set does not include data on
securitized loans. That Enterprise has not retained such data in a form
that permits historical analysis.
Table 1.--Number of Loans Used in Analysis
------------------------------------------------------------------------
Freddie Fannie
Origination year Mac Mae Total
------------------------------------------------------------------------
1979.............................. 81,507 66,499 148,006
1980.............................. 41,551 23,572 65,123
1981.............................. 17,922 41,017 58,939
1982.............................. 30,005 39,094 69,099
1983.............................. 107,406 33,099 140,505
1984.............................. 85,829 14,381 100,210
1985.............................. 165,966 32,833 198,799
1986.............................. 674,684 111,878 786,562
1987.............................. 365,580 63,058 428,638
1988.............................. 214,299 55,265 269,564
1989.............................. 353,687 72,026 425,713
1990.............................. 268,877 71,081 339,958
1991.............................. 447,731 120,182 567,913
1992.............................. 641,929 203,672 845,601
1993.............................. 845,052 313,537 1,158,589
------------------------------------------------------------------------
OFHEO separately analyzed default and severity data from each
Enterprise. Default rates were calculated from loan records meeting the
criteria specified above. Severity rates were calculated from the
subset of defaulted loans for which loss data were available.22
---------------------------------------------------------------------------
\22\ Available data did not permit inclusion of loans on which
credit losses occurred as a result of loan restructurings, interest
rate buydowns, or pre-foreclosure sales.
---------------------------------------------------------------------------
3. Procedures
OFHEO calculated each Enterprise's cumulative 10-year default rate
for a combination of contiguous states and consecutive origination
years (state/year combination) by grouping all of the Enterprise's
loans originated in that state/year combination. For origination years
with less than 10 years of default experience, cumulative-to-date
default rates were used. The two Enterprise default rates were then
averaged, yielding an ``average default rate'' for that state/year
combination.
An ``average severity rate'' for each state/year combination was
determined in the same manner as the average default rate; for each
Enterprise, the aggregate severity rate was first calculated for all
loans in the relevant state/year combination. The ``loss rate'' for
each candidate state/year combination examined was calculated by
multiplying the average default rate for that state/year combination by
the average severity rate for that combination. The default and
severity behavior of loans in the candidate with the highest loss rate
constitutes the benchmark loss experience.
Characterization of the Benchmark Loss Experience
To identify the state/year combination with the highest loss rate,
OFHEO examined individual state data on defaults and severity for each
Enterprise from 1979 through 1985. Based on that examination, OFHEO
selected more than 250 potential benchmark areas with at least 5
percent of the U.S. population that appeared to have unusually high
loss rates for periods of 2 or more consecutive origination years.
23 For each potential benchmark area, OFHEO calculated loss rates
for each consecutive combination of 2-, 3-, and 4-origination years
during the time span examined, making a total of nearly 4,000 candidate
state/year combinations.
---------------------------------------------------------------------------
\23\ These combinations of states and origination years are
referred to as ``candidate state/year combinations'' or
``candidates.''
---------------------------------------------------------------------------
[[Page 29598]]
OFHEO also analyzed possible candidate state/year combinations that
involved mortgage origination years with less than 10 years of loss
experience (1986 through 1993), and compared their cumulative-to-date
loss rates with comparable cumulative loss rates for candidate state/
year combinations involving earlier mortgage originations. None of the
candidates involving recent mortgage originations had cumulative loss
rates exceeding those of candidates including 10 years of loan
histories.
Using the proposed methodology, OFHEO identified the candidate with
the highest loss rate. OFHEO will monitor new loss data for loans
originated in more recent years. If OFHEO determines at a future time
that there is a more recent candidate with a higher loss rate than the
one described below, OFHEO may establish a new benchmark loss
experience.
Table 2 shows some of the principal characteristics of the
benchmark loss experience identified using the proposed procedures
described above.
Table 2.-- Benchmark Loss Experience
------------------------------------------------------------------------
------------------------------------------------------------------------
States.................................... Arkansas, Louisiana,
Mississippi, and Oklahoma
Percentage of U.S. Population.* ......... 5.3%
Origination Years......................... 1983 and 1984
Loss Rate................................. 9.4%
Average 10-Year Default Rate.............. 14.9%
Average 10-Year Severity Rate............. 63.3%
------------------------------------------------------------------------
* Based on the percentage of 1985 U.S. population as estimated by the
Bureau of the Census.
Table 3 describes the aggregate data for each Enterprise used in
calculating the rates in Table 2. Table 3 also shows each Enterprise's
default and severity rates. A ranking of results for the 500 candidates
with the highest loss rates appears in the supplementary table at the
end of the section titled ``Benchmark Loss Experience.''
Table 3.--Data on Loans Determinnig the Benchmark Loss Experience
------------------------------------------------------------------------
Freddie Mac Fannie Mae
------------------------------------------------------------------------
Original Balance of All Loans used in Default
Rate Analysis (000s)......................... $316,930 $242,296
Original Balance of Defaulted Loans used in
Default Rate Analysis (000s)................. $35,742 $44,910
Default Rate.................................. 11.28% 18.54%
Original Balance of Defaulted Loans used in
Severity Rate Analysis (000s)................ $14,107 $30,749
Losses on Defaulted Loans used in Severity
Rate Analysis (000s)......................... $8,597 $20,166
Severity Rate................................. 60.94% 65.58%
------------------------------------------------------------------------
Some comparisons with other loss experiences help put these results
in perspective. Texas loans originated in the early 1980s are sometimes
considered a reference point for high loss experiences. Using the
methodology and data to identify the proposed benchmark loss
experience, the worst loss rate for Texas was 7.3 percent for loans
originated in 1982 and 1983. Loss rates within the state were very
uneven, however. In the 2-digit ZIP Code including Houston, Beaumont,
and Bryan (77xxx), the loss rate for those years was 11.0 percent.
Similarly, in the El Paso and West Texas area (79xxx), the loss rate
was 9.8 percent.
The loss rate of benchmark loans is much higher than a normal or
typical rate. The aggregate loss rate for the contiguous 48 states and
the District of Columbia for all origination years from 1979 through
1985 was 2.1 percent, which is less than one-quarter of the rate for
benchmark loans. The benchmark loss experience can also be compared
with Federal Housing Administration (FHA) experience. The 10-year
cumulative default rate for FHA loans originated in all states and the
District of Columbia in 1981 was 19.1 percent, more than one-quarter
higher than the average default rate of the benchmark loss
experience.24
---------------------------------------------------------------------------
\24\ An Actuarial Review for Fiscal Year 1994 of the FHA's
Mutual Mortgage Insurance Fund: Final Report, Appendix F, May 8,
1995.
---------------------------------------------------------------------------
The LTV ratios of loans are good indicators of the likelihood of
default and the severity of losses on defaulted loans. Table 4 shows
average default, severity, and loss rates from the benchmark loss
experience. These rates further characterize the benchmark loss
experience.25
---------------------------------------------------------------------------
\25\ Losses experienced by the Enterprises on loans with LTV
ratios of more than 80 percent were reduced considerably from the
loss rates shown in the table by proceeds of mortgage insurance.
Overall, mortgage insurance proceeds offset more than one-quarter of
the losses on benchmark loans. See discussion of mortgage insurance
in the stress test in the section ``Implications of the Benchmark
Loss Experience for the Stress Test'' below.
Table 4.--Default, Severity, and Loss Rates of Benchmark Loans by LTV at
Origination*
------------------------------------------------------------------------
Average Average
LTV range default severity Loss
rate rate rate
------------------------------------------------------------------------
60%.............................. 2.2% 43.5% 1.0%
>60%, 70%........................ 3.5% 46.2% 1.6%
>70%, 75%........................ 7.9% 50.1% 3.9%
>75 80........................... 9.4% 58.9% 5.5%
>80%, 85%........................ 12.0% 55.0% 6.6%
>85%, 90%........................ 17.7% 60.2% 10.7%
>90%........................................ 26.4% 69.0% 18.2%
------------------------------------------------------------------------
* In addition to the benchmark loans classified by LTV range to produce
these results, a large portion (roughly half) of the loans provided by
one Enterprise have no LTV information available. The average default
rate on those loans was 12.2 percent.
To place these rates in a broader context, they can be compared
with the loss coverage requirements established by the rating agencies
for the rating of securitized mortgage pools that are not guaranteed by
the Enterprises. To receive a given rating, the security structure must
incorporate protection against credit losses, with higher ratings
requiring greater loss protection. Each rating agency has its own
methodology for determining loss coverage requirements (the required
loss protection as a percentage of the total loan principal at the time
a pool is formed), but all are based in some way on stress tests or
default models calibrated to various severe historical episodes.
Different loss rates have
[[Page 29599]]
become associated in the industry with different ratings, which in turn
have been associated with hypothetical or actual historical experiences
of varying severity by the rating agencies in their publications.
The rating agency loss coverage requirements are a relevant
industry point of reference from which to gauge the mortgage credit
losses of the benchmark loss experience. A rating agency's loss
coverage requirement represents a projected cumulative loss experience
of a fixed pool of mortgage loans. Once the loans in a fixed pool are
identified, none is replaced and no additional loans are added to the
pool; the pool dwindles over time as loans mature, prepay, or default.
The benchmark loss experience is, in effect, the average experience of
two fixed pools, one for each Enterprise.
Four rating agencies are active in the rating of mortgage pools:
Standard and Poor's Ratings Group (S&P), Moody's Investors Service
(Moody's), Fitch Investors Service, Inc. (Fitch), and Duff & Phelps
Credit Rating Co. (Duff & Phelps). Although their methodologies differ,
they are sufficiently similar to permit a comparison of the benchmark
results with each of the four rating scales. In all cases, the
published ``base case'' loss coverage requirements apply to a large,
nationally diverse pool of good-quality, newly-originated, 30-year,
fixed-rate loans on owner-occupied, single-family dwellings; and the
loss coverage requirements vary based on the distribution of LTV ratios
in the pool.
For purposes of comparison, Table 5 shows the required loss
coverage requirements, by rating agency and rating, for a hypothetical
pool of newly-originated FRMs 26 with a given distribution of LTV
ratios. These coverage requirements are indicative of rating agency
requirements derived from agency publications. Requirements for actual
pools are adjusted to take into account a variety of factors other than
LTV ratios, such as different mortgage products, underwriting
standards, servicing practices, and regional economic considerations.
---------------------------------------------------------------------------
\26\ See issue 2. ``Data'' under section ``Definitions, Data,
and Procedures'' above.
---------------------------------------------------------------------------
Applying the LTV-specific loss rates of the benchmark loss
experience (shown in Table 4) to a pool with the hypothetical LTV
distribution shown in the note to Table 5 yields an overall loss rate
of 6.2 percent, a rate roughly comparable to the loss coverage
requirements for double A rated securities backed by such a pool.
Table 5.-- Loss Coverage Requirements For a Pool With a Hypothetical LTV
Distribution, by Rating Level and Rating Agency*
------------------------------------------------------------------------
Duff &
Rating level S&P Moody's Fitch Phelps
------------------------------------------------------------------------
Triple A............................ 9.2% n.a. 9.1% 8.0%
Double A............................ 5.7% **7.0% 6.0% 4.9%
Single A............................ 4.1% n.a. n.a. 2.7%
------------------------------------------------------------------------
n.a. = not available.
Weighted Loss Rate, Benchmark Loss Experience, Using the Same
Hypothetical LTV Distribution--6.2%
* Derived by OFHEO from numerical requirements published by the
rating agencies, for a large, nationally diverse pool of newly-
originated, single-family, 30-year, fixed-rate mortgages with LTV
ratios of loans distributed as follows:
------------------------------------------------------------------------
Percent
LTV range of loans
in pool
------------------------------------------------------------------------
0%<>60%......................................... 15
60%<>70%........................................ 15
70%<>75%........................................ 15
75%<>80%........................................ 15
80%<>85%........................................ 15
85%<>90%........................................ 15
90%<>95%........................................ 10
------------------------------------------------------------------------
Loss coverage requirements for specific pools may reflect many pool
characteristics other than LTV distribution. In this table, Fitch
coverage rates are based on medians of individual Metropolitan
Statistical Areas requirements; Moody's and Duff & Phelps rates are
based on rates for mortgages with intermediate risk characteristics
(those that receive a risk factor of one). For the underlying LTV-
specific requirements and for further details, see S&P, Residential
Mortgages: Criteria, Statistics, Credit Week, Oct. 25, 1993;
Moody's, Moody's Approach to Rating Residential Mortgage Pass-
Throughs, Structured Finance Research and Commentary: Special Report
(1995); Fitch, Fitch Mortgage Default Model, Fitch Research, June
28, 1993; and Duff & Phelps Residential Mortgage-Backed Securities
Group, The Rating of Residential Mortgage-Backed Securities, Oct.
1995.
** Moody's has informed OFHEO that its current practice differs
from that described in its 1991 publication. The coverage
requirement for ``AA'' rating, consistent with the assumptions of
the table, now would be 5.6%.
Implications of the Benchmark Loss Experience for the Stress Test
The stress test subjects the Enterprises to severe credit losses
and extreme interest rate changes. The benchmark loss experience will
be the basis for determining mortgage credit losses that the
Enterprises will experience during the stress period. Although the
benchmark loss experience relates most directly to single-family
FRMs,27 losses on other mortgage assets and guarantees also will
be related to the benchmark experience in the stress test in a manner
that reflects the different risk characteristics of other mortgages
compared with those of single-family FRMs.
---------------------------------------------------------------------------
\27\ The term ``single-family FRM'' is used to mean an FRM
secured by a single-family property.
---------------------------------------------------------------------------
The projection of credit losses on an Enterprise's loans in the
stress period will not involve direct application of the loss rate of
the benchmark loss experience. That experience reflects the specific
characteristics of the benchmark loans and the economic circumstances
affecting the default and severity behavior of those loans. The
characteristics of an Enterprise's loans during any application of the
stress test (stress test loans) will differ from those of benchmark
loans in a number of important ways. In addition to differences in
mortgage product type,28 differences in the mix of LTV ratios may
be especially important, and OFHEO will design the stress test to take
account of them. These differences in LTV ratios will reflect
differences between the original LTVs of benchmark loans and those of
an Enterprise's stress test loans. LTV ratios of stress test loans also
will differ from those of benchmark
[[Page 29600]]
loans because most stress test loans will not be newly-originated
loans. The LTV ratios of stress test loans will reflect house price
changes subsequent to origination. Many will have lower LTV ratios than
they originally did, but some will be higher, and a few will have LTV
ratios that are higher than the highest original LTV ratios of
benchmark loans. OFHEO is also considering whether and in what manner
to incorporate the effect of a loan's age on the likelihood and timing
of default in the stress test. Loan age is another factor that will
distinguish some stress test loans from those in the benchmark loss
experience, because some of the stress test loans will be older than
the oldest benchmark loans.
---------------------------------------------------------------------------
\28\ The 1992 Act, section 1361(d)(2), defines ``type of
mortgage product'' to mean a classification of mortgages based upon
characteristics that include: (1) the type of property securing the
mortgages (e.g., single-family, PUD, etc.), (2) the interest rate
type (fixed, adjustable, balloon, etc.), (3) the priority of the
liens securing the mortgages, and (4) the terms of the mortgages (15
years, 30 years, etc.) (12 U.S.C. 4611(d)(2)).
---------------------------------------------------------------------------
To incorporate properly the effects of differences in LTV ratios,
age of loans, and mortgage product type in the stress test, OFHEO is
examining the effects of these factors on the default and severity
behavior of a broader sample of loans than those of the benchmark loss
experience.
Differences between the economic environment of the stress test and
the environment affecting benchmark loans might also be expected to
affect loan performance. The levels and patterns of change in interest
rates will differ considerably among alternative interest rate
scenarios and will not match the interest rate history of the time
period affecting benchmark loans. Such differences in interest rates
might reasonably be associated with differences in prepayments and
house prices, which could have a significant impact on credit losses.
OFHEO is considering whether or to what extent to take into account in
the stress test the effect of interest rates on prepayments and house
prices. In doing so, the stress test must incorporate the statutory
requirement that the stress test take into account the effect of a
correspondingly higher rate of general price inflation, if the 10-year
CMT yield is assumed to increase more than 50 percent during the stress
period.29
---------------------------------------------------------------------------
\29\ 1992 Act, section 1361(a)(2)(E) (12 U.S.C. 4611(a)(2)(E)).
---------------------------------------------------------------------------
The purpose of incorporating the effects of some or all of these
factors (and possibly others) is to make the stress test better reflect
the risks, under stress test conditions, of loans owned or guaranteed
by the Enterprises. OFHEO plans to design the test so that losses on
loans with characteristics matching those of the benchmark loans would
be projected, under economic circumstances matching those affecting the
benchmark loans, to occur at the same rate of default and severity as
the benchmark loans. However, as discussed above, projected credit
losses will differ from benchmark losses to reflect key differences in
risk affecting each Enterprise's stress test loans. The stress test
will also take into account, for example, offsetting receipts from
mortgage insurance, recourse, and other credit enhancements. OFHEO will
present the specific methodology for determining credit losses in the
stress test in the second NPR.
Issues, Alternatives Considered, and Comments Received
OFHEO encountered a number of methodological issues in identifying
the benchmark loss experience. Many of these issues were mentioned
specifically in the ANPR. In this section, OFHEO addresses the issues,
discusses alternative methodologies it considered, and responds to
related comments received on the ANPR.
OFHEO chose procedures best designed to identify the worst loss
experience (meeting statutory time, contiguity, and population
requirements) for mortgage loans with characteristics similar to those
purchased or guaranteed by both Enterprises. In choosing among
alternatives, OFHEO sought approaches that were most appropriate for
setting capital standards. Because capital standards should be clear
and predictable, OFHEO favored straightforward approaches over those
that might require needlessly complex computations or frequent
adjustments or changes to the benchmark loss experience. Wherever
appropriate for setting capital standards, OFHEO resolved issues in
ways that were consistent with analytical practices within or related
to the residential mortgage industry. In particular, OFHEO looked to
the practices of credit rating agencies and how the rating agencies
analyze the credit risk of securitized mortgage pools, as credit rating
agency practices often are published and readily available. OFHEO also
considered practices of the Enterprises, mortgage insurers, and, as
appropriate, the regulators of portfolio lenders. OFHEO also favored
approaches that would make best use of the data available for analysis.
1. Data Sources Used to Define the Benchmark Loss Experience
The ANPR requested comment on whether OFHEO should use data from
sources other than the Enterprises to identify the benchmark loss
experience. After considering the issue, OFHEO is proposing to use only
Enterprise data. OFHEO has concluded that the two Enterprise data sets
are the most relevant sources currently available for determining a
benchmark loss experience for use in a risk-based capital stress test.
The choice is consistent with the general practice of banking and
thrift industry regulators and the credit rating agencies, which use
data on the loss experience of the relevant industry in determining
capital adequacy.
Non-Enterprise mortgage default and severity data are necessarily
less representative of the experience of loans owned or guaranteed by
these large secondary mortgage market companies. FHA data, for example,
reflect the very different market focus of that agency. A large portion
of FHA loans would not have met Enterprise underwriting guidelines, and
would, therefore, be expected to exhibit risk characteristics different
from those of the loans that the Enterprises purchased or guaranteed.
OFHEO was in a unique position to obtain and analyze extensive data
on the loss experience of individual Enterprise loans. This data
included information on a large portion of loans originated and
purchased since 1979. Severity data were available for a majority of
the defaulted loans, which was sufficient for OFHEO's analysis.
The majority of comment letters supported the exclusive use of
Enterprise data. One commenter, America's Community Bankers (ACB),
however, suggested that it would be inconsistent with the 1992 Act to
rely solely on Enterprise data if, as a result, a relatively recent
period of severe losses might be overlooked. The same commenter stated
that ``[t]he Federal Housing Administration and credit bureau data that
are identified as supplementary sources [in the ANPR] should also be
accompanied by private mortgage insurance data.'' For the reasons cited
above, OFHEO believes that the exclusive use of Enterprise data to
identify the benchmark loss experience is the most reasonable approach.
OFHEO agrees that if using only Enterprise data would cause a recent
period of severe losses to be overlooked, other data should be included
in the analysis. However, the quantity and detail of the Enterprise
data are such that those data reflect losses in recent periods as well
as or better than data from any other sources.
2. Loan and Property Types Included in the Benchmark Analysis
OFHEO proposes to use single-family FRMs in the benchmark analysis.
The analysis excludes other loan types, such as adjustable-rate and
balloon mortgages and loans secured by other property
[[Page 29601]]
types such as multi-unit and 2- to 4-unit structures, condominiums,
PUDs, or cooperatives.
OFHEO believes it is appropriate to identify the benchmark loss
experience on the basis of single-family FRMs because of the
homogeneity of these mortgages and their preponderance in the
Enterprises' portfolios and mortgage-backed securities, especially in
the early 1980s. Data on these mortgages are available from both
Enterprises in all regions for loans originated in 1979 and
subsequently. Single-family FRMs accounted for over three-quarters of
the total dollar volume of Enterprise mortgages purchased between 1981
and 1985 and nearly two-thirds of mortgages purchased between 1986 and
1990.30
---------------------------------------------------------------------------
\30\ Congressional Budget Office, Controlling the Risks Of
Government-Sponsored Enterprises, at 125 (April 1991).
