Last Monday Fannie Mae announced that its portfolio duration gap decreased to negative 14 months on August 31 from negative nine months at the end of July. The GSE said the gap is the lowest level seen since fall 1997.

Two days later, Freddie Mac released its monthly interest-rate risk sensitivity disclosure as part of its Monthly Volume Summary report. In direct contrast to Fannie, Freddie revealed that its duration gap averaged approximately zero months for August, which is unchanged from July.

Subscribe Now

Access to a full range of industry content, analysis and expert commentary.

30-Day Free Trial

No credit card required. Access coverage of the securitization marketplace, including breaking news updated throughout the day.