Stock Return and Interest Rate Risk at Fannie Mae and Freddie Mac

Resource Type
Dataset : survey data
  • Schmid, Frank A. (Federal Reserve Bank of St. Louis)
Other Title
  • Version 1 (Subtitle)
Publication Date
Funding Reference
  • Federal Reserve Bank of St. Louis
Free Keywords
interest rates; mortgages
  • Abstract

    Fannie Mae and Freddie Mac are government-sponsored enterprises (GSEs) with the stated objective of promoting home ownership by improving the availability of mortgage financing for private households. These enterprises engage in two separate and distinct lines of business: (1) assembling and marketing pools of mortgages on which they guarantee the timely payments of principal and interest and (2) purchasing mortgage assets for their own portfolio, mostly funded with debt securities. This article examines the sensitivity of the returns on GSEs' shares to realizations of interest rate risk. The study shows that the market value of Fannie Mae and Freddie Mac's equity is vulnerable to increases in short-term interest rates and changes in the term spread (the difference between the long-term and short-term interest rates).
  • Table of Contents


    • DS1: Dataset
Geographic Coverage
  • United States
Collection Mode
  • (1) The file submitted is the program file 0501fsp.prg. (2) These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigators if further information is desired.

This study is freely available to the general public via web download.
Alternative Identifiers
  • 1312 (Type: ICPSR Study Number)
  • Schmid, Frank A.. Stock Return and Interest Rate Risk at Fannie Mae and Freddie Mac. Federal Reserve Bank of St. Louis Review.87, (1), 35-48.2005.

Update Metadata: 2015-08-05 | Issue Number: 6 | Registration Date: 2015-06-15