---------------------------------------------------------------------------
OFHEO's proposed approach is supported by the legislative history
of the 1992 Act. The House and Senate Committee reports both suggested
that OFHEO should rely on single-family FRMs in identifying the
benchmark loss experience. The House report explained that:
Conventional, 30-year, fixed-rate, single-family mortgages
account for about two-thirds of the mortgages purchased by Fannie
Mae and Freddie Mac in each year. The most reliable loan performance
data the enterprises possess pertain to such loans.31
\31\ Government-Sponsored Enterprises Financial Safety and
Soundness Act of 1991, H.R. Rep. No. 206, 102d Cong., 1st Sess. 66
(1991).
---------------------------------------------------------------------------
The House report also stated that:
The bill would require the Director to measure rates of default
in a manner that was reasonably related to prevailing industry
practice.
Prevailing industry practice at this time, as reflected by the
practices of Fannie Mae, Freddie Mac, mortgage insurers and rating
agencies, is to utilize estimated lifetime default rates of a group
of mortgages with similar characteristics, e.g. product type and
loan-to-value ratio, originated over a specific time period.32
\32\ Id.
---------------------------------------------------------------------------
The Senate report counseled that:
The Director is only required to use data from the Benchmark
origination years on rates of default and loss severity for the most
common type or types of mortgages held or guaranteed during that
period. Loss rates on other types of mortgages should be related to
loss rates on the ``standard'' mortgage types according to
prevailing practice * * *.33
\33\ Federal Housing Enterprises Regulatory Reform Act of 1992,
S. Rep. No. 282, 102d Cong., 2d Sess. 21 (1992).
---------------------------------------------------------------------------
The use of data on single-family FRMs from a historically stressful
period to establish a standard for evaluating potential future credit
losses is also consistent with credit rating agency practice. For
example, single-family FRMs constitute the benchmark mortgage product
type for the four rating agencies.34 Lack of data on other
mortgage product types is likely a major reason for this practice. As
noted above, the volume of Enterprise loans secured by other mortgage
product types during the early and middle 1980s was very small relative
to the volume of single-family FRMs purchased or guaranteed by the
Enterprises. These small sample sizes were an additional factor in
OFHEO's decision not to include different mortgage types in its
analysis. For purposes of the stress test, OFHEO will estimate the risk
characteristics (and, ultimately, project the loss rates) of other
Enterprise mortgage product types using all relevant historical data.
This part of the stress test analysis will be discussed in detail in
the second NPR.
---------------------------------------------------------------------------
\34\ Fitch and Moody's note that they reduce the risk of 15-year
mortgages in their mortgage default models, implying that single-
family FRMs are the standard. See, e.g., Fitch, Fitch Mortgage
Default Model, Fitch Research, June 28, 1993, at 9; and Moody's,
Moody's Approach to Rating Residential Mortgage Pass-Throughs,
Structured Finance Research and Commentary: Special Report (1995),
at 10-14. However, S&P and Duff & Phelps explicitly note that 30-
year FRMs are the standard. S&P, Residential Mortgages: Criteria,
Statistics, Credit Week, Oct. 25, 1993, at 20; and Duff & Phelps,
The Rating of Residential Mortgage-Backed Securities, Oct. 1995, at
15.
---------------------------------------------------------------------------
All of the ANPR comments that discussed the issue of which mortgage
product type(s) to include in the benchmark analysis were consistent
with OFHEO's general approach of analyzing only the most common
mortgage product types purchased by the Enterprises. While agreeing
with OFHEO's general approach, Fannie Mae suggested a minor variation:
to base the single benchmark loss experience on ``fixed rate, 30-year,
conventional mortgages on single-family, owner-occupied, primary
residences,'' thus implicitly including condominiums, PUDs, and
cooperatives. OFHEO considered this option, but concluded that loans
secured by condominiums, PUDs, and cooperatives should not be included,
because they are significantly different types of properties and
involve fees and contractual agreements with third parties that may
cause the default and severity experience of the loans to differ from
that of single-family mortgages. OFHEO decided not to include
multifamily loans in the identification of the benchmark loss
experience because, as highlighted in the ANPR and reinforced by many
comments, multifamily loans and the properties underlying these loans
present significantly different credit, market, and institutional risks
to the Enterprises than do single-family mortgages.
3. Determination of a Single Benchmark State/Origination Year
Combination or a Separate Area and Period for Each Enterprise
The ANPR also suggested that OFHEO might combine, in some fashion,
data from the two Enterprises before determining the state/origination
year combination with the worst joint loss experience, or,
alternatively, that OFHEO might determine the worst experience for each
Enterprise separately. If the latter approach were adopted, the ANPR
suggested the possibility of using a simple or weighted average of
default rates to derive the single benchmark loss experience to apply
to both Enterprises in the stress test.
OFHEO is proposing to identify the benchmark loss experience on the
basis of a single benchmark state/origination year combination
representing the worst combined loss experience on mortgages owned or
guaranteed by the Enterprises. All the comments were consistent with
this proposal.
4. Role of Severity Data in Identifying the Benchmark Loss Experience
The ANPR suggested that, as an alternative to identifying a
specific area and time period that experienced the highest overall loss
rate, OFHEO might need to use severity data from different sources,
time periods, or areas than those used to determine the average default
rates in the benchmark loss experience. OFHEO was concerned at the time
the ANPR was published that the quality or quantity of severity data
might be inadequate to derive benchmark loss rates. Subsequently, OFHEO
obtained severity data from the Enterprises that were adequate to
determine severity experience from all potential benchmark areas and
origination years. Severity data were available for 58% of defaulted
loans and in higher percentages for later origination years. OFHEO,
therefore, proposes to identify the benchmark loss experience on the
basis of the worst loss experience of Enterprise loans, rather than
only the worst default experience. This approach is consistent with all
comments on the issue.
Some commenters apparently concluded that OFHEO was considering
identifying separately the states and origination years with the
highest default rate and the states and origination years with the
highest severity rate, and then combining them
[[Page 29602]]
to establish the overall benchmark loss rates. OFHEO did not intend to
suggest such a synthesis of two different historical experiences. In
OFHEO's view, such an approach would be inconsistent with the
provisions of the 1992 Act and its legislative history; first, because
it could result in an overall benchmark loss rate not ``reasonably
related'' to any actual historical loss experience and, second, because
the House and Senate reports consistently describe ``experience'' in
the singular.35
---------------------------------------------------------------------------
\35\ See H.R. Rep. No. 206, at 65-6, and S. Rep. No. 282, at 21.
---------------------------------------------------------------------------
5. Definition of ``Default Rate''
a. In General. OFHEO defined the default rate of a group of loans
as the ratio of the aggregate original principal balance of the
defaulted loans in the group to the aggregate original principal
balance of all loans in the group. Although default rates are sometimes
defined as the number of defaulted loans divided by the number of loans
in the group, the dollar values more accurately describe the economic
impact if large and small loans default at different rates.
The Enterprise data used in the default analysis did not include
balances at the date of last paid installment (LPI). In some
circumstances, the best measurement of default rates using dollar
values would be based upon principal balances at the LPI date, rather
than the original principal balance. However, that is not so in this
case, because the ultimate focus of the analysis was loss rates, not
default rates, and loss rates are a product of default and severity
rates.36
---------------------------------------------------------------------------
\36\ See issue 6. ``Definitions of ``Severity Rate'' and
``Losses'.''
---------------------------------------------------------------------------
b. Interpretation of ``Years''. OFHEO considered two approaches to
analyzing default rates, one based upon origination years (origination
year approach) and one based upon exposure years (exposure year
approach). Under an origination year approach, mortgage loans
originated during specified years are tracked as a group until maturity
or some intermediate term. Default rates for that group of loans over
the specified term are expressed as the cumulative defaulted loan
balances divided by the sum of the original balances of all the loans
in the group. Exposure year default rates, in contrast, are calculated
for ``exposure years,'' which are the years in which the loans are
subject to default. Exposure year default rates are expressed as the
aggregate balances on all loans (from all origination years) that
defaulted during a given period of consecutive exposure years divided
by the unpaid balances of all loans active at the start of that period.
OFHEO proposes to identify the benchmark loss experience using an
origination year approach. OFHEO favors the origination year standard
because (1) it is consistent with industry practice; (2) it is the
approach that was anticipated in the legislative history; and (3) using
an exposure year approach would have required annual information on
unpaid balances, which was not included in the Enterprises'' data on
individual loans and would have required reliance on estimates.
Industry practice is to measure default and loss rates based on
origination year data. Moody's Residential Mortgage-Backed Securities
Credit Indices are broken out by origination year, as are S&P's
surveillance reviews.37 The Congressional Committees that
considered the 1992 Act understood that prevailing industry practice
was to measure rates of loss based on origination years. The House
report states: ``Prevailing industry practice at this time, as
reflected by the practices of Fannie Mae, Freddie Mac, mortgage
insurers and rating agencies, is to utilize estimated lifetime default
rates of a group of mortgages with similar characteristics, e.g.
product type and loan-to-value ratio, originated over a specific time
period.'' 38 Similarly, the Senate report provides: ``Currently,
the prevailing practice in the Committee's judgment is to examine
losses by origination year, that is, losses on mortgages purchased by
the [Enterprises] in a particular year.'' 39 Although loans
purchased in a particular year include some loans that were not
originated in that year, this recommendation is consistent with OFHEO's
general approach.
---------------------------------------------------------------------------
\37\ See, e.g., S&P, Study Tracks MBS Loss and Default
Experience, Credit Week, June 19, 1995 (credit rating agency
practice); Moody;s, Residential Mortgage-Backed Securities Credit
Indices Update: Are Slipping ARM Delinquencies Another Signal of
Consumer Debt Problems?, Structured Finance Credit Index, Dec. 15,
1995 (same). See also Mortgage Information Corp., The Market Pulse,
Sept. 1995 (securities industry practice).
\38\ H.R. Rep. No. 206, at 66.
\39\ S. Rep. No. 282, at 20.
---------------------------------------------------------------------------
Most commenters, including the Department of Veterans Affairs, both
Enterprises, and two trade associations, the Mortgage Bankers
Association of America (MBA) and the National Association of Realtors
(NAR), favored the origination year approach. These commenters viewed
that approach as the most consistent with industry practice. For
instance, MBA noted that, because of its predictive value, the
origination year approach is used by Fannie Mae, Freddie Mac, and the
lending industry.
Without stating a clear preference, HUD stated that an exposure
year approach would be more appropriate for a stress test that assumes
no new business. The comment may reflect a view that the loss
experience of a mixture of old and new loans would be a more
appropriate benchmark experience than the experience of newly-
originated loans, because the Enterprises would be purchasing
relatively few new loans during the stress period. ACB was the only
commenter clearly preferring the exposure year approach. Its suggestion
that an exposure year approach dovetails better with what it described
as the ``foreclosure/disposition orientation'' of the 1992 Act appears
to be based on similar reasoning. OFHEO believes that HUD's and ACB's
concern will be dealt with in the stress test, which will take into
account seasoning, age, amortization, and other factors that are found
to affect losses on loans. Thus, the stress test will not necessarily
project the same loss rate for two loans of different ages that are
otherwise similar.
c. Definition of ``Defaulted Loans''. OFHEO defined ``defaulted
loans'' as loans that, within 10 years following their origination, (1)
resulted in pre-foreclosure sale, (2) completed foreclosure, (3)
resulted in REO, or (4) resulted in a credit loss to an Enterprise. The
Enterprises'' data provided little information on loss mitigation
techniques such as sales prior to completion of foreclosure, loan
restructurings, or interest rate buydowns. Although one Enterprise's
data did identify loans that resulted in pre-foreclosure sales, it was
not possible to include any other loans that were subject to loss
mitigation efforts unless they resulted in a completed foreclosure or
in REO. Data sufficient to determine loans on which these techniques
were applied and the amounts of loss involved exist only for very
recent years.
OFHEO's definition only includes defaults that occurred within 10
years after origination, which facilitated comparisons of data from
different origination years. Although OFHEO could have estimated
lifetime default rates for all groups of loans, that approach would
have required assumptions and extrapolations. It would be unlikely to
yield a different benchmark experience because the data indicate that
the vast majority of mortgage defaults occur within 10 years of
origination. Further, a 10-year rate is
[[Page 29603]]
consistent with the 10-year time span of the stress test.
All commenters who addressed the issue supported OFHEO's general
approach to defining default. OFHEO agreed with the thrust of all these
comments, which were concerned with avoiding counting as ``defaults''
loans that are brought current or rehabilitated without loss to the
Enterprises.
ACB would have adjusted OFHEO's definition of default to account
for the effects of loss mitigation, because foreclosure is not the only
outcome under which the Enterprises may suffer loss. OFHEO agrees with
this comment. However, as noted above, comprehensive information on
most types of loss mitigation is unavailable in the historical data
available to OFHEO.
6. Definitions of ``Severity Rate'' and ``Losses''
For any group of defaulted loans, the ``severity rate'' was defined
as the aggregate losses on those loans divided by the aggregate
original principal balance of all loans in the group. OFHEO defined
``losses'' on defaulted loans in categories 1, 2, or 3 of the
definition of defaulted loans as the difference between: (1) The sum of
the principal and interest owed when the borrower lost title to the
property securing the mortgage; REO financing costs 40 through the
date of property disposition; and cash expenses incurred during the
foreclosure process, REO holding period, and property liquidation
process; and (2) the sum of the property sales price and any other
liquidation proceeds (except those resulting from private mortgage
insurance proceeds or other third-party credit enhancements). Losses on
defaulted loans not in categories 1, 2, or 3 of the definition were
defined as the amount of the financial loss to the Enterprise.
---------------------------------------------------------------------------
\40\ The financing costs associated with properties acquired
through foreclosure from the time of foreclosure through property
disposition were calculated using the average from 1982 through 1992
of the 12-month Federal Agency constant maturity yield computed by
Bank of America.
---------------------------------------------------------------------------
This definition is consistent with industry practice. Duff &
Phelps, Moody's, and S&P include all of these items in their respective
definitions of severity. Proceeds from mortgage insurance are sometimes
included; however, as discussed below, OFHEO did not include mortgage
insurance proceeds for purposes of determining the benchmark loss
experience.41 Some accounting definitions of loss do not include
lost interest on the loans or REO financing costs because these costs
are reflected elsewhere in a company's financial statements. OFHEO
determined that its definition better reflects the economic losses on
defaulted loans and is, therefore, more appropriate.
---------------------------------------------------------------------------
\41\ See, e.g., Duff & Phelps, The Rating of Residential
Mortgage-Backed Securities, Oct. 1995, at 18; Moody's, Moody's
Approach to Rating Residential Mortgage Pass-Throughs, Structured
Finance Research and Commentary: Special Report (1995), at 9, 13;
and S&P, Residential Mortgages: Criteria, Statistics, Credit Week,
Oct. 25, 1993, at 18.
---------------------------------------------------------------------------
Consistent with the calculation of default rate discussed above,
OFHEO calculated severity rate as a percentage of the original balance,
rather than the balance at the LPI date of the defaulted loans. Loss
rates are the product of the default and severity rates. Because the
balances of defaulted loans appear in the numerator of default rate
calculations and in the denominator of severity rate calculations,
errors in measuring those balances will tend to be offsetting when the
two rates are multiplied in the calculation of loss rates. If it were
possible, it would have been more accurate to use balances of defaulted
loans at LPI date for both rates, but using original balances for both
should have little effect on loss rates.
Fannie Mae's ANPR comment suggested that OFHEO should define
``losses'' to incorporate the proceeds of mortgage insurance. OFHEO is
proposing to exclude the impact of mortgage insurance and other third-
party credit enhancements from consideration in identifying the
benchmark loss experience because the 1992 Act requires OFHEO to
identify the highest credit losses on mortgages, not the highest net
credit losses to the Enterprises. Moreover, third-party sources of
credit support vary in scope, terms and type of coverage, and can
change (and have changed) over time. OFHEO intends to propose in the
second NPR how the stress test will take into account the impact of
third-party credit enhancements on mortgage losses.
7. Definition of ``Contiguous Areas''
The 1992 Act requires that the benchmark loss experience must have
``occurred in contiguous areas of the United States containing an
aggregate of not less than 5 percent of the total population of the
United States * * *.'' 42 In determining the appropriate level of
geographic aggregation to employ in identifying the benchmark area,
OFHEO considered using entire states or using substate areas based on
the first two or three digits of ZIP Codes. After considering the
various options, OFHEO decided to use states as the lowest level of
aggregation. OFHEO will consider using substate areas in the future,
taking into account changing geographic patterns of loss as well as any
new developments in data aggregation technology, if appropriate.
---------------------------------------------------------------------------
\42\ Section 1361(a)(1) (12 U.S.C. 4611 (a)(1)).
---------------------------------------------------------------------------
OFHEO found that states are the most logical, efficient, and
reasonable geographic units from which to construct a benchmark area.
Although rating agencies conduct studies at various levels of
aggregation, analysis at the state level is common practice. For
example, Moody's has established diversification criteria for loan
pools based on loan distribution by state, and, in stress tests, both
Moody's and Duff & Phelps have projected mean times to foreclosure
based on state locations.43
---------------------------------------------------------------------------
\43\ Duff & Phelps, The Rating of Residential Mortgage-Backed
Securities, Oct. 1995, at 31; and Moody's, Moody's Approach to
Rating Residential Mortgage Pass-Throughs, Structured Finance
Research and Commentary: Special Report (1995), at 19.
---------------------------------------------------------------------------
The level of geographic aggregation has a significant impact on the
level of potential benchmark loss rates. In general, the smaller the
geographic units used, the higher the loss rates that can be
identified. By connecting pockets of severe losses with narrow parcels
of land, OFHEO could create an area with extremely high loss rates.
However, such a result is not consistent with the intent of the
legislation, which envisioned that the benchmark area would be
``reasonably compact.'' 44 Furthermore, use of areas defined by
ZIP Code would have greatly complicated the process of identifying the
benchmark area by enormously increasing the number of candidates
requiring consideration.
---------------------------------------------------------------------------
\44\ S. Rep. No. 282, at 20.
---------------------------------------------------------------------------
Commenters who addressed this issue unanimously supported the use
of states as the smallest geographic unit in the benchmark analysis.
MBA suggested that a contiguous area based on smaller units could look
``gerrymandered'' and that ``[f]inding the exact combination [of
counties and metropolitan statistical areas] to produce the most severe
loss results * * * should not be the goal.'' Freddie Mac observed that
``using finer geographic areas [than states] would present significant
computational difficulties in aggregating to five percent of the
population.''
8. Procedures for Accounting for Different LTV Ratios
LTV ratios are highly correlated with mortgage losses. Therefore,
the different distributions of LTV ratios in candidate state/year
combinations have an impact
[[Page 29604]]
on the relative loss rates of those candidates. In the ANPR, OFHEO
suggested it would consider grouping loans by LTV ratio, computing
separate default or loss rates for loans in each LTV range, and
computing overall default or loss rates by assuming some standard
distribution of LTV ratios and weighting the LTV-specific loss rates
according to this distribution. After further evaluation, OFHEO has
decided to compute loss rates for candidates on a dollar weighted
basis, that is, based on loan balances without regard to LTV ratios.
OFHEO selected the simpler approach for three reasons. First, in
many candidate state/year combinations there are too few loans in some
LTV ranges for meaningful analysis. Second, OFHEO has found no
acceptable basis to justify using any specific LTV weights to identify
the benchmark loss experience. Finally, weighting loss rates by LTV
category would be inconsistent with the intent of the 1992 Act that
OFHEO determine the worst actual mortgage loss experience. Although the
effects on mortgage losses of different LTV distributions are not
controlled for in the identification of the benchmark loss experience,
those effects will be accounted for in the stress test.
Fannie Mae commented that in comparing candidates, loss rates
``should be constructed from LTV-specific default and severity rates,
weighted by the proportions of loans outstanding in the current book of
business.'' The rationale for this approach is that, because
distributions of LTV ratios at origination in candidate state/year
combinations will differ from the Enterprises' current LTV
distribution, loss rates of candidates should be normalized (weighted
by the current book of business) to provide the most relevant measure
of risk exposure.
For the reasons discussed above, OFHEO believes Fannie Mae's
suggested weighting approach is inappropriate in the benchmark
analysis. Further, because LTV distributions change constantly and
changing LTV weightings will alter loss figures for candidate state/
year combinations, Fannie Mae's approach would necessitate the frequent
reconsideration of candidates, increasing the unpredictability and
regulatory burden of the risk-based capital regulation.
9. Procedures for Combining Data from Different States and Years in
Computing Default and Severity Rates
In computing default and severity rates for specific candidate
state/year combinations, OFHEO treated loans from different states and
different origination years within that combination equally, producing
a single aggregate default rate and a single aggregate severity rate
for each Enterprise. OFHEO adopted this approach because it is a
straightforward and simple way to derive aggregate default and severity
rates. Moreover, the Enterprise data sets, especially in the early
1980s, are not sufficiently complete to reflect accurately the
distribution by origination year and state of Enterprise purchases of
loans. OFHEO's approach more accurately reflects the actual loss
experience of loans owned or guaranteed by the Enterprises in candidate
state/year combinations than other approaches OFHEO considered.
