Regulatory Capital Requirements

3 Months Ended

Mar. 31, 2024

Broker-Dealer, Net Capital Requirement, SEC Regulation [Abstract]

Regulatory Capital Requirements

Regulatory Capital Requirements

FHFA’s enterprise regulatory capital framework rule went into effect in February 2021 and was amended in 2022 and 2023; however, we are not required to hold capital according to the rule requirements until the date of termination of our conservatorship, or such later date as may be ordered by FHFA.

The table below sets forth information about our capital requirements under the standardized approach of the enterprise regulatory capital framework. Available capital for purposes of the enterprise regulatory capital framework excludes the stated value of the senior preferred stock ($120.8 billion) and other amounts specified in footnote 2 to the table. Because of these exclusions, we had a deficit in available capital as of March 31, 2024 and December 31, 2023, even though we had positive net worth under GAAP of $82.0 billion and $77.7 billion as of March 31, 2024 and December 31, 2023, respectively.

We had a shortfall of $238 billion and $243 billion of our available capital (deficit) to the adjusted total capital requirement (including buffers) of $188 billion under the standardized approach of the enterprise regulatory capital framework as shown in the table below as of March 31, 2024 and December 31, 2023, respectively.

Risk-weighted assets decreased from $1,357 billion as of December 31, 2023 to $1,323 billion as of March 31, 2024, primarily due to continued single-family home price appreciation and ongoing credit risk transfer issuances.

Capital Metrics under the Enterprise Regulatory Capital Framework as of March 31, 2024(1)
(Dollars in billions)
Adjusted total assets		$	4,549
Risk-weighted assets		1,323
		Amounts						Ratios
		Available Capital (Deficit)(2)		Minimum Capital Requirement		Total Capital Requirement (including Buffers)(3)		Available Capital (Deficit) Ratio(4)		Minimum Capital Ratio Requirement		Total Capital Requirement Ratio (including Buffers)
Risk-based capital:
	Total capital (statutory)(5)	$	(30)	$	106	$	106	(2.3)	%	8.0	%	8.0	%
	Common equity tier 1 capital	(69)		60		142		(5.2)		4.5		10.7
	Tier 1 capital	(50)		79		161		(3.8)		6.0		12.2
	Adjusted total capital	(50)		106		188		(3.8)		8.0		14.2
Leverage capital:
	Core capital (statutory)(6)	(39)		114		114		(0.9)		2.5		2.5
	Tier 1 capital	(50)		114		138		(1.1)		2.5		3.0

Capital Metrics under the Enterprise Regulatory Capital Framework as of December 31, 2023(1)
(Dollars in billions)
Adjusted total assets		$	4,552
Risk-weighted assets		1,357
		Amounts						Ratios
		Available Capital (Deficit)(2)		Minimum Capital Requirement		Total Capital Requirement (including Buffers)(3)		Available Capital (Deficit) Ratio(4)		Minimum Capital Ratio Requirement		Total Capital Requirement Ratio (including Buffers)
Risk-based capital:
	Total capital (statutory)(5)	$	(34)	$	109	$	109	(2.5)	%	8.0	%	8.0	%
	Common equity tier 1 capital	(74)		61		140		(5.5)		4.5		10.3
	Tier 1 capital	(55)		81		160		(4.1)		6.0		11.8
	Adjusted total capital	(55)		109		188		(4.1)		8.0		13.9
Leverage capital:
	Core capital (statutory)(6)	(43)		114		114		(0.9)		2.5		2.5
	Tier 1 capital	(55)		114		137		(1.2)		2.5		3.0

(1)Ratios are calculated as a percentage of risk-weighted assets for risk-based capital metrics and as a percentage of adjusted total assets for leverage capital metrics.

(2)Available capital (deficit) for all line items excludes the stated value of the senior preferred stock ($120.8 billion). Available capital (deficit) for all line items except total capital and core capital also deducts a portion of deferred tax assets. Deferred tax assets arising from temporary differences between GAAP and tax requirements are deducted from capital to the extent they exceed 10% of common equity. As of March 31, 2024 and December 31, 2023, this resulted in the full deduction of deferred tax assets ($11.5 billion and $11.7 billion, respectively) from our available capital (deficit). Available capital (deficit) for common equity tier 1 capital also excludes the value of the perpetual, non-cumulative preferred stock ($19.1 billion) as of March 31, 2024 and December 31, 2023.

(3)The prescribed capital buffers represent the amount of capital we are required to hold above the minimum risk-based and leverage capital requirements. The applicable buffer for risk-based common equity tier 1 capital, tier 1 capital, and adjusted total capital is the PCCBA, which is composed of a stress capital buffer, a stability capital buffer, and a countercyclical capital buffer. The PCCBA must be comprised entirely of common equity tier 1 capital. The applicable buffer for leverage tier 1 capital is the PLBA. The stress capital buffer and countercyclical capital buffer are each calculated by multiplying prescribed factors by adjusted total assets as of the last day of the previous calendar quarter. The stability capital buffer is based on our share of mortgage debt outstanding. The prescribed leverage buffer for March 31, 2024 and December 31, 2023 was set at 50% of the March 31, 2024 and December 31, 2023 stability capital buffer, respectively.

(4)Ratios are negative because we had a deficit in available capital for each tier of capital.

(5)The sum of (a) core capital (see definition in footnote 6 below); and (b) 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 estimated foreclosure losses on mortgage-backed securities; and (ii) shall not include any reserves made or held against specific assets; and (c) any other amounts from sources of funds available to absorb losses that the Director of FHFA by regulation determines are appropriate to include in determining total capital.

(6)The sum of (a) the stated value of our outstanding common stock (common stock less treasury stock); (b) the stated value of our outstanding perpetual, noncumulative preferred stock; (c) our paid-in capital; and (d) our retained earnings (accumulated deficit). Core capital does not include: (a) accumulated other comprehensive income or (b) senior preferred stock.

While it is not applicable until the date of termination of our conservatorship, our maximum payout ratio represents the percentage of eligible retained income that we are permitted to pay out in the form of distributions or discretionary bonus payments under the enterprise regulatory capital framework. The maximum payout ratio for a given quarter is the lowest of the payout ratios determined by our capital conservation buffer and our leverage buffer. As a result of our capital shortfall, our maximum payout ratio under the enterprise regulatory capital framework as of March 31, 2024 and December 31, 2023 was 0%.