To help enforce alignment of Agency prepayments across Fannie’s and Freddie’s Uniform MBS, the Federal Housing Finance Agency publishes a quarterly monitoring report. This report compares prepayment speeds of UMBS issued by the two Agencies. The objective is to help ensure that prepayment performance remains consistent. This consistency ensures that market expectations of a Fannie-issued UMBS are fundamentally indistinguishable from those of a Freddie-issued UMBS. The two Agencies’ UMBS should be interchangeably deliverable into passthrough “TBA” trades.
This week, the FHFA released the Q1 2022 version of this report. The charts in the FHFA’s publication, which it generates using RiskSpan’s Edge Platform, compare Fannie and Freddie UMBS prepayment rates (1-month and 3-month CPRs) across a variety of coupons and vintages.
Relying on RiskSpan’s Edge Platform for this sort of analysis is fitting in that it is precisely the type of comparative analysis for which Edge was developed.
Edge allows traders, portfolio managers, and analysts to compare performance across a virtually unlimited number of loan subgroups. Users can cohort on multiple loan characteristics, including servicer, vintage, loan size, geography, LTV, FICO, channel, or any other borrower characteristic.
Edge’s easy-to-navigate user interface makes it accessible to traders and PMs seeking to set up queries and tweak constraints on the fly without having to write SQL code. Edge also offers an API for users that want programmatic access to the data. This is useful for generating customized reporting and systematic analysis of loan sectors.
Comparing Fannie’s and Freddie’s prepay speeds only scratches the surface of Edge’s analytical capabilities. Schedule a demo to see more of what the platform can do.