Fannie Mae recommended that OFHEO calculate state-level loss rates
and that ``benchmark loss rates * * * be built by constructing
population-weighted averages of state loss rates * * * to meet the five
percent or greater standard.'' Freddie Mac also suggested this
approach, and stated that ``[t]his method would appropriately weight
economic events rather than emphasizing an Enterprise's market share in
each state during the relevant time period.'' Freddie Mac recommended
extending this approach by calculating separate state loss rates for
each origination year and averaging them for each state before
population weighting the resulting average state loss rates.
OFHEO disagrees that the appropriate goal in identifying the
benchmark loss experience is to reflect the underlying economic
circumstances on a population- and time-weighted basis. Rather, OFHEO
believes it is appropriate to reflect the actual loss experience of a
relevant group of mortgages. The 1992 Act specifies that the benchmark
loss experience should be identified based on the highest rates of
loss, not the highest rates that would have occurred if loans had been
distributed across states according to population and evenly across
origination years. Enterprise purchases are not made evenly on a per
capita basis, and some years have much higher levels of mortgage
lending than others. OFHEO, therefore, has no basis to conclude that
population weighting and annual averaging would yield accurate
estimates of either Enterprise's default or severity rates for
candidate state/year combinations.
Furthermore, population weighting and averaging across origination
years would place heavy reliance on very small amounts of data from
some states for some years. Freddie Mac suggested that OFHEO should
``[e]stablish a minimum acceptable number of observations or dollar
volume for each state/origination-year combination for each Enterprise,
to ensure that there are sufficient data from which to make valid
inferences * * *. '' Although such an approach would address Freddie
Mac's concern, it would do so at the cost of eliminating large portions
of the available data set, sharply restricting the range of state/year
combinations that could be considered. Instead, OFHEO considered the
available data from less populous states, and avoided placing undue
emphasis on small loan samples by pooling data from all states and
origination years of a candidate before calculating default and
severity rates.
10. Procedures for Combining Default and Severity Rates of the Two
Enterprises
OFHEO calculated the default and severity rates for each Enterprise
separately for candidate state/year combinations, then averaged the
results. The proposed methodology takes account of the significant
differences in the mortgage loan purchases of the two Enterprises in
the early 1980s, which are reflected in their respective data sets. The
loans in each data set differ by predominant purpose of purchase
(securitization or portfolio holding), mix of lender types (such as
thrifts or mortgage banks), geographic distributions, and default rates
(Fannie Mae's were consistently higher in that period). These
differences reflect historical differences in the business strategies,
customers, and markets of the Enterprises.
Since the early 1980s, the Enterprises' business activities,
markets, and credit risk profiles have become more similar. For
example, during that time, Fannie Mae primarily bought loans and held
them in portfolio, while Freddie Mac securitized all but a few loans it
purchased. Currently, both Enterprises have extensive portfolio
investments in mortgages and also guarantee an even larger volume of
securities backed by mortgages.
In OFHEO's judgment, each of the two data sets constitutes an
equally relevant historical experience. Merging the data of the two
Enterprises without averaging would cause the experience of one or the
other Enterprise's loans to dominate the resulting combined loan sample
for many candidates. The proposed methodology avoids that result by
giving equal weight to the two equally relevant experiences.
Both Freddie Mac and Fannie Mae suggested that OFHEO base the
selection of the benchmark loss experience on a simple average of the
[[Page 29605]]
two Enterprises' experiences. Fannie Mae stated that ``loss rates
should equal the average of Fannie Mae and Freddie Mac experience.''
Freddie Mac agreed, stating that ``[t]aking the simple average of the
historical experience of the [Enterprises] would help smooth such
institutional differences, thereby emphasizing the macroeconomic
aspects of historical experience.''
In its comment, HUD stated that ``[t]he language of Section
1361(a)(1) [of the 1992 Act] seems to constrain OFHEO to using
historical weights based on the [Enterprises'] respective market shares
in averaging Fannie [Mae] and Freddie [Mac] default rates.'' As
discussed above, OFHEO believes an equal weighting of the two
Enterprises' default and severity rates experiences is more appropriate
at this time. Enterprise historical data from the late 1970s and early
1980s do not provide an accurate estimate of the relative number of
single-family FRMs actually purchased or guaranteed by each Enterprise
from specific origination years or geographic areas (including the
nation as a whole). Therefore, market share weighting using that data
would be difficult and imprecise.
The 1992 Act provides broad discretion to the Director to use any
reasonable weighting or averaging method in the identification of the
benchmark loss experience.45 The proposed approach, which gives
equal weight to the default and severity experience of each
Enterprise's loans in identifying the benchmark loss experience, is
within the Director's discretion. Loss data for loans originating in
more recent years than those in the currently identified benchmark loss
experience have been and should continue to be more complete. As OFHEO
monitors future data, it will consider whether the new data would
provide a basis for a different method of weighting, such as market
share weighting. In the event an alternative method of weighting is
appropriate, OFHEO would propose an amendment to the regulation to
incorporate that different methodology.
---------------------------------------------------------------------------
\45\ Section 1361(a)(1) (12 U.S.C. 4611(a)(1)).
---------------------------------------------------------------------------
11. Number of Origination Years in the Benchmark Loss Experience
The 1992 Act requires the identification of a benchmark loss
experience with the highest loss rate on mortgage loans, consistent
with the relevant statutory requirements, including the requirement
that the period be at least 2 years. The benchmark loss experience
should include more than 2 origination years only if the candidate with
the highest loss rate covers more than 2 origination years. OFHEO
evaluated potential benchmark areas over 2-, 3-, and 4-origination year
periods. The candidate state/year combination with the highest mortgage
loss rate, the proposed benchmark loss experience, is based on loans
originated during a 2-year period.
Fannie Mae suggested that more than 2 origination years should be
used, presumably to lower the benchmark loss rate, if the shorter
period would ``push prices outside the range that the market would
accept * * *.'' Presumably, ``prices'' refers to the guarantee fees the
Enterprises charge and the prices they pay for mortgages. OFHEO does
not believe Fannie Mae's suggestion is consistent with the requirements
of the 1992 Act. Furthermore, the proposed benchmark loss experience is
consistent with the establishment of an appropriate risk-based capital
standard.
Highest Loss Rates Among Candidate State/Year Combinations
--------------------------------------------------------------------------------------------------------------------------------------------------------
Percent of Freddie Fannie Freddie Fannie
Rank Time period Region U.S. Mac Mae Average Mac Mae Average Loss
population severity severity severity default default default rate
--------------------------------------------------------------------------------------------------------------------------------------------------------
1.... 1983/1984 AR, LA, MS, OK.................................... 5.29 60.94 65.58 63.26 11.28 18.54 14.91 9.43
2.... 1981/1982 IA, ID, ND, NE, OR, SD, UT, WY.................... 5.00 56.86 59.18 58.02 9.71 22.06 15.88 9.22
3.... 1981/1982 IA, ID, MT, ND, NE, OR, UT, WY.................... 5.05 56.86 59.20 58.03 9.39 22.00 15.69 9.11
4.... 1983/1984 IA, KS, MT, ND, NE, OK, WY........................ 5.09 63.25 64.52 63.89 8.92 19.53 14.23 9.09
5.... 1981/1982 IA, ID, MT, ND, NE, OR, SD, UT, WY................ 5.35 56.86 59.20 58.03 9.33 21.91 15.62 9.07
6.... 1981/1982 IA, ID, MT, NE, OR, SD, UT, WY.................... 5.06 56.86 59.13 57.99 9.23 21.90 15.56 9.03
7.... 1983/1984 IA, KS, ND, NE, OK, SD, WY........................ 5.04 63.10 64.55 63.83 8.95 19.33 14.14 9.03
8.... 1982/1984 AR, LA, MS, OK.................................... 5.31 60.23 65.78 63.00 11.34 16.95 14.14 8.91
9.... 1982/1984 IA, KS, MT, ND, NE, OK, WY........................ 5.20 62.50 65.45 63.97 8.99 18.69 13.84 8.85
10... 1982/1984 IA, KS, ND, NE, OK, SD, WY........................ 5.16 62.38 65.47 63.93 9.04 18.58 13.81 8.83
11... 1981/1984 AR, LA, MS, OK.................................... 5.31 60.52 65.28 62.90 11.16 16.46 13.81 8.69
12... 1981/1984 IA, KS, MT, ND, NE, OK, WY........................ 5.20 62.36 65.68 64.02 8.86 18.27 13.56 8.68
13... 1981/1984 IA, KS, ND, NE, OK, SD, WY........................ 5.16 62.25 65.71 63.98 8.91 18.20 13.55 8.67
14... 1981/1982 IA, KS, ND, NE, OK, SD, UT, WY.................... 5.80 60.43 66.06 63.25 9.96 17.46 13.71 8.67
15... 1981/1982 IA, KS, NE, OK, UT, WY............................ 5.21 60.43 66.06 63.25 9.94 17.47 13.70 8.67
16... 1981/1982 AR, KS, ND, NE, OK, SD, UT, WY.................... 5.53 60.51 66.23 63.37 10.05 17.29 13.67 8.66
17... 1981/1982 IA, KS, NE, OK, SD, UT, WY........................ 5.52 60.43 66.06 63.25 9.90 17.44 13.67 8.65
18... 1981/1982 AR, KS, NE, OK, SD, UT, WY........................ 5.24 60.51 66.24 63.37 10.00 17.27 13.64 8.64
19... 1982/1983 IA, KS, ND, NE, OK, SD, WY........................ 5.16 58.61 64.84 61.72 9.40 18.59 13.99 8.64
20... 1982/1983 IA,KS, MT, ND, NE, OK, WY......................... 5.20 58.55 64.83 61.69 9.29 18.66 13.98 8.62
21... 1981/1982 AR, KS, MT, ND, NE, OK, UT, WY.................... 5.57 60.51 66.19 63.35 9.88 17.30 13.59 8.61
22... 1981/1982 AR, IA, KS, ND, NE, OK, SD, UT, WY................ 6.81 60.51 66.20 63.36 9.88 17.28 13.58 8.60
23... 1981/1982 AR, IA, KS, NE, OK, UT, WY........................ 6.22 60.51 66.21 63.36 9.86 17.29 13.58 8.60
24... 1981/1982 IA, KS, MT, ND, NE, OK, SD, UT, WY................ 6.15 60.43 66.02 63.22 9.76 17.44 13.60 8.60
[[Page 29606]]
25... 1981/1982 IA, KS, MT, NE, OK, UT, WY........................ 5.56 60.43 66.02 63.23 9.74 17.45 13.59 8.59
26... 1981/1982 AR, KS, MT, ND, NE, OK, SD, UT, WY................ 5.87 60.51 66.19 63.35 9.85 17.27 13.56 8.59
27... 1982/1983 AR, LA, MS, OK.................................... 5.31 57.93 63.59 60.76 11.93 16.34 14.13 8.59
28... 1981/1982 AR, KS, MT, NE, OK, UT, WY........................ 5.28 60.51 66.19 63.35 9.83 17.28 13.56 8.59
29... 1981/1982 AR, IA, KS, NE, OK, SD, UT, WY.................... 6.52 60.51 66.21 63.36 9.83 17.26 13.55 8.58
30... 1981/1982 IA, KS, MT, NE, OK, SD, UT, WY.................... 5.86 60.43 66.02 63.23 9.71 17.42 13.56 8.58
31... 1981/1982 AR, KS, MT, NE, OK, SD, UT, WY.................... 5.59 60.51 66.19 63.35 9.80 17.25 13.53 8.57
32... 1982/1983 AR, KS, ND, NE, OK, SD, UT, WY.................... 5.53 60.11 63.70 61.91 9.78 17.87 13.83 8.56
33... 1981/1982 AR, IA, KS, MT, ND, NE, OK, UT, WY................ 6.86 60.51 66.16 63.33 9.72 17.29 13.51 8.55
34... 1982/1983 AR, KS, MT, ND, NE, OK, UT, WY.................... 5.57 60.05 63.70 61.87 9.68 17.94 13.81 8.54
35... 1981/1982 AR, IA, KS, MT, ND, NE, OK, SD, UT, WY............ 7.16 60.51 66.16 63.33 9.70 17.26 13.48 8.54
36... 1982/1983 AR, KS, NE, OK, SD, UT, WY........................ 5.24 60.11 63.69 61.90 9.71 17.86 13.79 8.53
37... 1981/1982 AR, IA, KS, MT, NE, OK, UT, WY.................... 6.57 60.51 66.16 63.34 9.67 17.27 13.47 8.53
38... 1982/1983 AR, KS, MT, ND, NE, OK, SD, UT, WY................ 5.87 60.05 63.70 61.87 9.68 17.88 13.78 8.53
39... 1982/1983 AR, KS, MT, NE, OK, UT, WY........................ 5.28 60.05 63.68 61.87 9.61 17.92 13.77 8.52
40... 1981/1982 AR, IA, KS, MT, NE, OK, SD, UT, WY................ 6.87 60.51 66.16 63.34 9.65 17.24 13.44 8.51
41... 1982/1983 AR, AZ, ND, NM, OK, SD, UT, WY.................... 5.56 60.72 62.56 61.64 9.66 17.94 13.80 8.51
42... 1982/1983 AR, KS, MT, NE, OK, SD, UT, WY.................... 5.59 60.05 63.68 61.87 9.62 17.87 13.74 8.50
43... 1982/1983 AR, AZ, MT, ND, NM, OK, UT, WY.................... 5.61 60.65 62.56 61.61 9.56 18.00 13.78 8.49
44... 1981/1982 IA, ID, KS, NE, OK, UT, WY........................ 5.63 59.45 65.70 62.58 9.84 17.28 13.56 8.49
45... 1982/1983 IA, KS, ND, NE, OK, SD, UT, WY.................... 5.80 60.09 63.86 61.98 9.34 18.04 13.69 8.49
46... 1980/1982 IA, ID, ND, NE, OR, SD, UT, WY.................... 5.00 55.21 56.97 56.09 10.01 20.24 15.13 8.49
47... 1981/1982 AR, ID, KS, NE, OK, UT, WY........................ 5.35 59.54 65.87 62.70 9.93 17.12 13.53 8.48
48... 1982/1983 AR, AZ, NM, OK, SD, UT, WY........................ 5.28 60.72 62.55 61.63 9.59 17.93 13.76 8.48
49... 1981/1983 IA, KS, ND, NE, OK, SD, WY........................ 5.16 58.69 65.23 61.96 9.20 18.17 13.69 8.48
50... 1981/1982 ID, KS, MT, ND, NE, OK, SD, UT, WY................ 5.28 59.45 65.68 62.57 9.84 17.26 13.55 8.48
51... 1982/1983 IA, KS, NE, OK, UT, WY............................ 5.21 60.09 63.85 61.97 9.27 18.08 13.67 8.47
52... 1980/1981 IA, ID, ND, NE, OR, SD, UT, WY.................... 5.00 51.85 55.66 53.75 10.79 20.70 15.75 8.46
53... 1982/1983 AR, AZ, MT, NM, OK, UT, WY........................ 5.32 60.65 62.54 61.60 9.49 17.99 13.74 8.46
54... 1981/1983 IA, KS, MT, ND, NE, OK, WY........................ 5.20 58.64 65.21 61.92 9.10 18.22 13.66 8.46
55... 1982/1983 IA, KS, NE, OK, SD, UT, WY........................ 5.52 60.09 63.85 61.97 9.27 18.03 13.65 8.46
56... 1982/1983 IA, KS, MT, ND, NE, OK, SD, UT, WY................ 6.15 60.03 63.85 61.94 9.25 18.06 13.65 8.46
57... 1982/1983 AR, AZ, MT, NM, OK, SD, UT, WY.................... 5.62 60.65 62.54 61.60 9.49 17.94 13.72 8.45
58... 1982/1983 IA, KS, MT, NE, OK, UT, WY........................ 5.56 60.03 63.84 61.93 9.18 18.09 13.64 8.45
59... 1981/1983 AR, KS, ND, NE, OK, SD, UT, WY.................... 5.53 58.90 64.06 61.48 9.74 17.73 13.74 8.44
60... 1982/1983 AZ, ND, NE, NM, OK, SD, UT, WY.................... 5.25 60.67 62.70 61.69 9.54 17.83 13.69 8.44
61... 1981/1983 AR, LA, MS, OK.................................... 5.31 58.55 63.51 61.03 11.67 15.98 13.83 8.44
62... 1982/1983 IA, KS, MT, NE, OK, SD, UT, WY.................... 5.86 60.03 63.84 61.93 9.19 18.04 13.61 8.43
63... 1982/1983 AZ, IA, ND, NM, OK, SD, UT, WY.................... 5.84 60.70 62.69 61.69 9.23 18.09 13.66 8.43
64... 1982/1983 AZ, MT, ND, NE, NM, OK, UT, WY.................... 5.29 60.60 62.70 61.65 9.44 17.89 13.67 8.42
65... 1981/1982 ID, KS, ND, NE, OK, OR, SD, UT, WY................ 6.10 59.44 65.18 62.31 9.69 17.35 13.52 8.42
66... 1981/1983 AR, KS, MT, ND, NE, OK, UT, WY.................... 5.57 58.85 64.04 61.45 9.64 17.78 13.71 8.42
1981/1982 ID, KS, NE, OK, OR, UT, WY........................ 5.50 59.44 65.18 62.31 9.67 17.36 13.52 8.42
68... 1981/1983 AR, KS, NE, OK, SD, UT, WY........................ 5.24 58.90 64.04 61.47 9.68 17.72 13.70 8.42
69... 1981/1983 AR, KS, MT, ND, NE, OK, SD, UT, WY................ 5.87 58.85 64.04 61.45 9.64 17.73 13.68 8.41
70... 1981/1982 AR, KS, LA, ND, NE, OK, SD, UT, WY................ 7.38 58.28 64.99 61.64 10.50 16.78 13.64 8.41
71... 1981/1982 ID, KS, NE, OK, OR, SD, UT, WY.................... 5.81 59.44 65.18 62.31 9.65 17.33 13.49 8.40
72... 1981/1982 AR, KS, LA, NE, OK, UT, WY........................ 6.79 58.28 64.99 61.63 10.48 16.78 13.63 8.40
73... 1982/1983 AZ, IA, NM, OK, SD, UT, WY........................ 5.55 60.70 62.67 61.68 9.16 18.08 13.62 8.40
74... 1982/1983 AZ, IA, MT, ND, NM, OK, SD, UT, WY................ 6.19 60.63 62.68 61.66 9.15 18.10 13.63 8.40
