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Methodology for Determining Credit Risk Scenarios for Stress-Testing Mortgage Related Assets

Metadata Updated: January 25, 2023

The FHFA stress test is updated each quarter according to objective rules derived from fundamental economic relationships. These rules affect a dynamic adjustment to the severity of the stress test that accounts for current economic conditions, specifically the current level of house prices relative to the ongoing house price cycle. The stress test incorporates different house-price level (HPI) stress paths for each state, thus accounting for the fact that house price cycles can differ significantly from one state or region to another. The severity of the economic stress imposed by the test, as measured by the projected percentage drop in HPI, changes over time for each state corresponding to the deviation of current HPI from its long-run trend. As a result of this design, the FHFA stress test will produce countercyclical economic capital requirements, in that the estimates of potential losses on new mortgage loan originations increase during economic expansions, as current HPI rises above its long-term trend, and decrease during economic contractions, as current HPI falls to or below trend. The dynamic adjustment feature of the stress test allows that it will accommodate any size current house price cycle, even those of greater amplitude than any observed previously. Further, the severity of the stress test is calibrated to produce economic capital requirements that are sufficient, as of the day of origination, to fully capitalize the mortgage assets for the life of those assets.

Access & Use Information

Public: This dataset is intended for public access and use. License: No license information was provided. If this work was prepared by an officer or employee of the United States government as part of that person's official duties it is considered a U.S. Government Work.

Downloads & Resources

Dates

Metadata Created Date January 25, 2023
Metadata Updated Date January 25, 2023
Data Update Frequency R/P1M

Metadata Source

Harvested from FHFA JSON

Additional Metadata

Resource Type Dataset
Metadata Created Date January 25, 2023
Metadata Updated Date January 25, 2023
Publisher Federal Housing Finance Agency
Maintainer
Identifier FHFA1103
Language en-US
Data Last Modified 2023-01-20T20:33:04.386Z
Rights true
Public Access Level public
Data Update Frequency R/P1M
Bureau Code 015:11
Metadata Context https://project-open-data.cio.gov/v1.1/schema/catalog.jsonld
Schema Version https://project-open-data.cio.gov/v1.1/schema
Catalog Describedby https://project-open-data.cio.gov/v1.1/schema/catalog.json
Data Quality True
Harvest Object Id f7b93157-0001-490d-9e17-3f31e2754fc7
Harvest Source Id f37782a8-9657-4976-8077-936b628b3973
Harvest Source Title FHFA JSON
Homepage URL https://www.fhfa.gov/DataTools/Downloads/Pages/Countercyclical-Mortgage-Asset-Stress-Test.aspx
Program Code 015:001
Publisher Hierarchy Federal Housing Finance Agency > Federal Housing Finance Agency
Source Datajson Identifier True
Source Hash 572d5450000b1e2324a579185a35d3a2cf5a15fa
Source Schema Version 1.1
Temporal 2018-02-28/2022-10-30

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