U.S. Mortgage Index Providers Prepare for Fannie-Freddie Launch

Jan. 30, 2019, 3:32 PM

The Bloomberg and FTSE Russell index teams have revealed how they plan to adapt their products to account for the soon-to-be-released Uniform MBS, with both creating generic cohorts to account for the new Freddie Mac 55-day pools.

The Bloomberg Barclays U.S. MBS index will have three types of conventional cohorts: one for the legacy 45-day Freddie pools, one for exchanged and new 55-day Freddie pools, and one for Fannie pools. All Fannie generics and 55-day Freddie generics will be tagged as UMBS, which will allow Bloomberg users to group them together if desired and allow for the publishing of sub-indexes ...

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