75... 1982/1983 AZ, MT, NE, NM, OK, UT, WY........................ 5.00 60.60 62.68 61.64 9.38 17.88 13.63 8.40
76... 1981/1983 AR, KS, MT, NE, OK, UT, WY........................ 5.28 58.85 64.03 61.44 9.58 17.76 13.67 8.40
77... 1981/1982 AZ, IA, ND, NM, OK, SD, UT, WY.................... 5.84 61.09 63.52 62.30 9.04 17.92 13.48 8.40
[[Page 29607]]
78... 1981/1982 AR, AZ, ND, NM, OK, SD, UT, WY.................... 5.56 61.16 63.66 62.41 9.12 17.79 13.45 8.39
79... 1981/1982 AR, KS, LA, NE, OK, SD, UT, WY.................... 7.09 58.28 64.99 61.63 10.45 16.76 13.61 8.39
80... 1982/1983 AZ, MT, NE, NM, OK, SD, UT, WY.................... 5.31 60.60 62.68 61.64 9.38 17.83 13.61 8.39
81... 1981/1983 AR, KS, MT, NE, OK, SD, UT, WY.................... 5.59 58.85 64.03 61.44 9.58 17.72 13.65 8.38
82... 1981/1982 ID, KS, MT, ND, NE, OK, OR, UT, WY................ 6.14 59.44 65.15 62.29 9.56 17.35 13.45 8.38
83... 1981/1983 IA, KS, ND, NE, OK, SD, UT, WY.................... 5.80 58.89 64.22 61.55 9.33 17.90 13.61 8.38
84... 1981/1982 AZ, IA, NM, OK, SD, UT, WY........................ 5.55 61.09 63.51 62.30 8.99 17.91 13.45 8.38
85... 1982/1983 AZ, IA, MT, NM, OK, SD, UT, WY.................... 5.90 60.63 62.67 61.65 9.08 18.09 13.59 8.38
86... 1981/1982 AR, AZ, NM, OK, SD, UT, WY........................ 5.28 61.16 63.66 62.41 9.07 17.77 13.42 8.37
87... 1981/1982 IA, ID, KS, NE, OK, OR, UT, WY.................... 6.79 59.44 65.17 62.31 9.53 17.35 13.44 8.37
88... 1981/1982 AR, ID, KS, ND, NE, OK, OR, SD, UT, WY............ 7.11 59.52 65.34 62.43 9.63 17.19 13.41 8.37
89... 1981/1983 IA, KS, NE, OK, UT, WY............................ 5.21 58.89 64.21 61.55 9.27 17.93 13.60 8.37
90... 1981/1982
AR, ID, KS, NE, OK, OR, UT, WY........................ 6.51 59.52 65.34 62.43 9.61 17.20 13.40 8.37
91... 1981/1982 ID, KS, MT, ND, NE, OK, OR, SD, UT, WY............ 6.44 59.44 65.15 62.29 9.53 17.33 13.43 8.37
92... 1982/1983 AR, IA, KS, ND, NE, OK, SD, UT, WY................ 6.81 60.15 63.63 61.89 9.22 17.80 13.51 8.36
93... 1981/1982 ID, KS, MT, NE, OK, OR, UT, WY.................... 5.85 59.44 65.15 62.29 9.51 17.34 13.42 8.36
94... 1981/1982 AR, KS, LA, MT, ND, NE, OK, UT, WY................ 7.43 58.28 64.97 61.63 10.34 16.78 13.56 8.36
95... 1982/1983 ID, KS, MT, ND, NE, OK, SD, UT, WY................ 5.28 58.40 63.82 61.11 9.72 17.63 13.67 8.36
96... 1981/1982 AR, AZ, MT, ND, NM, OK, UT, WY.................... 5.61 61.16 63.64 62.40 8.99 17.79 13.39 8.36
97... 1981/1983 IA, KS, NE, OK, SD, UT, WY........................ 5.52 58.89 64.21 61.55 9.27 17.88 13.57 8.35
98... 1981/1982 AR, IA, KS, LA, NE, OK, UT, WY.................... 8.08 58.28 64.98 61.63 10.33 16.78 13.56 8.35
99... 1982/1983 AR, IA, KS, MT, ND, NE, OK, UT, WY................ 6.86 60.09 63.62 61.85 9.14 17.86 13.50 8.35
100.. 1982/1983 AR, IA, KS, NE, OK, UT, WY........................ 6.22 60.15 63.61 61.88 9.15 17.84 13.49 8.35
101.. 1981/1982 AR, AZ, IA, ND, NM, OK, SD, UT, WY................ 6.85 61.16 63.68 62.42 8.99 17.77 13.38 8.35
102.. 1981/1983 IA, KS, MT, ND, NE, OK, SD, UT, WY................ 6.15 58.84 64.20 61.52 9.24 17.90 13.57 8.35
103.. 1981/1982 AR, KS, LA, MT, ND, NE, OK, SD, UT, WY............ 7.73 58.28 64.97 61.63 10.31 16.77 13.54 8.34
104.. 1981/1982 AZ, IA, MT, ND, NM, OK, SD, UT, WY................ 6.19 61.09 63.50 62.30 8.89 17.90 13.39 8.34
105.. 1981/1982 AR, KS, LA, MT, NE, OK, UT, WY.................... 7.14 58.28 64.97 61.62 10.30 16.77 13.54 8.34
106.. 1981/1982 AR, IA, KS, LA, NE, OK, SD, UT, WY................ 8.38 58.28 64.98 61.63 10.30 16.77 13.53 8.34
107.. 1981/1983 IA, KS, MT, NE, OK, UT, WY........................ 5.56 58.84 64.19 61.52 9.18 17.93 13.55 8.34
108.. 1982/1983 AR, IA, KS, MT, ND, NE, OK, SD, UT, WY............ 7.16 60.09 63.62 61.85 9.14 17.81 13.48 8.34
109.. 1981/1982 IA, ID, KS, MT, ND, NE, OK, OR, UT, WY............ 7.42 59.44 65.14 62.29 9.42 17.34 13.38 8.34
110.. 1982/1983 AR, IA, KS, NE, OK, SD, UT, WY.................... 6.52 60.15 63.61 61.88 9.16 17.78 13.47 8.34
111.. 1981/1982 AR, AZ, MT, NM, OK, UT, WY........................ 5.32 61.16 63.64 62.40 8.94 17.77 13.36 8.34
112.. 1981/1983 AR, AZ, ND, NM, OK, SD, UT, WY.................... 5.56 59.13 62.52 60.83 9.48 17.92 13.70 8.33
113.. 1981/1982 AR, AZ, IA, NM, OK, SD, UT, WY.................... 6.56 61.16 63.67 62.41 8.94 17.75 13.35 8.33
114.. 1981/1982 AR, ID, KS, MT, ND, NE, OK, OR, UT, WY............ 7.15 59.52 65.31 62.42 9.50 17.19 13.35 8.33
115.. 1981/1982 AR, KS, LA, MT, NE, OK, SD, UT, WY................ 7.44 58.28 64.97 61.62 10.27 16.75 13.51 8.33
116.. 1981/1982 IA, KS, ND, NE, OK, SD, WY........................ 5.16 60.54 66.92 63.73 8.72 17.42 13.07 8.33
117.. 1981/1982 AR, IA, ID, KS, ND, NE, OK, OR, SD, UT, WY........ 8.39 59.52 65.33 62.43 9.50 17.18 13.34 8.33
118.. 1982/1983 AZ, ID, MT, ND, NM, OK, UT, WY.................... 5.01 59.02 62.65 60.84 9.59 17.78 13.69 8.33
119.. 1982/1983 AR, IA, KS, MT, NE, OK, UT, WY.................... 6.57 60.09 63.60 61.85 9.07 17.85 13.46 8.32
120.. 1981/1982 AZ, IA, MT, NM, OK, SD, UT, WY.................... 5.90 61.09 63.50 62.29 8.84 17.88 13.36 8.32
121.. 1981/1983 IA, KS, MT, NE, OK, SD, UT, WY.................... 5.86 58.84 64.19 61.52 9.18 17.88 13.53 8.32
122.. 1982/1983 AR, AZ, IA, ND, NM, OK, SD, UT, WY................ 6.85 60.75 62.51 61.63 9.12 17.88 13.50 8.32
[[Page 29608]]
123.. 1981/1982 AR, AZ, MT, NM, OK, SD, UT, WY.................... 5.62 61.16 63.64 62.40 8.92 17.75 13.33 8.32
124.. 1981/1982 IA, ID, KS, MT, ND, NE, OK, OR, SD, UT, WY........ 7.73 59.44 65.14 62.29 9.40 17.32 13.36 8.32
125.. 1982/1983 AR, AZ, NE, NM, OK, UT, WY........................ 5.66 60.72 62.51 61.62 9.34 17.66 13.50 8.32
126.. 1981/1982 IA, ID, KS, MT, NE, OK, OR, UT, WY................ 7.14 59.44 65.14 62.29 9.38 17.32 13.35 8.32
127.. 1980/1982 IA, ID, MT, ND, NE, OR, UT, WY.................... 5.05 55.09 57.02 56.06 9.51 20.16 14.83 8.32
128.. 1981/1982 AR, ID, KS, MT, ND, NE, OK, OR, SD, UT, WY........ 7.45 59.52 65.31 62.42 9.47 17.17 13.32 8.31
129.. 1981/1983 AR, AZ, MT, ND, NM, OK, UT, WY.................... 5.61 59.09 62.51 60.80 9.39 17.95 13.67 8.31
130.. 1982/1983 AZ, ID, MT, ND, NM, OK, SD, UT, WY................ 5.32 59.02 62.65 60.84 9.60 17.73 13.67 8.31
131.. 1981/1982 AR, ID, KS, MT, NE, OK, OR, UT, WY................ 6.86 59.52 65.31 62.41 9.45 17.18 13.31 8.31
132.. 1982/1983 AR, IA, KS, MT, NE, OK, SD, UT, WY................ 6.87 60.09 63.60 61.85 9.08 17.80 13.44 8.31
133.. 1981/1983 AR, AZ, NM, OK, SD, UT, WY........................ 5.28 59.13 62.51 60.82 9.42 17.90 13.66 8.31
134.. 1981/1982 AZ, ND, NE, NM, OK, SD, UT, WY.................... 5.25 61.15 63.44 62.30 9.01 17.67 13.34 8.31
135.. 1981/1982 AR, IA, ID, KS, NE, OK, OR, SD, UT, WY............ 8.10 59.52 65.33 62.43 9.45 17.16 13.31 8.31
136.. 1982/1983 AZ, MS, ND, NM, OK, SD, UT, WY.................... 5.67 59.83 62.34 61.09 9.47 17.71 13.59 8.30
137.. 1981/1982 IA, ID, KS, MT, NE, OK, OR, SD, UT, WY............ 7.44 59.44 65.14 62.29 9.35 17.30 13.33 8.30
138.. 1981/1982 AR, AZ, IA, MT, ND, NM, OK, SD, UT, WY............ 7.20 61.16 63.66 62.41 8.84 17.75 13.30 8.30
139.. 1982/1983 AR, AZ, IA, MT, ND, NM, OK, SD, UT, WY............ 7.20 60.68 62.51 61.59 9.05 17.89 13.47 8.30
140.. 1982/1983 AR, AZ, IA, NM, OK, SD, UT, WY.................... 6.56 60.75 62.50 61.62 9.06 17.87 13.46 8.30
141.. 1981/1983 AR, AZ, MT, NM, OK, UT, WY........................ 5.32 59.09 62.50 60.79 9.33 17.94 13.64 8.29
142.. 1981/1983 ID, KS, MT, ND, NE, OK, SD, UT, WY................ 5.28 57.48 64.03 60.76 9.67 17.62 13.64 8.29
143.. 1982/1983 AZ, ID, MT, NM, OK, SD, UT, WY.................... 5.03 59.02 62.64 60.83 9.53 17.72 13.63 8.29
144.. 1980/1982 IA, ID, MT, ND, NE, OR, SD, UT, WY................ 5.35 55.09 57.02 56.06 9.48 20.09 14.78 8.29
145.. 1982/1983 AZ, MS, MT, ND, NM, OK, UT, WY.................... 5.71 59.78 62.34 61.06 9.38 17.76 13.57 8.29
146.. 1981/1982 AR, IA, ID, KS, MT, ND, NE, OK, OR, UT, WY........ 8.43 59.52 65.29 62.41 9.37 17.19 13.28 8.29
147.. 1981/1982 IA, KS, MT, ND, NE, OK, WY........................ 5.20 60.54 66.87 63.70 8.57 17.42 12.99 8.28
148.. 1981/1983 AR, AZ, MT, NM, OK, SD, UT, WY.................... 5.62 59.09 62.50 60.79 9.33 17.90 13.62 8.28
149.. 1981/1982 AR, AZ, IA, MT, NM, OK, SD, UT, WY................ 6.91 61.16 63.65 62.41 8.80 17.73 13.27 8.28
150.. 1982/1983 AZ, MS, NM, OK, SD, UT, WY........................ 5.38 59.83 62.33 61.08 9.41 17.69 13.55 8.28
151.. 1981/1982 AR, IA, ID, KS, MT, ND, NE, OK, OR, SD, UT, WY.... 8.74 59.52 65.29 62.41 9.35 17.16 13.25 8.27
152.. 1981/1983 AR, IA, KS, ND, NE, OK, SD, UT, WY................ 6.81 58.94 64.05 61.50 9.21 17.68 13.45 8.27
153.. 1980/1981 IA, ID, MT, ND, NE, OR, UT, WY.................... 5.05 51.74 55.73 53.73 10.22 20.57 15.39 8.27
154.. 1982/1983 AR, AZ, IA, MT, NM, OK, SD, UT, WY................ 6.91 60.68 62.49 61.59 8.98 17.88 13.43 8.27
155.. 1981/1982 AZ, MT, ND, NE, NM, OK, UT, WY.................... 5.29 61.15 63.43 62.29 8.88 17.67 13.28 8.27
156.. 1980/1983 IA, KS, ND, NE, OK, SD, WY........................ 5.16 57.74 64.56 61.15 9.26 17.78 13.52 8.27
157.. 1981/1983 AZ, IA, ND, NM, OK, SD, UT, WY.................... 5.84 59.12 62.64 60.88 9.11 18.05 13.58 8.27
158.. 1981/1982 AR, IA, ID, KS, MT, NE, OK, OR, UT, WY............ 8.15 59.52 65.29 62.41 9.33 17.17 13.25 8.27
159.. 1981/1982 AZ, IA, ND, NE, NM, OK, SD, UT, WY................ 6.54 61.15 63.46 62.30 8.88 17.65 13.27 8.27
160.. 1981/1983 AZ, ND, NE, NM, OK, SD, UT, WY.................... 5.25 59.12 62.56 60.84 9.36 17.80 13.58 8.26
161.. 1982/1983 AZ, MS, MT, NM, OK, UT, WY........................ 5.42 59.78 62.32 61.05 9.32 17.75 13.53 8.26
162.. 1982/1983 AZ, IA, ND, NE, NM, OK, SD, UT, WY................ 6.54 60.70 62.65 61.67 9.02 17.77 13.40 8.26
163.. 1981/1983 AR, IA, KS, NE, OK, UT, WY........................ 6.22 58.94 64.04 61.49 9.15 17.71 13.43 8.26
[[Page 29609]]
164.. 1981/1982 AZ, IA, NE, NM, OK, UT, WY........................ 5.94 61.15 63.45 62.30 8.86 17.66 13.26 8.26
165.. 1981/1982 AR, AZ, NE, NM, OK, UT, WY........................ 5.66 61.22 63.60 62.41 8.93 17.53 13.23 8.26
166.. 1981/1983 AR, IA, KS, MT, ND, NE, OK, UT, WY................ 6.86 58.90 64.03 61.47 9.13 17.73 13.43 8.26
167.. 1982/1983 AR, ID, KS, NE, OK, UT, WY........................ 5.35 58.51 63.58 61.05 9.62 17.42 13.52 8.25
168.. 1981/1982 AZ, ID, MT, ND, NM, OK, UT, WY.................... 5.01 60.10 63.25 61.68 9.00 17.77 13.38 8.25
169.. 1982/1984 IA, KS, NE, OK, UT, WY............................ 5.21 60.49 64.45 62.47 8.53 17.90 13.21 8.25
170.. 1981/1982 AZ, MT, NE, NM, OK, UT, WY........................ 5.00 61.15 63.42 62.28 8.83 17.66 13.25 8.25
171.. 1982/1983 AZ, MS, MT, NM, OK, SD, UT, WY.................... 5.73 59.78 62.32 61.05 9.32 17.70 13.51 8.25
172.. 1982/1983 AZ, IA, NE, NM, OK, UT, WY........................ 5.94 60.70 62.63 61.67 8.95 17.80 13.38 8.25
173.. 1982/1984 IA, KS, ND, NE, OK, SD, UT, WY.................... 5.80 60.41 64.47 62.44 8.60 17.82 13.21 8.25
174.. 1981/1983 AR, IA, KS, NE, OK, SD, UT, WY.................... 6.52 58.94 64.04 61.49 9.15 17.67 13.41 8.25
175.. 1980/1982 IA, ID, MT, NE, OR, SD, UT, WY.................... 5.06 55.22 9.34 56.09 9.34 20.07 14.70 8.25
176.. 1981/1982 AZ, LA, ND, NM, OK, SD, UT, WY.................... 6.41 58.76 63.42 61.09 9.70 17.30 13.50 8.25
177.. 1981/1982 AZ, IA, NE, NM, OK, SD, UT, WY.................... 6.25 61.15 63.45 62.30 8.83 17.64 13.23 8.25
178.. 1981/1983 AZ, IA, NM, OK, SD, UT, WY........................ 5.55 59.12 62.63 60.87 9.04 18.04 13.54 8.24
179.. 1982/1984 IA, KS, MT, NE, OK, UT, WY........................ 5.56 60.54 64.44 62.49 8.49 17.90 13.19 8.24
180.. 1980/1981 IA, ID, MT, ND, NE, OR, SD, UT, WY................ 5.35 51.74 55.73 53.73 10.18 20.50 15.34 8.24
181.. 1981/1983 AZ, MT, ND, NE, NM, OK, UT, WY.................... 5.29 59.07 62.55 60.81 9.28 17.84 13.56 8.24
182.. 1981/1982 AR, AZ, ID, NM, OK, UT, WY........................ 5.39 60.18 63.42 61.80 9.04 17.63 13.34 8.24
183.. 1981/1983 AR, IA, KS, MT, ND, NE, OK, SD, UT, WY............ 7.16 58.90 64.03 61.47 9.13 17.68 13.41 8.24
184.. 1981/1983 AZ, IA, MT, ND, NM, OK, SD, UT, WY................ 6.19 59.08 62.63 60.85 9.03 18.05 13.54 8.24
185.. 1981/1982 AZ, ID, MT, ND, NM, OK, SD, UT, WY................ 5.32 60.10 63.25 61.68 8.97 17.74 13.36 8.24
186.. 1982/1984 IA, KS, MT, ND, NE, OK, SD, UT, WY................ 6.15 60.46 64.46 62.46 8.56 17.81 13.19 8.24
187.. 1983/1984 AR, AZ, LA, NM, OK................................ 6.15 59.53 64.60 62.07 9.23 17.31 13.27 8.24
188.. 1982/1983 AZ, IA, NE, NM, OK, SD, UT, WY.................... 6.25 60.70 62.63 61.67 8.95 17.76 13.36 8.24
189.. 1981/1982 AZ, MT, NE, NM, OK, SD, UT, WY.................... 5.31 61.15 63.42 62.28 8.81 17.63 13.22 8.24
190.. 1982/1984 AR, KS, MT, ND, NE, OK, UT, WY.................... 5.57 60.01 64.36 62.18 8.83 17.65 13.24 8.23
191.. 1981/1983 AR, IA, KS, MT, NE, OK, UT, WY.................... 6.57 58.90 64.02 61.46 9.07 17.71 13.39 8.23
192.. 1981/1982 AZ, IA, ID, NM, OK, SD, UT, WY.................... 5.97 60.10 63.28 61.69 8.95 17.73 13.34 8.23
193.. 1981/1982 AZ, LA, NM, OK, SD, UT, WY........................ 6.12 58.76 63.42 61.09 9.66 17.28 13.47 8.23
194.. 1981/1982 AR, KS, MS, ND, NE, OK, SD, UT, WY................ 6.64 59.80 65.04 62.42 9.41 16.94 13.18 8.23
195.. 1982/1983 AZ, IA, MT, NE, NM, OK, UT, WY.................... 6.29 60.63 62.63 61.63 8.88 17.81 13.34 8.22
196.. 1982/1983 AR, AZ, ID, NM, OK, UT, WY........................ 5.39 59.13 62.46 60.80 9.50 17.56 13.53 8.22
197.. 1981/1982 AR, KS, MS, NE, OK, UT, WY........................ 6.05 59.80 65.04 62.42 9.39 16.95 13.17 8.22
198.. 1982/1983 AR, KS, MS, ND, NE, OK, SD, UT, WY................ 6.64 59.29 63.22 61.26 9.47 17.37 13.42 8.22
199.. 1981/1982 AZ, ID, MT, NM, OK, SD, UT, WY.................... 5.03 60.10 63.25 61.67 8.92 17.73 13.33 8.22
200.. 1981/1983 AZ, MT, NE, NM, OK, UT, WY........................ 5.00 59.07 62.54 60.81 9.21 17.82 13.52 8.22
201.. 1982/1984 IA, KS, NE, OK, SD, UT, WY........................ 5.52 60.42 64.46 62.44 8.53 17.80 13.16 8.22
202.. 1980/1983 IA, KS, MT, ND, NE, OK, WY........................ 5.20 57.64 64.54 61.09 9.10 17.81 13.45 8.22
203.. 1981/1983 AR, IA, KS, MT, NE, OK, SD, UT, WY................ 6.87 58.90 64.02 61.46 9.07 17.67 13.37 8.22
204.. 1981/1983 AZ, IA, MT, NM, OK, SD, UT, WY.................... 5.90 59.08 62.62 60.85 8.97 18.04 13.50 8.22
205.. 1981/1982 AR, AZ, IA, NE, NM, OK, UT, WY.................... 6.95 61.22 63.61 62.42 8.81 17.52 13.16 8.22
206.. 1980/1981 IA, ID, MT, NE, OR, SD, UT, WY.................... 5.06 51.82 55.73 53.77 10.06 20.49 15.28 8.21
207.. 1982/1983 AZ, IA, MT, NE, NM, OK, SD, UT, WY................ 6.59 60.63 62.63 61.63 8.88 17.77 13.32 8.21
208.. 1981/1982 AR, AZ, LA, ND, NM, OK, SD, UT, WY................ 7.42 58.84 63.53 61.18 9.64 17.20 13.42 8.21
209.. 1982/1984 AR, KS, ND, NE, OK, SD, UT, WY.................... 5.53 59.88 64.38 62.13 8.87 17.56 13.21 8.21
210.. 1982/1984 IA, KS, MT, NE, OK, SD, UT, WY.................... 5.86 60.47 64.45 62.46 8.49 17.80 13.14 8.21
211.. 1981/1982 AZ, ID, ND, NM, OK, OR, SD, UT, WY................ 6.13 60.07 62.92 61.50 8.90 17.80 13.35 8.21
212.. 1981/1982 AZ, IA, MT, NE, NM, OK, UT, WY.................... 6.29 61.15 63.44 62.29 8.72 17.64 13.18 8.21
213.. 1982/1983 AR, KS, MS, NE, OK, UT, WY........................ 6.05 59.29 63.20 61.25 9.40 17.41 13.40 8.21
214.. 1982/1983 AR, KS, MS, MT, ND, NE, OK, UT, WY................ 6.68 59.24 63.21 61.22 9.38 17.44 13.41 8.21
215.. 1981/1983 AZ, MT, NE, NM, OK, SD, UT, WY.................... 5.31 59.07 62.54 60.81 9.21 17.78 13.50 8.21
[[Page 29610]]
216.. 1981/1982 AZ, LA, MT, ND, NM, OK, UT, WY.................... 6.45 58.76 63.41 61.09 9.57 17.30 13.44 8.21
217.. 1981/1982 AR, AZ, LA, NM, OK, UT, WY........................ 6.83 58.84 63.52 61.18 9.63 17.20 13.41 8.21
218.. 1981/1982 AZ, ID, NM, OK, OR, UT, WY........................ 5.54 60.07 62.91 61.49 8.88 17.81 13.34 8.21
219.. 1981/1983 AR, ID, KS, NE, OK, UT, WY........................ 5.35 57.57 63.87 60.72 9.58 17.44 13.51 8.20
220.. 1982/1984 AR, KS, MT, NE, OK, UT, WY........................ 5.28 60.01 64.35 62.18 8.75 17.64 13.19 8.20
221.. 1981/1982 AR, KS, MS, NE, OK, SD,UT WY...................... 6.35 59.80 65.04 62.42 9.36 16.92 13.14 8.20
