106'STAT. 3972 PUBLIC LAW 102-550—OCT. 28, 1992

Subtitle B—Required Capital Levels for
Enterprises and Special Enforcement
Powers

12 USC 4611. SEC. 1861. RISK-BASED CAPITAL LEVELS.

Regulations. (a) RiSK-BASEp CAPITAL TEST.—The Director shall, by regula-

tion, establish a risk-based capital test under this section for the
enterprises. When applied to an enterprise, the risk-based capital
test shall determine the amount of total capital for the enterprise
that is sufficient for the enterprise to maintain positive capital
during a 10-year period in which the following circumstances occur
(in this section referred to as the "stress period ):

(1) CREDIT RISK.—With respect to mortgages owned or
guaranteed by the enterprise and other obligations of the enter-
prise, losses occur throughout the United States at a rate
of default and severity (based on any measurements of default
reasonably related to prevailing practice for that industry in
determining capital adequacy) reasonably related to the rate
and severity that 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 that, for a period
of not less than 2 years, experienced the highest rates of default
and severity of mortgage losses, in comparison with such rates
of default and severity of mortgage losses in other such areas
for any period of such duration.

(2) INTEREST RATE RISK.—

(A) IN GENERAL.—Interest rates decrease as described
in subparagraph (B) or increase as described in subpara-
graph (C), whichever would require more capital for the
enterprise.

(B) DECREASES.—The 10-year constant maturity Treas-
ury yield decreases during the first year of the stress
period and will remain at the new level for the remainder
of the stress period. The yield decreases to the lesser of—

(i) 600 basis points below the average yield during
the preceding 9 months, or

(ii) 60 percent of the average yield during the
preceding 3 years,

but in no case to a yield less than 50 percent of the
average yield during the preceding 9 months.

(C) INCREASES.—The 10-year constant maturity Treas-
ury 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—

(i) 600 basis points above the average yield during
the preceding 9 months, or

(ii) 160 percent of the average yield during the
preceding 3 years,

but in no case to a yield greater than 175 percent of
the average yield during the preceding 9 months.

(D) DIFFERENT TERMS TO MATURITY.—Yields of Treas-
ury instruments with other terms to maturity will change
relative to the 10-year constant maturity Treasury yield
in patterns and for durations that are reasonably related