FHFA Prepayment Monitoring Reports are Powered by RS Edge

To help enforce prepayment alignment across Fannie’s and Freddie’s Uniform MBS, the Federal Housing Finance Agency publishes a quarterly monitoring report comparing the prepayment speeds of UMBS issued by the two Agencies. This report helps ensure that prepayment performance remains consistent—so that market expectations of a Fannie-issued UMBS are fundamentally indistinguishable from those of a Freddie-issued UMBS and the two Agencies UMBS are both deliverable into passthrough “TBA” trades.

Last week, the FHFA released the most recent version of this report containing performance data from the fourth quarter of 2019. The charts in the FHFA’s publication, which are generated 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.

RiskSpan's RS Edge Graphs on FHFA Report

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 who want to be able 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, 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 what this tool can really do.