222.. 1981/1983 AZ ID, MT, ND, NM, OK, UT, WY..................... 5.01 57.75 62.49 60.12 9.43 17.86 13.64 8.20
223.. 1982/1984 AR, KS, MT, ND, NE, OK, SD, UT, WY................ 5.87 59.94 64.37 62.16 8.82 17.56 13.19 8.20
224.. 1982/1983 AZ, LA, ND, NM, OK, SD, UT, WY.................... 6.41 59.21 62.16 60.68 10.02 17.00 13.51 8.20
225.. 1981/1984 IA, KS, NE, OK, UT, WY........................... 5.21 59.73 64.67 62.20 8.56 17.81 13.18 8.20
226.. 1981/1984 IA, KS, ND, NE, OK, SD, UT, WY.................... 5.80 59.67 64.69 62.18 8.62 17.74 13.18 8.20
227.. 1981/1982 AR, AZ, LA, NM, OK, SD, UT, WY.................... 7.13 58.84 63.52 61.18 9.60 17.19 13.40 8.20
228.. 1981/1982 AZ, IA, MT, NE, NM, OK, SD, UT, WY................ 6.59 61.15 63.44 62.29 8.69 17.62 13.16 8.19
229.. 1982/1983 AR, KS, MS, MT, ND, NE, OK, SD, UT, WY............ 6.99 59.24 63.21 61.22 9.38 17.39 13.38 8.19
230.. 1982/1983 AR, KS, MS, NE, OK, SD, UT, WY.................... 6.35 59.29 63.20 61.25 9.40 17.36 13.38 8.19
231.. 1981/1982 AZ, ID, NM, OK, OR, SD, UT, WY.................... 5.85 60.07 62.91 61.49 8.86 17.79 13.32 8.19
232.. 1981/1982 AZ, LA, MT, NM, OK, UT, WY........................ 6.17 58.76 63.41 61.09 9.53 17.29 13.41 8.19
233.. 1981/1982 AZ, IA, LA, NM, OK, SD, UT, WY.................... 7.41 58.76 63.43 61.10 9.53 17.28 13.40 8.19
234.. 1981/1983 AZ, ID, MT, ND, NM, OK, SD, UT, WY................ 5.32 57.75 62.49 60.12 9.42 17.82 13.62 8.19
235.. 1982/1983 AR, AZ, MS, NM, OK, UT, WY........................ 6.08 59.89 62.16 61.02 9.29 17.54 13.41 8.19
236.. 1981/1984 IA, KS, MT, NE, OK, UT, WY........................ 5.56 59.78 64.65 62.22 8.52 17.80 13.16 8.19
237.. 1981/1984 IA, KS, MT, ND, NE, OK, SD, UT, WY................ 6.15 59.72 64.67 62.20 8.58 17.73 13.16 8.18
238.. 1981/1982 AR, KS, MS, MT, ND, NE, OK, UT, WY................ 6.68 59.80 65.01 62.41 9.28 16.95 13.11 8.18
239.. 1982/1983 AZ, LA, MT, ND, NM, OK, UT, WY.................... 6.45 59.16 62.15 60.66 9.94 17.04 13.49 8.18
240.. 1982/1983 IA, ID, KS, NE, OK, UT, WY........................ 5.63 58.50 63.74 61.12 9.19 17.58 13.39 8.18
241.. 1982/1983 AR, KS, MS, MT, NE, OK, UT, WY.................... 6.39 59.24 63.20 61.22 9.31 17.42 13.37 8.18
242.. 1982/1984 AR, KS, NE, OK, SD, UT, WY........................ 5.24 59.89 64.37 62.13 8.79 17.55 13.17 8.18
243.. 1982/1983 AZ, LA, NM, OK, SD, UT, WY........................ 6.12 59.21 62.14 60.68 9.97 16.99 13.48 8.18
244.. 1981/1984 AR, KS, MT, ND, NE, OK, UT, WY.................... 5.57 59.28 64.55 61.91 8.84 17.58 13.21 8.18
245.. 1981/1983 AR, AZ, IA, ND, NM, OK, SD, UT, WY................ 6.85 59.18 62.53 60.85 9.00 17.87 13.44 8.18
246.. 1981/1982 AR, IA, KS, MS, NE, OK, UT, WY.................... 7.33 59.80 65.03 62.42 9.25 16.95 13.10 8.18
247.. 1981/1982 AZ, ID, MT, ND, NM, OK, OR, UT, WY................ 6.18 60.07 62.91 61.49 8.79 17.80 13.30 8.18
248.. 1982/1983 AZ, ID, ND, NE, NM, OK, SD, UT, WY................ 5.67 59.07 62.62 60.84 9.45 17.42 13.44 8.18
249.. 1981/1982 AR, AZ, LA, MT, ND, NM, OK, UT, WY................ 7.46 58.84 63.52 61.18 9.52 17.20 13.36 8.17
250.. 1981/1982 AR, AZ, IA, LA, ND, NM, OK, SD, UT, WY............ 8.71 58.84 63.54 61.19 9.52 17.19 13.36 8.17
251.. 1982/1984 AR, KS, MT, NE, OK, SD, UT, WY.................... 5.59 59.94 64.36 62.15 8.75 17.55 13.15 8.17
252.. 1981/1984 IA, KS, NE ,OK, SD, UT, WY........................ 5.52 59.67 64.68 62.17 8.55 17.73 13.14 8.17
253.. 1981/1982 AR, AZ, ID, ND, NM, OK, OR, SD, UT, WY............ 7.14 60.15 63.08 61.62 8.86 17.66 13.26 8.17
254.. 1981/1982 AR, KS, MS, MT, ND, NE, OK, SD, UT, WY............ 6.99 59.80 65.01 62.41 9.25 16.92 13.09 8.17
255.. 1981/1983 AZ, ID, MT, NM, OK, SD, UT, WY.................... 5.03 57.75 62.48 60.12 9.36 17.81 13.58 8.17
256.. 1981/1982 AR, AZ, ID, NM, OK, OR, UT, WY.................... 6.55 60.15 63.08 61.61 8.84 17.67 13.25 8.17
257.. 1981/1984 AR, KS, ND, NE, OK, SD, UT, WY.................... 5.53 59.16 64.58 61.87 8.88 17.51 13.20 8.16
258.. 1981/1983 ID, KS, ND, NE, OK, OR, SD, UT, WY................ 6.10 57.08 63.70 60.39 9.57 17.47 13.52 8.16
259.. 1981/1982 AZ, ID, ND, NE, NM, OK, SD, UT, WY................ 5.67 60.16 63.21 61.69 8.96 17.51 13.23 8.16
260.. 1981/1982 AR, AZ, LA, MT, ND, NM, OK, SD, UT, WY............ 7.77 58.84 63.52 61.18 9.50 17.19 13.34 8.16
261.. 1982/1983 AZ, LA, MT, NM, OK, UT, WY........................ 6.17 59.16 62.14 60.65 9.89 17.03 13.46 8.16
262.. 1981/1982 AR, KS, MS, MT, NE, OK, UT, WY.................... 6.39 59.80 65.01 62.40 9.23 16.93 13.08 8.16
263.. 1982/1983 AZ, ID, NE, NM, OK, UT, WY........................ 5.07 59.07 62.60 60.84 9.38 17.45 13.42 8.16
264.. 1981/1983 AR, AZ, NE, NM, OK, UT, WY........................ 5.66 59.17 62.44 60.81 9.19 17.65 13.42 8.16
265.. 1981/1982 AR, AZ, LA, MT, NM, OK, UT, WY.................... 7.18 58.84 63.51 61.18 9.48 17.19 13.34 8.16
266.. 1981/1982 AZ, ID, NE, NM, OK, UT, WY........................ 5.07 60.16 63.20 61.68 8.94 17.51 13.23 8.16
[[Page 29611]]
267.. 1981/1982 AR, AZ, IA, LA, NM, OK, SD, UT, WY................ 8.42 58.84 63.53 61.19 9.48 17.18 13.33 8.16
268.. 1981/1984 IA, KS, MT, NE, OK, SD, UT, WY.................... 5.86 59.72 64.66 62.19 8.51 17.72 13.12 8.16
269.. 1983/1984 IA, KS, MT, NE, OK, UT, WY........................ 5.50 59.42 63.35 61.38 8.26 18.31 13.29 8.15
270.. 1981/1983 ID, KS, NE, OK, OR, UT, WY........................ 5.50 57.08 63.69 60.38 9.51 17.50 13.50 8.15
271.. 1981/1983 AR, AZ, IA, NM, OK, SD, UT, WY.................... 6.56 59.18 62.52 60.85 8.94 17.86 13.40 8.15
272.. 1981/1983 AR, AZ, IA, MT, ND, NM, OK, SD, UT, WY............ 7.20 59.13 62.52 60.83 8.93 17.87 13.40 8.15
273.. 1981/1984 AR, KS, MT, NE, OK, UT, WY........................ 5.28 59.27 64.54 61.91 8.76 17.57 13.17 8.15
274.. 1981/1984 AR, KS, MT, ND, NE, OK, SD, UT, WY................ 5.87 59.22 64.56 61.89 8.83 17.51 13.17 8.15
275.. 1982/1983 AZ, ID, NE, NM, OK, SD, UT, WY.................... 5.38 59.07 62.60 60.84 9.39 17.41 13.40 8.15
276.. 1982/1983 ID, KS, ND, NE, OK, OR, SD, UT, WY................ 6.10 58.08 63.58 60.83 9.60 17.19 13.40 8.15
277.. 1982/1983 AZ, ID, MT, ND, NE, NM, OK, SD, UT, WY............ 6.01 59.02 62.61 60.82 9.37 17.43 13.40 8.15
278.. 1983/1984 IA, KS, NE, OK, UT, WY............................ 5.15 59.33 63.35 61.34 8.27 18.30 13.28 8.15
279.. 1981/1983 ID, KS, MT, ND, NE, OK, OR, UT, WY................ 6.14 57.05 63.69 60.37 9.48 17.51 13.50 8.15
280.. 1982/1983 AR, AZ, IA, NE, NM, OK, UT, WY.................... 6.95 60.75 62.46 61.60 8.85 17.60 13.23 8.15
281.. 1981/1983 AZ, MS, ND, NM, OK, SD, UT, WY.................... 5.67 58.59 62.05 60.32 9.31 17.69 13.50 8.15
282.. 1981/1982 AZ, ID, NE, NM, OK, SD, UT, WY.................... 5.38 60.16 63.20 61.68 8.91 17.49 13.20 8.14
283.. 1981/1982 IA, ID, MT, ND, NV, OR, SD, UT, WY................ 5.01 53.95 54.79 54.37 8.45 21.51 14.98 8.14
284.. 1981/1983 IA, ID, KS, NE, OK, UT, WY........................ 5.63 57.57 64.03 60.80 9.19 17.60 13.39 8.14
285.. 1981/1983 ID, KS, NE, OK, OR, SD, UT, WY.................... 5.81 57.08 63.69 60.38 9.51 17.45 13.48 8.14
286.. 1981/1982 AZ, LA, NE, NM, OK, UT, WY........................ 6.51 58.82 63.38 61.10 9.53 17.12 13.32 8.14
287.. 1982/1983 AZ, IA, ID, NM, OK, SD, UT, WY.................... 5.97 59.12 62.59 60.85 9.10 17.65 13.37 8.14
288.. 1981/1982 AR, AZ, ID, MT, ND, NM, OK, OR, UT, WY............ 7.19 60.15 63.07 61.61 8.75 17.66 13.21 8.14
289.. 1982/1983 ID, KS, NE, OK, OR, UT, WY........................ 5.50 58.08 63.57 60.82 9.54 17.22 13.38 8.14
290.. 1982/1983 ID, KS, MT, ND, NE, OK, OR, UT, WY................ 6.14 58.04 63.57 60.81 9.51 17.25 13.38 8.14
291.. 1981/1984 AR, KS, NE, OK, SD, UT, WY........................ 5.24 59.15 64.57 61.86 8.81 17.50 13.15 8.14
292.. 1982/1983 AZ, ID, MT, NE, NM, OK, UT, WY.................... 5.42 59.02 62.60 60.81 9.30 17.46 13.38 8.14
293.. 1981/1983 AZ, LA, ND, NM, OK, SD, UT, WY.................... 6.41 58.07 62.15 60.11 9.84 17.22 13.53 8.13
294.. 1981/1983 ID, KS, MT, ND, NE, OK, OR, SD, UT, WY............ 6.44 57.05 63.69 60.37 9.48 17.47 13.48 8.13
295.. 1981/1982 AR, AZ, IA, ID, ND, NM, OK, OR, SD, UT, WY........ 8.43 60.15 63.10 61.63 8.75 17.65 13.20 8.13
296.. 1983/1984 IA, KS, MT, ND, NE, OK, SD, UT, WY................ 6.07 59.33 63.39 61.36 8.34 18.17 13.25 8.13
297.. 1982/1983 AZ, ID, ND, NM, OK, OR, SD, UT, WY................ 6.13 58.69 62.47 60.58 9.49 17.35 13.42 8.13
298.. 1981/1982 AZ, LA, NE, NM, OK, SD, UT, WY.................... 6.82 58.82 63.38 61.10 9.50 17.10 13.30 8.13
299.. 1981/1982 AZ, ID, LA, NM, OK, UT, WY........................ 6.24 57.99 63.27 60.63 9.62 17.20 13.41 8.13
300.. 1981/1983 AZ, MS, MT, ND, NM, OK, UT, WY.................... 5.71 58.55 62.04 60.30 9.23 17.73 13.48 8.13
301.. 1982/1983 AR, AZ, NM, NV, OK, UT, WY........................ 5.32 59.63 61.70 60.67 9.10 17.70 13.40 8.13
302.. 1981/1983 AR, AZ, IA, MT, NM, OK, SD, UT, WY................ 6.91 59.13 62.51 60.82 8.87 17.86 13.36 8.13
303.. 1981/1982 AR, AZ, IA, LA, MT, ND, NM, OK, SD, UT, WY........ 9.06 58.84 63.53 61.18 9.38 17.18 13.28 8.13
304.. 1982/1983 AZ, MS, NE, NM, OK, UT, WY........................ 5.77 59.83 62.29 61.06 9.18 17.43 13.31 8.13
305.. 1983/1984 IA, KS, ND, NE, OK, SD, UT, WY.................... 5.73 59.24 63.39 61.32 8.35 18.15 13.25 8.13
306.. 1981/1982 AR, AZ, ID, MT, ND, NM, OK, OR, SD, UT, WY........ 7.49 60.15 63.07 61.61 8.73 17.64 13.19 8.12
307.. 1981/1983 ID, KS, MT, NE, OK, OR, UT, WY.................... 5.85 57.05 63.68 60.36 9.42 17.50 13.46 8.12
308.. 1981/1983 AR, KS, MS, ND, NE, OK, SD, UT, WY................ 6.64 58.40 63.31 60.86 9.43 17.27 13.35 8.12
309.. 1982/1983 ID, KS, NE, OK, OR, SD, UT, WY.................... 5.81 58.08 63.57 60.82 9.54 17.17 13.36 8.12
310.. 1982/1983 ID, KS, MT, ND, NE, OK, OR, SD, UT, WY............ 6.44 58.04 63.57 60.81 9.52 17.20 13.36 8.12
311.. 1982/1983 AR, AZ, LA, ND, NM, OK, SD, UT, WY................ 7.42 59.26 62.04 60.65 9.91 16.87 13.39 8.12
312.. 1981/1984 AR, KS, MT, NE, OK, SD, UT, WY.................... 5.59 59.21 64.56 61.88 8.76 17.49 13.13 8.12
313.. 1981/1983 AZ, MS, NM, OK, SD, UT, WY........................ 5.38 58.59 62.04 60.31 9.26 17.68 13.47 8.12
314.. 1982/1983 AR, CO, ND, OK, SD, UT, WY........................ 5.07 59.32 62.38 60.85 9.44 17.26 13.35 8.12
[[Page 29612]]
315.. 1981/1982 AR, AZ, ID, MT, NM, OK, OR, UT, WY................ 6.90 60.15 63.06 61.61 8.71 17.65 13.18 8.12
316.. 1981/1982 AZ, IA, ID, NE, NM, OK, UT, WY.................... 6.36 60.16 63.22 61.69 8.82 17.50 13.16 8.12
317.. 1981/1983 AR, AZ, ID, NM, OK, UT, WY........................ 5.39 57.85 62.38 60.11 9.34 17.67 13.51 8.12
318.. 1982/1983 AZ, ID, NM, OK, OR, UT, WY........................ 5.54 58.69 62.45 60.57 9.43 17.38 13.40 8.12
319.. 1982/1983 AZ, ID, MT, ND, NM, OK, OR, UT, WY................ 6.18 58.65 62.46 60.55 9.41 17.40 13.41 8.12
320.. 1981/1983 AZ, LA, MT, ND, NM, OK, UT, WY.................... 6.45 58.04 62.15 60.09 9.76 17.25 13.51 8.12
321.. 1981/1983 AZ, LA, NM, OK, SD, UT, WY........................ 6.12 58.07 62.15 60.11 9.80 17.21 13.50 8.12
322.. 1983/1984 AR, KS, LA, MT, ND, NE, OK, UT, WY................ 7.42 59.14 63.99 61.57 8.92 17.44 13.18 8.11
323.. 1982/1983 AZ, MS, NE, NM, OK, SD, UT, WY.................... 6.07 59.83 62.29 61.06 9.19 17.39 13.29 8.11
324.. 1982/1983 AR, KS, LA, ND, NE, OK, SD, UT, WY................ 7.38 58.73 62.73 60.73 10.02 16.70 13.36 8.11
325.. 1981/1982 AZ, ID, MT, ND, NE, NM, OK, SD, UT, WY............ 6.01 60.16 63.19 61.68 8.82 17.49 13.16 8.11
326.. 1981/1983 AR, KS, MS, NE, OK, UT, WY........................ 6.05 58.40 63.30 60.85 9.37 17.30 13.33 8.11
327.. 1980/1983 AR, KS, ND, NE, OK, SD, UT, WY.................... 5.53 57.40 63.11 60.26 9.68 17.24 13.46 8.11
328.. 1982/1983 AR, AZ, LA, NM, OK, UT, WY........................ 6.83 59.26 62.03 60.64 9.86 16.89 13.38 8.11
329.. 1982/1983 ID, KS, MT, NE, OK, OR, UT, WY.................... 5.85 58.04 63.56 60.80 9.45 17.23 13.34 8.11
330.. 1981/1983 AZ, IA, ND, NE, NM, OK, SD, UT, WY................ 6.54 59.16 62.57 60.86 8.90 17.76 13.33 8.11
331.. 1981/1982 AZ, ID, MT, NE, NM, OK, UT, WY.................... 5.42 60.16 63.19 61.67 8.80 17.50 13.15 8.11
332.. 1981/1983 AR, KS, MS, MT, ND, NE, OK, UT, WY................ 6.68 58.36 63.30 60.83 9.34 17.32 13.33 8.11
333.. 1982/1983 AR, AZ, LA, MT, ND, NM, OK, UT, WY................ 7.46 59.21 62.04 60.63 9.83 16.91 13.37 8.11
334.. 1982/1983 AZ, ID, NM, OK, OR, SD, UT, WY.................... 5.85 58.69 62.45 60.57 9.43 17.34 13.38 8.11
335.. 1981/1983 AR, KS, LA, ND, NE, OK, SD, UT, WY................ 7.38 57.89 62.99 60.44 9.95 16.87 13.41 8.11
336.. 1981/1983 AZ, MS, MT, NM, OK, UT, WY........................ 5.42 58.55 62.03 60.29 9.17 17.72 13.44 8.11
337.. 1983/1984 IA, KS, MT, NE, OK, SD, UT, WY.................... 5.79 59.33 63.37 61.35 8.26 18.16 13.21 8.10
338.. 1982/1983 AR, AZ, MT, NM, NV, OK, UT, WY.................... 5.67 59.58 61.70 60.64 9.02 17.71 13.36 8.10
339.. 1982/1983 AR, AZ, LA, NM, OK, SD, UT, WY.................... 7.13 59.26 62.03 60.64 9.86 16.86 13.36 8.10
340.. 1981/1982 AZ, IA, LA, NE, NM, OK, UT, WY.................... 7.80 58.82 63.39 61.11 9.41 17.12 13.26 8.10
341.. 1982/1983 AR, KS, LA, NE, OK, UT, WY........................ 6.79 58.73 62.72 60.72 9.97 16.72 13.34 8.10
342.. 1982/1983 AZ, MS, MT, NE, NM, OK, UT, WY.................... 6.12 59.78 62.29 61.03 9.11 17.45 13.28 8.10
343.. 1982/1984 AR, KS, LA, MT, ND, NE, OK, UT, WY................ 7.43 59.36 64.65 62.00 9.17 16.96 13.06 8.10
344.. 1981/1983 AR, KS, MS, NE, OK, SD, UT, WY.................... 6.35 58.40 63.30 60.85 9.37 17.26 13.31 8.10
345.. 1981/1983 AZ, IA, NE, NM, OK, UT, WY........................ 5.94 59.16 62.55 60.86 8.83 17.78 13.31 8.10
346.. 1982/1983 AR, AZ, LA, MT, ND, NM, OK, SD, UT, WY............ 7.77 59.21 62.04 60.63 9.83 16.88 13.36 8.10
347.. 1981/1983 AZ, LA, MT, NM, OK, UT, WY........................ 6.17 58.04 62.14 60.09 9.72 17.24 13.48 8.10
348.. 1982/1983 AR, KS, LA, MT, ND, NE, OK, UT, WY................ 7.43 58.68 62.72 60.70 9.94 16.75 13.34 8.10
349.. 1983/1984 IA, KS, NE, OK, SD, UT, WY........................ 5.44 59.24 63.37 61.31 8.27 18.14 13.21 8.10
350.. 1982/1984 AR, IA, KS, MT, ND, NE, OK, UT, WY................ 6.86 60.35 64.26 62.31 8.40 17.60 13.00 8.10
351.. 1981/1983 AR, KS, LA, NE, OK, UT, WY........................ 6.79 57.89 62.98 60.44 9.91 16.89 13.40 8.10
352.. 1981/1983 AR, KS, MS, MT, ND, NE, OK, SD, UT, WY............ 6.99 58.36 63.30 60.83 9.34 17.27 13.31 8.10
353.. 1981/1983 AZ, MS, MT, NM, OK, SD, UT, WY.................... 5.73 58.55 62.03 60.29 9.17 17.68 13.43 8.09
354.. 1982/1983 AR, KS, LA, NE, OK, SD, UT, WY.................... 7.09 58.73 62.72 60.72 9.97 16.69 13.33 8.09
355.. 1983/1984 AR, KS, LA, MT, NE, OK, UT, WY.................... 7.14 59.14 63.99 61.56 8.86 17.43 13.15 8.09
356.. 1981/1982 AZ, LA, MT, NE, NM, OK, UT, WY.................... 6.86 58.82 63.37 61.09 9.39 17.11 13.25 8.09
357.. 1983/1984 AR, KS, LA, NE, OK, UT, WY........................ 6.79 59.06 63.99 61.52 8.88 17.42 13.15 8.09
358.. 1982/1983 AR, KS, LA, MT, ND, NE, OK, SD, UT, WY............ 7.73 58.68 62.72 60.70 9.94 16.71 13.33 8.09
359.. 1982/1984 AR, KS, LA, NE, OK, UT, WY........................ 6.79 59.31 64.65 61.98 9.15 16.95 13.05 8.09
360.. 1982/1984 AR, KS, LA, ND, NE, OK, SD, UT, WY................ 7.38 59.26 64.66 61.96 9.21 16.90 13.05 8.09
361.. 1981/1983 AR, KS, LA, MT, ND, NE, OK, UT, WY................ 7.43 57.85 62.99 60.42 9.87 16.90 13.39 8.09
362.. 1980/1983 AR, KS, NE, OK, SD, UT, WY........................ 5.24 57.48 63.09 60.29 9.60 17.23 13.41 8.09
[[Page 29613]]
363.. 1981/1983 AZ, IA, NE, NM, OK, SD, UT, WY.................... 6.25 59.16 62.55 60.86 8.83 17.74 13.29 8.09
364.. 1982/1983 AR, AZ, LA, MT, NM, OK, UT, WY.................... 7.18 59.21 62.02 60.62 9.78 16.90 13.34 8.09
365.. 1981/1982 AZ, MS, ND, NM, OK, SD, UT, WY.................... 5.67 60.35 62.69 61.52 8.67 17.62 13.15 8.09
366.. 1981/1983 AR, KS, LA, NE, OK, SD, UT, WY.................... 7.09 57.89 62.98 60.44 9.90 16.86 13.38 8.09
367.. 1981/1982 AZ, ID, NE, NM, OK, OR, UT, WY.................... 6.23 60.14 62.86 61.50 8.74 17.56 13.15 8.09
368.. 1981/1983 AR, KS, MS, MT, NE, OK, UT, WY.................... 6.39 58.36 63.29 60.82 9.28 17.30 13.29 8.08
369.. 1981/1983 AZ, ID, ND, NM, OK, OR, SD, UT, WY................ 6.13 57.36 62.24 59.80 9.34 17.69 13.52 8.08
370.. 1983/1984 AR, KS, LA, MT, ND, NE, OK, SD, UT, WY............ 7.72 59.07 64.01 61.54 8.92 17.35 13.13 8.08
371.. 1983/1984 AR, KS, MT, ND, NE, OK, UT, WY.................... 5.57 58.54 62.99 60.77 8.60 17.99 13.30 8.08
372.. 1982/1984 AR, KS, LA, MT, NE, OK, UT, WY.................... 7.14 59.36 64.64 62.00 9.11 16.95 13.03 8.08
373.. 1982/1984 AR, KS, LA, MT, ND, NE, OK, SD, UT, WY............ 7.73 59.31 64.66 61.98 9.17 16.90 13.03 8.08
374.. 1983/1984 AR, KS, LA, ND, NE, OK, SD, UT, WY................ 7.37 59.00 64.01 61.50 8.94 17.34 13.14 8.08
375.. 1980/1982 IA, KS, ND, NE, OK, SD, UT, WY.................... 5.80 58.14 64.10 61.12 9.75 16.68 13.22 8.08
376.. 1981/1983 AR, KS, LA, MT, ND, NE, OK, SD, UT, WY............ 7.73 57.85 62.99 60.42 9.87 16.87 13.37 8.08
377.. 1982/1983 AR, KS, LA, MT, NE, OK, UT, WY.................... 7.14 58.68 62.71 60.70 9.88 16.73 13.31 8.08
378.. 1981/1984 AR, KS, LA, MT, ND, NE, OK, UT, WY................ 7.43 58.84 64.49 61.66 9.15 17.05 13.10 8.08
379.. 1982/1984 AR, IA, KS, NE, OK, UT, WY........................ 6.22 60.31 64.25 62.28 8.35 17.58 12.97 8.08
380.. 1981/1983 AZ, IA, MT, NE, NM, OK, UT, WY.................... 6.29 59.12 62.55 60.83 8.76 17.78 13.27 8.07
381.. 1982/1984 AR, IA, KS, ND, NE, OK, SD, UT, WY................ 6.81 60.24 64.28 62.26 8.43 17.50 12.97 8.07
382.. 1981/1983 AZ, ID, NM, OK, OR, UT, WY........................ 5.54 57.36 62.23 59.80 9.29 17.71 13.50 8.07
383.. 1981/1984 AR, KS, LA, ND, NE, OK, SD, UT, WY................ 7.38 58.75 64.50 61.62 9.19 17.00 13.10 8.07
384.. 1982/1983 CO, IA, ND, OK, SD, UT, WY........................ 5.34 59.30 62.51 60.91 9.10
17.40 13.25 8.07
385.. 1982/1984 AR, IA, KS, MT, NE, OK, UT, WY.................... 6.57 60.36 64.25 62.30 8.32 17.58 12.95 8.07
386.. 1982/1983 AZ, NE, NM, NV, OK, UT, WY........................ 5.01 59.57 61.82 60.70 8.99 17.60 13.29 8.07
387.. 1982/1983 AR, KS, LA, MT, NE, OK, SD, UT, WY................ 7.44 58.68 62.71 60.70 9.89 16.70 13.29 8.07
388.. 1981/1983 AR, KS, LA, MT, NE, OK, UT, WY.................... 7.14 57.85 62.98 60.42 9.82 16.89 13.36 8.07
389.. 1981/1983 AR, AZ, LA, ND, NM, OK, SD, UT, WY................ 7.42 58.12 62.09 60.11 9.74 17.11 13.42 8.07
390.. 1981/1984 AR, KS, LA, NE, OK, UT, WY........................ 6.79 58.78 64.49 61.64 9.14 17.04 13.09 8.07
391.. 1981/1982 AZ, MS, NM, OK, SD, UT, WY........................ 5.38 60.35 62.68 61.52 8.62 17.61 13.11 8.07
392.. 1981/1983 AR, ID, KS, ND, NE, OK, OR, SD, UT, WY............ 7.11 57.14 63.55 60.34 9.45 17.29 13.37 8.07
393.. 1980/1982 AR, KS, ND, NE, OK, SD, UT, WY.................... 5.53 57.87 64.28 61.08 9.79 16.63 13.21 8.07
394.. 1981/1983 AZ, ID, MT, ND, NM, OK, OR, UT, WY................ 6.18 57.33 62.24 59.78 9.26 17.72 13.49 8.07
395.. 1982/1984 AR, KS, LA, NE, OK, SD, UT, WY.................... 7.09 59.25 64.66 61.96 9.15 16.89 13.02 8.07
396.. 1980/1982 IA, KS, NE, OK, UT, WY............................ 5.21 58.26 64.09 61.18 9.68 16.70 13.19 8.07
397.. 1982/1984 AR, IA, KS, MT, ND, NE, OK, SD, UT, WY............ 7.16 60.29 64.27 62.28 8.40 17.50 12.95 8.07
398.. 1980/1983 AR, KS, MT, ND, NE, OK, UT, WY.................... 5.57 57.32 63.10 60.21 9.52 17.27 13.39 8.06
399.. 1981/1983 AZ, IA, MT, NE, NM, OK, SD, UT, WY................ 6.59 59.12 62.55 60.83 8.76 17.74 13.25 8.06
400.. 1981/1983 AZ, ID, ND, NE, NM, OK, SD, UT, WY................ 5.67 57.83 62.43 60.13 9.28 17.53 13.41 8.06
401.. 1982/1983 AZ, LA, NE, NM, OK, UT, WY........................ 6.51 59.21 62.12 60.66 9.76 16.81 13.29 8.06
402.. 1982/1984 ID, KS, MT, ND, NE, OK, SD, UT, WY................ 5.28 58.62 64.35 61.49 8.90 17.32 13.11 8.06
403.. 1981/1983 AZ, ID, NM, OK, OR, SD, UT, WY.................... 5.85 57.36 62.23 59.80 9.29 17.68 13.48 8.06
404.. 1983/1984 AR, KS, LA, MT, NE, OK, SD, UT, WY................ 7.43 59.06 64.00 61.53 8.86 17.34 13.10 8.06
405.. 1981/1983 AR, KS, LA, MT, NE, OK, SD, UT, WY................ 7.44 57.85 62.98 60.42 9.82 16.86 13.34 8.06
406.. 1981/1984 AR, KS, LA, MT, ND, NE, OK, SD, UT, WY............ 7.73 58.80 64.49 61.65 9.15 17.00 13.07 8.06
407.. 1981/1984 AR, IA, KS, MT, ND, NE, OK, UT, WY................ 6.86 59.63 64.52 62.07 8.42 17.54 12.98 8.06
408.. 1981/1983 AR, AZ, LA, NM, OK, UT, WY........................ 6.83 58.12 62.08 60.10 9.69 17.12 13.41 8.06
[[Page 29614]]
409.. 1982/1984 AR, KS, LA, MT, NE, OK, SD, UT, WY................ 7.44 59.30 64.65 61.98 9.11 16.89 13.00 8.06
410.. 1982/1983 AZ, NE, NM, NV, OK, SD, UT, WY.................... 5.31 59.57 61.82 60.70 9.00 17.56 13.28 8.06
411.. 1980/1983 IA, KS, ND, NE, OK, SD, UT, WY.................... 5.80 57.66 63.24 60.45 9.33 17.33 13.33 8.06
412.. 1983/1984 AR, KS, LA, NE, OK, SD, UT, WY.................... 7.09 58.99 64.00 61.50 8.88 17.33 13.10 8.06
413.. 1981/1983 AR, ID, KS, NE, OK, OR, UT, WY.................... 6.51 57.14 63.54 60.34 9.40 17.31 13.35 8.06
414.. 1981/1984 AR, KS, LA, MT, NE, OK, UT, WY.................... 7.14 58.84 64.48 61.66 9.10 17.03 13.07 8.06
415.. 1983/1984 AR, CO, LA, MT, OK, WY............................ 6.11 57.89 63.92 60.90 9.04 17.41 13.23 8.06
416.. 1981/1982 AZ, ID, LA, NM, OK, OR, UT, WY.................... 7.40 58.01 63.04 60.53 9.38 17.24 13.31 8.06
417.. 1981/1982 AZ, MS, MT, ND, NM, OK, UT, WY.................... 5.71 60.35 62.67 61.51 8.56 17.63 13.09 8.05
418.. 1980/1982 IA, KS, ND, NE, OK, SD, WY........................ 5.16 58.40 65.54 61.97 9.08 16.91 13.00 8.05
419.. 1982/1983 AZ, LA, NE, NM, OK, SD, UT, WY.................... 6.82 59.21 62.12 60.66 9.77 16.78 13.27 8.05
420.. 1981/1984 ID, KS, MT, ND, NE, OK, SD, UT, WY................ 5.28 58.04 64.45 61.24 8.90 17.39 13.15 8.05
421.. 1981/1983 AR, ID, KS, MT, ND, NE, OK, OR, UT, WY............ 7.15 57.11 63.54 60.32 9.37 17.33 13.35 8.05
422.. 1983/1984 AR, KS, MT, NE, OK, UT, WY........................ 5.29 58.53 62.98 60.75 8.53 17.98 13.25 8.05
423.. 1980/1982 IA, KS, NE, OK, SD, UT, WY........................ 5.52 58.26 64.09 61.18 9.66 16.67 13.16 8.05
424.. 1981/1983 AR, AZ, LA, MT, ND, NM, OK, UT, WY................ 7.46 58.09 62.09 60.09 9.66 17.14 13.40 8.05
425.. 1982/1983 AZ, IA, NM, NV, OK, SD, UT, WY.................... 5.91 59.62 61.81 60.71 8.73 17.79 13.26 8.05
426.. 1980/1983 AR, KS, MT, ND, NE, OK, SD, UT, WY................ 5.87 57.32 63.10 60.21 9.51 17.23 13.37 8.05
427.. 1981/1983 AR, AZ, LA, NM, OK, SD, UT, WY.................... 7.13 58.12 62.08 60.10 9.69 17.10 13.39 8.05
428.. 1981/1983 AZ, ID, NE, NM, OK, UT, WY........................ 5.07 57.83 62.41 60.12 9.22 17.56 13.39 8.05
429.. 1981/1984 AR, KS, LA, NE, OK, SD, UT, WY.................... 7.09 58.74 64.50 61.62 9.14 16.99 13.06 8.05
430.. 1981/1983 AR, AZ, MS, NM, OK, UT, WY........................ 6.08 58.64 61.94 60.29 9.15 17.55 13.35 8.05
431.. 1980/1983 IA, KS, NE, OK, UT, WY............................ 5.21 57.74 63.22 60.48 9.26 17.36 13.31 8.05
432.. 1981/1983 AZ, IA, ID, NM, OK, SD, UT, WY.................... 5.97 57.84 62.50 60.17 8.98 17.77 13.37 8.05
433.. 1982/1983 AZ, MT, NE, NM, NV, OK, UT, WY.................... 5.36 59.52 61.82 60.67 8.92 17.61 13.26 8.05
434.. 1982/1984 AR, IA, KS, NE, OK, SD, UT, WY.................... 6.52 60.25 64.27 62.26 8.35 17.49 12.92 8.04
435.. 1981/1983 AR, AZ, LA, MT, ND, NM, OK, SD, UT, WY............ 7.77 58.09 62.09 60.09 9.66 17.11 13.39 8.04
436.. 1981/1984 AR, IA, KS, ND, NE, OK, SD, UT, WY................ 6.81 59.52 64.54 62.03 8.45 17.48 12.97 8.04
437.. 1981/1984 AR, IA, KS, NE, OK, UT, WY........................ 6.22 59.57 64.52 62.05 8.39 17.54 12.96 8.04
438.. 1982/1983 AR, ID, KS, ND, NE, OK, OR, SD, UT, WY............ 7.11 58.15 63.36 60.75 9.49 16.99 13.24 8.04
439.. 1981/1982 AR, AZ, MS, NM, OK, UT, WY........................ 6.08 60.43 62.85 61.64 8.60 17.49 13.05 8.04
440.. 1981/1983 AR, ID, KS, MT, ND, NE, OK, OR, SD, UT, WY........ 7.45 57.11 63.54 60.32 9.37 17.29 13.33 8.04
441.. 1980/1983 AR, KS, MT, NE, OK, UT, WY........................ 5.28 57.39 63.08 60.24 9.44 17.26 13.35 8.04
442.. 1981/1983 AZ, ID, NE, NM, OK, SD, UT, WY.................... 5.38 57.83 62.41 60.12 9.22 17.52 13.37 8.04
443.. 1981/1984 AR, KS, LA, MT, NE, OK, SD, UT, WY................ 7.44 58.79 64.49 61.64 9.10 16.99 13.04 8.04
444.. 1982/1984 AR, IA, KS, MT, NE, OK, SD, UT, WY................ 6.87 60.30 64.26 62.28 8.32 17.49 12.91 8.04
445.. 1982/1983 AZ, LA, MT, NE, NM, OK, UT, WY.................... 6.86 59.16 62.12 60.64 9.69 16.82 13.25 8.04
446.. 1980/1982 AR, KS, NE, OK, SD, UT, WY........................ 5.24 57.99 64.27 61.13 9.68 16.61 13.15 8.04
447.. 1982/1983 AZ, ID, MS, NM, OK, UT, WY........................ 5.49 58.35 62.24 60.30 9.33 17.33 13.33 8.04
448.. 1980/1982 AR, IA, KS, ND, NE, OK, SD, UT, WY................ 6.81 58.12 64.26 61.19 9.72 16.55 13.13 8.04
449.. 1982/1983 AR, AZ, ID, ND, NM, OK, OR, SD, UT, WY............ 7.14 58.75 62.30 60.53 9.38 17.17 13.28 8.04
450.. 1982/1983 AR, IA, KS, MS, NE, OK, UT, WY.................... 7.33 59.34 63.13 61.24 8.90 17.34 13.12 8.04
451.. 1981/1982 AZ, MS, MT, NM, OK, UT, WY........................ 5.42 60.35 62.67 61.51 8.52 17.61 13.06 8.04
452.. 1981/1982 AR, LA, MS, OK.................................... 5.31 59.66 64.99 62.32 10.64 15.15 12.89 8.03
453.. 1981/1983 AZ, ID, MT, ND, NE, NM, OK, SD, UT, WY............ 6.01 57.79 62.42 60.11 9.20 17.53 13.37 8.03
454.. 1980/1983 IA, KS, NE, OK, SD, UT, WY........................ 5.52 57.74 63.22 60.48 9.26 17.31 13.28 8.03
455.. 1981/1982 AZ, ID, LA, NE, NM, OK, UT, WY.................... 6.93 58.05 63.23 60.64 9.47 17.02 13.25 8.03
456.. 1981/1983 AR, AZ, LA, MT, NM, OK, UT, WY.................... 7.18 58.09 62.08 60.08 9.62 17.12 13.37 8.03
457.. 1983/1984 AR, KS, MT, ND, NE, OK, SD, UT, WY................ 5.86 58.45 63.02 60.74 8.60 17.85 13.22 8.03
458.. 1981/1984 AR, IA, KS, MT, NE, OK, UT, WY.................... 6.57 59.63 64.51 62.07 8.35 17.53 12.94 8.03
459.. 1981/1984 AR, IA, KS, MT, ND, NE, OK, SD, UT, WY............ 7.16 59.57 64.53 62.05 8.42 17.47 12.94 8.03
[[Page 29615]]
460.. 1982/1983 AR, ID, KS, MT, ND, NE, OK, OR, UT, WY............ 7.15 58.10 63.35 60.73 9.40 17.05 13.22 8.03
461.. 1982/1983 AZ, NM, NV, OK, OR, UT, WY........................ 5.48 59.17 61.68 60.43 9.05 17.53 13.29 8.03
462.. 1982/1983 AR, ID, KS, NE, OK, OR, UT, WY.................... 6.51 58.15 63.34 60.75 9.42 17.02 13.22 8.03
463.. 1982/1983 AZ, IA, LA, NM, OK, SD, UT, WY.................... 7.41 59.25 62.11 60.68 9.51 16.95 13.23 8.03
464.. 1981/1983 AR, ID, KS, MT, NE, OK, OR, UT, WY................ 6.86 57.11 63.52 60.32 9.31 17.31 13.31 8.03
465.. 1982/1983 AZ, ID, MS, NM, OK, SD, UT, WY.................... 5.80 58.35 62.24 60.30 9.33 17.29 13.31 8.03
466.. 1983/1984 AR, KS, ND, NE, OK, SD, UT, WY.................... 5.52 58.34 63.02 60.68 8.62 17.83 13.23 8.03
467.. 1980/1983 AR, KS, MT, NE, OK, SD, UT, WY.................... 5.59 57.39 63.08 60.24 9.44 17.21 13.32 8.03
468.. 1980/1982 AR, IA, KS, NE, OK, UT, WY........................ 6.22 58.24 64.26 61.25 9.64 16.56 13.10 8.02
469.. 1982/1983 AR, AZ, ID, MT, ND, NM, OK, OR, UT, WY............ 7.19 58.71 62.29 60.50 9.30 17.23 13.26 8.02
470.. 1982/1983 AR, AZ, ID, NM, OK, OR, UT, WY.................... 6.55 58.75 62.28 60.52 9.32 17.20 13.26 8.02
471.. 1981/1982 AZ, MS, MT, NM, OK, SD, UT, WY.................... 5.73 60.35 62.67 61.51 8.50 17.59 13.04 8.02
472.. 1981/1983 AZ, ID, MT, NE, NM, OK, UT, WY.................... 5.42 57.79 62.41 60.10 9.14 17.56 13.35 8.02
473.. 1981/1982 AR, AZ, NM, NV, OK, UT, WY........................ 5.32 59.85 62.05 60.95 8.52 17.79 13.16 8.02
474.. 1980/1983 AR, LA, MS, OK.................................... 5.31 57.99 62.81 60.40 11.31 15.24 13.28 8.02
475.. 1982/1983 AZ, NM, NV, OK, OR, SD, UT, WY.................... 5.78 59.17 61.68 60.43 9.05 17.49 13.27 8.02
476.. 1980/1982 ID, KS, ND, NE, OK, OR, SD, UT, WY................ 6.10 57.27 63.32 60.30 9.78 16.81 13.30 8.02
477.. 1982/1983 AR, ID, KS, MT, ND, NE, OK, OR, SD, UT, WY........ 7.45 58.10 63.35 60.73 9.40 17.00 13.20 8.02
478.. 1981/1984 AR, IA, KS, NE, OK, SD, UT, WY.................... 6.52 59.52 64.54 62.03 8.38 17.46 12.92 8.02
479.. 1981/1983 AR, AZ, IA, NE, NM, OK, UT, WY.................... 6.95 59.21 62.45 60.83 8.74 17.61 13.18 8.01
480.. 1982/1983 AZ, ID, MS, MT, NM, OK, UT, WY.................... 5.84 58.30 62.24 60.27 9.25 17.34 13.30 8.01
481.. 1982/1983 AR, AZ, ID, MT, ND, NM, OK, OR, SD, UT, WY........ 7.49 58.71 62.29 60.50 9.30 17.19 13.24 8.01
482.. 1980/1982 AR, IA, KS, NE, OK, SD, UT, WY.................... 6.52 58.24 64.26 61.25 9.62 16.53 13.08 8.01
483.. 1982/1984 AR, AZ, LA, NM, OK................................ 5.98 59.25 64.72 61.99 9.39 16.45 12.92 8.01
484.. 1981/1982 AZ, IA, NM, NV, OK, SD, UT, WY.................... 5.91 59.77 61.91 60.84 8.44 17.89 13.16 8.01
485.. 1982/1983 AZ, MT, NM, NV, OK, OR, UT, WY.................... 5.83 59.12 61.68 60.40 8.98 17.54 13.26 8.01
486.. 1980/1982 ID, KS, NE, OK, OR, UT, WY........................ 5.50 57.37 63.32 60.34 9.72 16.82 13.27 8.01
487.. 1982/1983 AR, ID, KS, MT, NE, OK, OR, UT, WY................ 6.86 58.10 63.34 60.72 9.34 17.03 13.18 8.01
488.. 1981/1983 IA, ID, KS, NE, OK, OR, UT, WY.................... 6.79 57.14 63.69 60.41 9.04 17.46 13.25 8.00
489.. 1981/1984 AR, IA, KS, MT, NE, OK, SD, UT, WY................ 6.87 59.57 64.52 62.05 8.35 17.45 12.90 8.00
490.. 1981/1983 IA, ID, KS, MT, ND, NE, OK, OR, UT, WY............ 7.42 57.11 63.69 60.40 9.03 17.47 13.25 8.00
491.. 1981/1983 AZ, LA, NE, NM, OK, UT, WY........................ 6.51 58.11 62.10 60.10 9.59 17.04 13.31 8.00
492.. 1983/1984 AR, KS, MT, NE, OK, SD, UT, WY.................... 5.58 58.43 63.00 60.72 8.53 17.83 13.18 8.00
493.. 1980/1983 IA, KS, MT, ND, NE, OK, SD, UT, WY................ 6.15 57.57 63.23 60.40 9.19 17.31 13.25 8.00
494.. 1981/1983 AR, AZ, ID, ND, NM, OK, OR, SD, UT, WY............ 7.14 57.42 62.15 59.79 9.24 17.53 13.38 8.00
495.. 1982/1983 AR, AZ, ID, MT, NM, OK, OR, UT, WY................ 6.90 58.71 62.28 60.49 9.24 17.21 13.22 8.00
496.. 1982/1984 AZ, LA, MT, ND, NM, OK, UT, WY.................... 6.45 58.20 63.79 60.99 9.17 17.06 13.11 8.00
497.. 1981/1983 AR, AZ, NM, NV, OK, UT, WY........................ 5.32 57.78 61.49 59.63 8.99 17.84 13.41 8.00
498.. 1983/1984 AR, KS, NE, OK, SD, UT, WY........................ 5.23 58.32 63.00 60.66 8.54 17.82 13.18 8.00
499.. 1981/1982 AZ, NM, NV, OK, OR, UT, WY........................ 5.48 59.75 61.57 60.66 8.41 17.96 13.18 8.00
500.. 1981/1983 AZ, LA, NE, NM, OK, SD, UT, WY.................... 6.82 58.11 62.10 60.10 9.59 17.01 13.30 7.99
--------------------------------------------------------------------------------------------------------------------------------------------------------
House Price Indexes
Introduction
In implementing the risk-based capital stress test, the 1992 Act
requires OFHEO to take seasoning of mortgages into account, in
accordance with the CQHPI or any index of similar quality, authority,
and public availability that is regularly used by the Federal
Government.46 The 1992 Act defines ``seasoning'' as the change in
the LTV ratio of a mortgage over time.47 Such changes result from
changes in the principal balance of the mortgage and changes in the
value of the property. Changes in the value of the underlying property
usually will have a much greater impact than scheduled amortization or
curtailments on the seasoning of mortgages, particularly during the
early years of the loan. OFHEO proposes to use its house price
[[Page 29616]]
index, HPI,48 which is a weighted repeat transactions index based
on Enterprise data, rather than the CQHPI.
---------------------------------------------------------------------------
\46\ Section 1361(d)(1) (12 U.S.C. 4611(d)(1)).
\47\ See note 20 above.
\48\ ``House Price Index'' is a collective term that refers to
all the subindexes described below.
---------------------------------------------------------------------------
Using an Index to Adjust for Seasoning
The 1992 Act does not specify how an index should be used to
account for the seasoning of Enterprise mortgages in the stress test.
OFHEO proposes to account for the impact of changes in individual
property values on the seasoning of single-family mortgages in the
stress test based upon changes in the index used for the particular
geographical area in which the property is located. In accounting for
the changes in the distribution of current LTV ratios, OFHEO will also
make adjustments for the scheduled amortization of the principal of the
loan.
In general, a house price index provides estimates of changes in
the general level of values over time based on observations of the
values of specific properties in a particular geographic area. The
accuracy of an adjustment to the value of an individual property based
on an index will depend significantly on the accuracy of the index for
the particular market area in which the property is located. It also
will depend upon the degree of similarity between the value-determining
characteristics of that property and the properties from which the
index is estimated.
No matter how accurate an index, however, individual house values
will appreciate at greater or lesser rates than the index over time.
The longer the time period, the greater is the dispersion in changes of
individual house values. That is one major reason why house prices can
appreciate on the average, but mortgages on individual properties still
default. OFHEO is studying alternative means to account for the
increasing dispersion of rates of house price change that occur within
a group of loans over time. OFHEO will address this issue in the second
NPR.
Description of the HPI
OFHEO began publishing the HPI in March 1996 using data provided by
the Enterprises. The HPI is released approximately 2 months after the
end of each quarter. This index is reported for the nation, and
subindexes are reported for 9 U.S. Census Divisions, 50 states, and the
District of Columbia.
OFHEO calculates the HPI for each specified geographic area using
repeated observations of housing values for individual single-family
properties on which mortgages were originated and purchased by either
Enterprise since 1975.49 There are now more than 6.9 million
repeat transaction pairs in the national sample. The use of house price
differentials computed from repeat transactions on the same properties
controls for differences in the quality of the houses over time. For
this reason, the HPI is described as a ``constant quality'' house price
index. The HPI is updated each quarter as additional mortgages are
purchased by the Enterprises through the identification of additional
repeat transactions for the most recent quarter and all earlier
quarters.
---------------------------------------------------------------------------
\49\ A technical description of the HPI and the methodology used
to create it has been published by OFHEO and is available from the
agency upon request. Charles A. Calhoun, OFHEO House Price Indexes:
HPI Technical Description (March 1996) (HPI Technical Description).
---------------------------------------------------------------------------
The HPI provides broad geographic coverage by virtue of the
national operations of the two Enterprises. There are, however, some
limitations on the coverage of the HPI because it is produced using
data on single-family, detached properties financed by conforming
conventional mortgages purchased by the Enterprises. Thus, the HPI is
not based upon any mortgage transactions on properties financed by
government-insured loans, properties financed by mortgages exceeding
the conforming loan limits determining eligibility for purchase by
Freddie Mac or Fannie Mae, or multifamily properties.
Quarterly HPI reports include a summary of recent developments,
frequently asked questions and answers, and statistical reports for
each geographic area. The most recent HPI report is included as Exhibit
1 to this NPR.
Issues, Alternatives Considered, and Comments Received
1. Use of the HPI Versus the CQHPI and Other Alternatives
OFHEO has concluded that the HPI is superior to the CQHPI for
purposes of determining current values of single-family properties
securing Enterprise loans. This conclusion is consistent with
Congressional intent. During consideration of the 1992 Act, Congress
recognized that the CQHPI might not be the most suitable index and
provided OFHEO discretion to use another index.50 The legislative
history also indicates Congress expected OFHEO to develop its own index
for the stress test.51 The Senate report stated: ``As no existing
data series is fully satisfactory for this purpose, the Director is
encouraged to conduct research necessary to produce and publish a
suitable index.'' 52
---------------------------------------------------------------------------
\50\ Section 1361(d)(1) (12 U.S.C. 4611(d)(1)).
\51\ Congress indicated that use by OFHEO would satisfy the
requirement at section 1361(d)(1) of the 1992 Act (12 U.S.C.
4611(d)(1)) that an appropriate index would ``be regularly used by
the Federal Government.'' See 138 Cong. Rec. S 17920 (Chairman
Riegle explaining that the index ``should be * * * used consistently
by the Director or other Federal agencies * * *.'').
\52\ S. Rep. No. 282, at 20.
---------------------------------------------------------------------------
The CQHPI is based on data from the Housing Sales Survey conducted
by the Bureau of the Census. Information on the physical
characteristics and sales prices of new one-family houses are obtained
through interviews with a national sample of the houses' builders and
owners. The sample includes about 13,000 houses per year. The Commerce
Department divides the data for detached houses into four regional
samples. For each region, a statistical model is used to estimate how
much the current average prices of new houses would have changed from
the preceding period if the physical characteristics of new houses in
both periods remained the same as they were in 1987. These regional
estimates are published annually. The Commerce Department also
publishes quarterly a national index that is a weighted average of the
four regional indexes and a national index for attached houses.
In the ANPR, OFHEO expressed the view that a weighted repeat
transactions index based on Enterprise data was more appropriate for
purposes of the risk-based capital test than the CQHPI.53 The HPI
is such an index. By relying entirely upon Enterprise data, the HPI
provides a more appropriate measure of average house price changes for
the mix of properties securing the Enterprises' mortgages than does the
CQHPI, which is based on a different mix of houses. A particularly
important difference is that the HPI measures changes in values of
existing houses, while the CQHPI measures price changes of new houses.
---------------------------------------------------------------------------
\53\ 60 FR 7475 (Feb. 8, 1995).
---------------------------------------------------------------------------
The CQHPI's small sample size results in other limitations that are
undesirable for OFHEO's purposes. Because of limited data, the CQHPI
provides national estimates by quarter, but only annual estimates for
the four Census regions. Using either the quarterly, national estimates
or the annual, regional estimates would present difficulties in
accurately modeling the seasoning of Enterprise mortgages because house
prices vary widely within Census regions and OFHEO must assess the
Enterprises' capital on a quarterly basis. Such difficulties are
avoided through the use of the HPI. With an existing database of more
than
[[Page 29617]]
6.9 million transaction pairs, the weighted repeat sales approach
provides sufficient data to estimate quarterly house price changes by
states and by Census divisions.
The implications of these and other statistical issues of house
price index construction are reviewed in more detail in the HPI
Technical Description.
The Enterprises currently publish jointly the Conforming Mortgage
House Price Index (CMHPI), a weighted repeat transactions index, using
the same data as the HPI and a very similar methodology. OFHEO decided
to produce its own index, rather than rely on the Enterprises' index,
because of the important role of the house price index in determining
capital requirements. By producing the HPI, OFHEO ensures that the
index will meet the statutory requirements of quality, authority, and
public availability. Additionally, OFHEO believes its index uses a
statistical methodology that is more appropriate for its purposes (see
issue 4. ``Statistical Methodology'' below).
OFHEO also considered other existing house price indexes. NAR has
published indexes for existing single-family houses for metropolitan
areas since 1968, using data on transactions reported by member boards.
The NAR indexes represent the change in the median transaction price
with no adjustment for variations in the composition of the properties
that make up the sample in each period. The National Association of
Home Builders reports mean and median prices for both existing and new
houses derived from county records. FHA issues a median value index for
single-family houses financed under the Section 203(b) program.54
This index is available as a time series back to 1936 and is based on
appraisal values.
---------------------------------------------------------------------------
\54\ 12 U.S.C. 1709(b).
---------------------------------------------------------------------------
For OFHEO's purposes, these mean and median house price indexes are
subject to a number of statistical shortcomings. In particular, changes
in the composition of the sample of properties with a given set of
attributes, such as square footage, number of rooms, lot size,
fixtures, etc., contributing to these indexes causes them to be less
reliable than the HPI as indicators of changes in the actual mean or
median property value over time. A constant quality index, such as the
HPI, which controls for this particular source of bias by comparing the
same or similar properties, is a better source of information
concerning the rate of house price inflation than these other indexes.
All of the commenters who addressed this issue favored using a
weighted repeat transactions index, such as the HPI, rather than the
CQHPI. ACB, for example, stated that ``[t]he weighted repeat sales
approach currently used by the [Enterprises] as a house price index is
clearly preferable to other approaches since its purpose is . . .
targeted to the population of properties where the [Enterprises] can
assume risk.''
2. Geographic Aggregation
OFHEO sought comment in the ANPR concerning the appropriate level
of geographic aggregation for the index that will be used to adjust
house prices in the risk-based capital stress test. The HPI is
published for 9 Census divisions, 50 states, and the District of
Columbia. A second NPR will address the level or levels of geographic
aggregation that will be used in the stress test.
3. Bias and Volatility in the HPI
OFHEO sought comment in the ANPR about whether to adjust for sample
selection bias, appraisal bias, or other possible sources of bias in a
weighted repeat transactions index of house prices. After considering
comments on the matter, the Director decided not to adjust the HPI for
such possible biases. Likewise, OFHEO requested comments about whether
revision volatility in house price indexes should be reflected in the
risk-based capital test.55 The Director also determined not to
adjust the indexes for revision volatility. However, OFHEO is studying
both the appropriateness and the practicality of adjusting for biases
and revision volatility in the stress test, and will address these
issues in a second NPR.
---------------------------------------------------------------------------
\55\ Revision volatility is the change in past index values that
occurs as a result of current transactions. Current transactions can
change index values for prior quarters, because every repeat sale of
a property provides additional information about house price changes
during the time since the prior transaction on that property.
---------------------------------------------------------------------------
4. Statistical Methodology
The HPI is based upon a geometric repeat transactions estimator
derived from a stochastic model of individual housing values. A
geometric repeat transaction estimator estimates the average rate of
change in housing values, with each house weighted equally regardless
of dollar value. The Enterprises use an adjustment to the geometric
estimator to approximate an arithmetic repeat sales procedure in
calculating the CMHPI.56 Arithmetic repeat transactions indexes
have been shown to be more accurate for computing the change in the sum
of the values of a fixed portfolio of properties. Because OFHEO plans
to apply the index to loan-level data to update the distribution of
current LTV ratios, OFHEO believes a geometric estimator is more
suitable for use in the stress test. The publication of the HPI
includes both the geometric index estimates and the adjustment factors
needed to approximate an arithmetic index. Thus, the HPI publication
provides the information needed to relate changes in the index to
changes in the values of individual properties or portfolios of
properties.57
---------------------------------------------------------------------------
\56\ See HPI Technical Description, at 10-11 (discussion of
ideal indexes, geometric versus arithmetic repeat sales estimators,
and the Enterprises' approach in the CMHPI).
\57\ Also, the adjustment used to produce the CMHPI depends on
the base period of the index and the time elapsed since that period.
Reporting the adjustment factors separately preserves the ability to
adjust between any two dates covered by the index.
---------------------------------------------------------------------------
Section by Section Analysis
As noted in the preamble, at a later date OFHEO will issue a second
NPR to propose all the remaining aspects of the stress test and to
describe how the stress test will be used to determine the Enterprises'
risk-based capital requirements.
Proposed Section 1750.5 Notice of Capital Classification
This section will be amended to add to the notice of capital
classification, which OFHEO issues at least quarterly for each
Enterprise, the risk-based capital level and the summary computation of
that level.
Proposed Section 1750.10 General
This section identifies a ``Subpart B'' to the capital regulation,
which establishes risk-based capital requirements for each Enterprise.
This section also requires the board of directors of an Enterprise to
ensure that the Enterprise maintains total capital at a level that is
sufficient to ensure the continued financial viability of the
Enterprise and is equal to or greater than the risk-based capital level
specified in the regulation.
Proposed Section 1750.11 Definitions
This section defines various terms used in Subpart B and provides
that, except where a term is explicitly defined differently in Subpart
B, all terms defined at Sec. 1750.2 of Subpart A (the minimum capital
regulation) shall have the same meanings for purposes of Subpart B.
[[Page 29618]]
Proposed Section 1750.12 Procedures and Timing
This section will specify the timing and procedures for filing and
the content of risk-based capital reports by each Enterprise. These
reports will provide OFHEO with the information necessary to determine
the risk-based capital level of each Enterprise. The section also
requires that whenever an Enterprise makes an adjustment to the data
contained in the risk-based capital report that may cause an adjustment
to the risk-based capital determination, the Enterprise shall file with
the Director an amended risk-based capital report not later than 3
business days after the date of such adjustment. Finally, the section
requires that each risk-based capital report or amended risk-based
capital report contain a declaration by an officer, authorized by the
board of directors to do so, that the report is true and correct to the
best of such officer's knowledge and belief.
Proposed Section 1750.13 Risk-Based Capital Level Computation
This section implements by regulation the provisions of the 1992
Act that describe risk-based capital. Together with Appendix A to
Subpart B of the regulation, proposed section 1750.13 describes how
OFHEO calculates the risk-based capital requirement for an Enterprise.
This section of the regulation implements the requirements of the
1992 Act that requires OFHEO to create a stress test that relates
losses of each Enterprise during the stress period to the historical
benchmark loss experience in which losses on mortgages were the
highest.58 The methodology that OFHEO uses to determine the
benchmark area and period are referred to in proposed section 1750.13,
and explained in greater detail in proposed Appendix A to Subpart B.
---------------------------------------------------------------------------
\58\ Section 1361(a) (12 U.S.C. 4611(a)).
---------------------------------------------------------------------------
The 1992 Act also describes aspects of the interest rate
environment that OFHEO must apply during the stress period and makes
frequent use of the term ``the preceding [period].'' Proposed section
1750.13 implements that requirement and provides that when referring to
a ``preceding'' period, the reference is to the period immediately
preceding the beginning of the stress period.
In constructing the stress test, OFHEO initially must assume that
new business of the Enterprises will be limited to fulfilling
contractual commitments of each Enterprise to purchase mortgages or
issue securities.59 Proposed section 1750.13(a)(3) implements this
requirement of the 1992 Act. The 1992 Act limits new business as
described above until completion of two studies, one by the Director of
the Congressional Budget Office and the other by the Comptroller
General of the United States, on the advisability and appropriate form
of any new business assumptions. The 1992 Act requires these studies to
be completed within 1 year after issuance of the final risk-based
capital regulation. The 1992 Act further provides that any new business
assumptions incorporated by OFHEO into the stress test shall not become
effective until 4 years after issuance of the final risk-based capital
regulation.
---------------------------------------------------------------------------
\59\ 1992 Act, section 1361(a)(3) (12 U.S.C. 4611(a)(3)).
---------------------------------------------------------------------------
The 1992 Act also requires that the stress test incorporate losses
or gains on activities, other than those specifically identified in the
statute, in an amount and manner to be determined by the Director to be
consistent with the stress period.60
---------------------------------------------------------------------------
\60\ Section 1361(a)(4) (12 U.S.C. 4611(a)(4)).
---------------------------------------------------------------------------
The risk-based capital test must take into account other
considerations, including distinctions among the types of mortgage
products, differences in seasoning, and any other factors the Director
considers appropriate.61 Proposed paragraph 1750.13(a)(1)
implements this provision of the 1992 Act and specifies that the
detailed description of these factors and the methodology by which they
shall be taken into account are included in Appendix A to Subpart B of
the regulation.
---------------------------------------------------------------------------
\61\ 1992 Act, section 1361(b)(1) (12 U.S.C. 4611(b)(1)).
---------------------------------------------------------------------------
Proposed paragraph 1750.13(a)(5) also implements the requirement of
the 1992 Act that characteristics of the stress period, other than
those specifically set forth in that Act, will be determined by the
Director to be most consistent with the stress period.62 The
subsection also indicates that the details of these characteristics are
provided in Appendix A to Subpart B of the regulation.
---------------------------------------------------------------------------
\62\ Section 1361(b)(2) (12 U.S.C. 4611(b)(2)).
---------------------------------------------------------------------------
Proposed subsection 1750.13(b) implements the 1992 Act's
requirement that the total risk-based capital requirement include an
additional amount equal to 30 percent of the capital determined by
applying the risk-based capital test.63
---------------------------------------------------------------------------
\63\ Id.
---------------------------------------------------------------------------
Proposed Appendix A: Risk-Based Capital Test Methodology and
Assumptions
Appendix A to Subpart B of the capital regulation will provide a
detailed description of the stress test. In this NPR, OFHEO proposes
the part of Appendix A that defines the methodology OFHEO uses to
identify the benchmark loss experience. The other aspects of the stress
test by which OFHEO will relate Enterprise losses in the stress period
to the benchmark loss experience will be the subject of a second NPR.
Appendix A also includes a proposal to use the House Price Index
(HPI), published by OFHEO, to calculate the change over time in the
value of houses that secure mortgages purchased by the Enterprises. The
1992 Act requires OFHEO to calculate this change in value in accordance
with the CQHPI, published by the Secretary of Commerce, or any index of
similar quality, authority, and public availability that is regularly
used by the Federal Government.64 Under proposed Appendix A, OFHEO
uses the HPI, which is a weighted repeat transactions index based on
Enterprise data, rather than the CQHPI, as the basic measure of changes
in the value of house prices.
---------------------------------------------------------------------------
\64\ Sections 1361(b)(1), 1361(d)(1) (12 U.S.C. 4611(b)(1),
4611(d)(1)).
---------------------------------------------------------------------------
Regulatory Impact
Executive Order 12606, The Family
This proposed regulation does not have potential for significant
impact on family formulation, maintenance, and general well-being, and
thus is not subject to review under Executive Order 12606.
Executive Order 12612, Federalism
This proposed regulation has no federalism implications that
warrant the preparation of a Federalism Assessment in accordance with
Executive Order 12612.
Executive Order 12866, Regulatory Planning and Review
This proposed regulation has been reviewed by the Office of
Management and Budget pursuant to Executive Order 12866.
Executive Order 12988, Civil Justice Reform
This proposed regulation meets the applicable standards of sections
3(a) and (b) of Executive Order 12988.
Unfunded Mandates Reform Act of 1995
This proposed regulation does not include a federal mandate that
may
[[Page 29619]]
result in the expenditure by State, local, and tribal governments, in
the aggregate, or by the private sector, of $100,000,000 or more
(adjusted annually for inflation) in any one year.
Consequently, the proposed regulation does not warrant the
preparation of an assessment statement in accordance with the Unfunded
Mandates Reform Act of 1995.
Regulatory Flexibility Act
This proposed regulation is applicable only to the Enterprises,
which are not small entities for purposes of the Regulatory Flexibility
Act, and does not have a significant effect on a substantial number of
small entities. Therefore, the General Counsel of OFHEO has certified
that the proposed regulation would not have significant economic impact
on a substantial number of small entities.
Paperwork Reduction Act
This proposed regulation contains no information collection
requirements that require the approval of the Office of Management and
Budget pursuant to the Paperwork Reduction Act of 1980, 44 U.S.C. 3501
et seq.
List of Subjects in 12 CFR Part 1750
Risk-based capital, capital classifications.
Accordingly, for the reasons set forth in the preamble, OFHEO
proposes to amend Part 1750 of Chapter XVII of Title 12 of the Code of
Federal Regulations, as proposed at 60 FR 30201 (June 8, 1995), as
follows:
PART 1750--[AMENDED]
1. The Authority section for Part 1750 is revised to read as
follows:
Authority: 12 U.S.C. 4513, 4514, 4611, 4612, 4614, 4618.
2. Section 1750.5 of Subpart A is amended by deleting the ``and''
at the end of paragraph (b)(1)(ii) and by deleting the period at the
end of paragraph (b)(1)(iii) and inserting a semicolon in lieu of the
period. The section is further amended by adding the following
paragraphs after paragraph (b)(1)(iii):
Sec. 1750.5 Notice of Capital Classification
* * * * *
(b)(1) * * *
(iv) the proposed risk-based capital level; and
(v) the summary computation of the proposed risk-based capital
level.
* * * * *
3. Subpart B is added to read as follows:
Subpart B--Risk-Based Capital
Sec.
1750.10 General.
1750.11 Definitions.
1750.12 Procedures and Timing.
1750.13 Risk-Based Capital Level Computation.
Appendix A to Subpart B of Part 1750--Risk-Based Capital Test
Methodology and Assumptions
Subpart B--Risk-Based Capital
Sec. 1750.10 General.
The regulation contained in this Subpart B establishes the risk-
based capital requirement for each Enterprise. The board of directors
of an Enterprise is responsible for ensuring that the Enterprise
maintains total capital at a level that is sufficient to ensure the
continued financial viability of the Enterprise and is equal to or
exceeds the risk-based capital level contained in this Subpart B.
Sec. 1750.11 Definitions.
Except where a term is explicitly defined differently in Subpart B,
all terms defined at Sec. 1750.2 of Subpart A shall have the same
meanings for purposes of Subpart B. For purposes of Subpart B, the
following definitions shall apply:
Benchmark loss experience means the default and severity behavior
of mortgage loans that:
(1) Were originated during a period of 2 or more consecutive
calendar years in contiguous areas that together contain at least 5
percent of the population of the United States, and
(2) Experienced the highest loss rate for any period of such
duration in comparison with the loans originated in any other
contiguous areas that together contain at least 5 percent of the
population of the United States.
Constant maturity Treasury yield means the constant maturity
Treasury yield, published by the Board of Governors of the Federal
Reserve System.
Contiguous areas means all the areas within a state or a group of
two or more states sharing common borders. ``Sharing common borders''
does not mean meeting at a single point. Colorado, for example, is
contiguous with New Mexico, but not with Arizona.
Credit risk means the risk of financial loss to an Enterprise from
nonperformance by borrowers or other obligors on instruments in which
an Enterprise has a financial interest, or as to which the Enterprise
has a financial obligation.
The default rate of a given group of loans means the ratio of the
aggregate original principal balance of the defaulted loans in the
group to the aggregate original principal balance of all loans in the
group.
Defaulted loan means a loan that, within 10 years following its
origination:
(1) Resulted in pre-foreclosure sale,
(2) Completed foreclosure,
(3) Resulted in REO, or
(4) Resulted in a credit loss to an Enterprise.
Financing costs of property acquired through foreclosure means the
product of:
(1) The number of years (including fractions) of the period from
the completion of foreclosure through disposition of the property,
(2) The average of the Enterprises' short-term funding costs, and
(3) The unpaid principal balance at the time of foreclosure.
Interest rate risk means the risk of financial loss due to the
sensitivity of earnings and net worth of an Enterprise to changes in
interest rates.
Loss on any defaulted loan in category 1, 2, or 3 of the definition
of defaulted loan means the difference between:
(1) The sum of the principal and interest owed when the borrower
lost title to the property securing the mortgage; REO financing costs
1 through the date of property disposition; and cash expenses
incurred during the foreclosure process, REO holding period, and
property liquidation process; and
---------------------------------------------------------------------------
\1\ The financing costs associated with properties acquired
through foreclosure from the time of foreclosure through property
disposition were calculated using the average from 1982 through 1992
of the 12-month Federal Agency constant maturity yield computed by
Bank of America.
---------------------------------------------------------------------------
(2) The sum of the property sales price and any other liquidation
proceeds (except those resulting from private mortgage insurance
proceeds or other third-party credit enhancements).
Losses on defaulted loans not in categories 1, 2, or 3 of the
definition were defined as the amount of the financial loss to the
Enterprise.
Mortgage means any loan secured by such classes of liens as are
commonly given or are legally effective to secure advances on, or the
unpaid purchase price of, real estate under the laws of the State in
which the real estate is located, or a manufactured house that is
personal property under the laws of the State in which the manufactured
house is located, together with the credit instruments, if any, secured
thereby, and includes interests in mortgages.
Seasoning means the change over time in the ratio of the unpaid
principal balance of a mortgage to the value of the
[[Page 29620]]
property by which such mortgage loan is secured.
Severity rate for any group of defaulted loans means the aggregate
losses on all loans in that group divided by the aggregate original
principal balances of those loans.
Stress period means a hypothetical 10-year period immediately
following the day for which capital is being measured, which is a
period marked by severely adverse economic circumstances.
Total capital means, with respect to an Enterprise, the sum of the
following:
(1) The core capital of the Enterprise;
(2) A general allowance for foreclosure losses, which--
(i) shall include an allowance for portfolio mortgage losses, an
allowance for non-reimbursable foreclosure costs on government claims,
and an allowance for liabilities reflected on the balance sheet for the
Enterprise for estimated foreclosure losses on mortgage-backed
securities; and
(ii) shall not include any reserves of the Enterprise made or held
against specific assets.
(3) Any other amounts from sources of funds available to absorb
losses incurred by the Enterprise, that the Director by regulation
determines are appropriate to include in determining total capital.
Type of mortgage product means a classification of one or more
mortgage products, as established by the Director, that have similar
characteristics from each set of characteristics under the following
paragraphs:
(1) The property securing the mortgage is--
(i) a residential property consisting of 1 to 4 dwelling units; or
(ii) a residential property consisting of more than 4 dwelling
units.
(2) The interest rate on the mortgage is--
(i) fixed; or
(ii) adjustable.
(3) The priority of the lien securing the mortgage is--
(i) first; or
(ii) second or other.
(4) The term of the mortgage is--
(i) 1 to 15 years;
(ii) 16-30 years; or
(iii) more than 30 years.
(5) The owner of the property is--
(i) an owner-occupant; or
(ii) an investor.
(6) The unpaid principal balance of the mortgage--
(i) will amortize completely over the term of the mortgage, and
will not increase significantly at any time during the term of the
mortgage;
(ii) will not amortize completely over the term of the mortgage,
and will not increase significantly at any time during the term of the
mortgage; or
(iii) may increase significantly at some time during the term of
the mortgage.
(7) Any other characteristics of the mortgage, as specified in
Appendix A.
Sec. 1750.12 Procedures and Timing.
(a) Each Enterprise shall file with the Director a risk-based
capital report each quarter, or at such other times as the Director
requires. The report shall contain information identified by OFHEO in
written instructions to each Enterprise, including, but not limited to:
(1) all data required to implement the risk-based capital test, as
specified more fully at Appendix A to Subpart B of Part 1750; and
(2) such other information as may be required by the Director.
(b) The quarterly risk-based capital report for the last day of the
preceding quarter shall be submitted not later than April 30, July 30,
October 30, and January 30 of each year.
(c) Each risk-based capital report shall be submitted in such
format or media as may be required by the Director.
(d) If an Enterprise makes an adjustment to the data contained in
the risk-based capital report for a quarter or a date for which the
report was previously supplied that may cause an adjustment to the
risk-based capital determination, the Enterprise shall file with the
Director an amended risk-based capital report not later than 3 business
days after the date of such adjustment.
(e) Each risk-based capital report or any amended risk-based
capital report shall contain a declaration by the president, vice-
president, treasurer, or any other officer designated by the board of
directors of the Enterprise to make such a declaration that the report
is true and correct to the best of such officer's knowledge and belief.
Sec. 1750.13 Risk-Based Capital Level Computation.
(a) Risk-Based Capital Test--OFHEO shall compute a risk-based
capital level for each Enterprise at least quarterly by applying a
risk-based capital test to determine the amount of total capital
required for each Enterprise to maintain positive capital during the
stress period. In making this determination, the Director shall take
into account any appropriate distinctions among types of mortgage
products, differences in seasoning of mortgages, and other factors
determined appropriate by the Director in accordance with the
methodology specified in Appendix A to this subpart. The stress period
has the following characteristics:
(1) Credit risk--With respect to mortgages owned or guaranteed by
the Enterprise and other obligations of the Enterprise, losses occur
throughout the United States at a rate of default and severity
reasonably related, in accordance with Appendix A to this subpart, to
the rate and severity of losses in the benchmark loss experience.
(2) Interest rate risk--
(i) In general--Interest rates decrease as described in paragraph
(a)(2)(ii) of this section or increase as described in paragraph
(a)(2)(iii) of this section, whichever would require more capital in
the stress test for the Enterprise. Appendix A contains a description
of the methodology applied to implement the interest rate scenarios
described in those subparagraphs.
(ii) Decreases--The 10-year constant maturity Treasury yield
decreases during the first year of the stress period and remains at the
new level for the remainder of the stress period. The yield decreases
to the lesser of--
(A) 600 basis points below the average yield during the 9 months
immediately preceding the stress period, or
(B) 60 percent of the average yield during the 3 years immediately
preceding the stress period,
but in no case to a yield less than 50 percent of the average yield
during the 9 months immediately preceding the stress period.
(iii) Increases--The 10-year constant maturity Treasury yield
increases during the first year of the stress period and will remain at
the new level for the remainder of the stress period. The yield
increases to the greater of--
(A) 600 basis points above the average yield during the 9 months
immediately preceding the stress period, or
(B) 160 percent of the average yield during the 3 years immediately
preceding the stress period,
but in no case to a yield greater than 175 percent of the average yield
during the 9 months immediately preceding the stress period.
(iv) Different terms to maturity--Yields of Treasury instruments
with terms to maturity other than 10 years will change relative to the
10-year constant maturity Treasury yield in patterns and for durations
that are reasonably related to historical experience and are judged
reasonable by the Director. The methodology used by the Director to
adjust the yields of those other instruments is specified in Appendix A
to this subpart.
(v) Large increases in yields--If the 10-year constant maturity
Treasury yield is assumed to increase by more than 50 percent over the
average yield
[[Page 29621]]
during the 9 months immediately preceding the stress period, the
Director shall adjust the losses resulting from the conditions
specified in paragraphs (a)(2) (i) and (ii) of this section to reflect
a correspondingly higher rate of general price inflation. The method of
such adjustment by the Director is specified in Appendix A to this
subpart.
(3) New business--Any contractual commitments of the Enterprise to
purchase mortgages or issue securities will be fulfilled. The
characteristics of resulting mortgages purchased, securities issued,
and other financing will be consistent with the contractual terms of
such commitments, recent experience, and the economic characteristics
of the stress period, as more fully specified in Appendix A to this
subpart. No other purchases of mortgages shall be assumed.
(4 ) Other activities--Losses or gains on other activities,
including interest rate and foreign exchange hedging activities, shall
be determined by the Director, in accordance with Appendix A to this
subpart and on the basis of available information, to be consistent
with the stress period.
(5) Consistency--Characteristics of the stress period other than
those specifically set forth in this paragraph (a), such as prepayment
experience and dividend policies, will be determined by the Director,
in accordance with Appendix A, on the basis of available information,
to be most consistent with the stress period.
(b) Risk-Based Capital Level--The risk-based capital level of an
Enterprise, to be used in determining the appropriate capital
classification of each Enterprise, as required by section 1364 of the
Federal Housing Enterprises Financial Safety and Soundness Act of 1992
(12 U.S.C. 4614), shall be equal to the sum of the following amounts:
(1) Credit and Interest Rate Risk--The amount of total capital
determined by applying the risk-based capital test under paragrpah (a)
of this section to the Enterprise.
(2) Management and Operations Risk--To provide for management and
operations risk, 30 percent of the amount of total capital determined
by applying the risk-based capital test under paragraph (a) of this
section to the Enterprise.
Appendix A to Subpart B of Part 1750--Risk-Based Capital Test
Methodology and Assumptions
1. Identifying the Benchmark Loss Experience.--OFHEO will use
the definitions, data, and methodology described below to identify
the benchmark loss experience.
A. Definitions.--In addition to the terms defined at section
1750.11, the following definition shall apply for this Appendix A:
Origination year means the year in which a loan is originated.
B. Data.
OFHEO identifies the benchmark loss experience using historical
loan-level data required to be submitted by each of the two
Enterprises. OFHEO's analysis is based entirely on the most current
data available on conventional, 30-year, fixed-rate loans secured by
first liens on single-unit, owner-occupied, detached properties.
Detached properties are defined as single-family properties
excluding condominiums, planned urban developments, and
cooperatives. The data includes only loans that were purchased by an
Enterprise within 12 months after loan origination and loans for
which the Enterprise has no recourse to the lender.
OFHEO organizes the data from each Enterprise to create two
substantially consistent data sets. OFHEO separately analyzes
default and severity data from each Enterprise. Default rates are
calculated from loan records meeting the criteria specified above.
Severity rates are calculated from the subset of defaulted loans for
which loss data are available.
C. Procedures.
i. Cumulative 10-year default rates for each combination of
states and origination years (state/year combination) that OFHEO
examines are calculated for each Enterprise by grouping all of the
Enterprise's loans originated in that combination of states and
years. For origination years with less than 10 years of loss
experience, cumulative-to-date default rates are used. The two
Enterprise default rates are averaged, yielding an ``average default
rate'' for that state/year combination.
ii. An ``average severity rate'' for each state/year combination
is determined in the same manner as the average default rate. For
each Enterprise, the aggregate severity rate is calculated for all
loans in the relevant state/year combination and the two Enterprise
severity rates are averaged.
iii. The ``loss rate'' for any state/year combination examined
is calculated by multiplying the average default rate for that
state/year combination by the average severity rate for that
combination.
iv. The default and severity behavior of loans in the state/year
combination containing at least 2 consecutive origination years and
contiguous areas with a total population equal to or greater than 5%
of the population of the United States with the highest loss rate
constitutes the benchmark loss experience.
2. Identification of a New Benchmark Loss Experience.--OFHEO
will periodically monitor available data and reevaluate the
benchmark loss experience using the methodology set forth in this
Appendix A. Using this methodology, OFHEO may identify a new
benchmark loss experience that has a higher rate of loss than the
benchmark experience identified at the time of the issuance of this
regulation. In the event such a benchmark is identified, OFHEO may
incorporate the resulting higher loss rates in the stress test.
3. Contents of the Risk-Based Capital Report.--(This space
deliberately left blank.)
4. Computation of Risk-Based Capital Level.--(This space
deliberately left blank.)
A. Seasoning Methodology.--OFHEO will determine the rate of
change over time in the values of single-family properties securing
mortgages using the House Price Index published by OFHEO or any
successor index. (The remainder of this paragraph deliberately left
blank.)
Aida Alvarez,
Director, Office of Federal Housing Enterprise Oversight.
[FR Doc. 96-14496 Filed 6-10-96; 8:45 am]
BILLING CODE 4220-01-P
