FMHI-FIG Mortgage Hedge Index

The FIG Mortgage Hedge Index (FMHI) is a TBA-specific LIBOR:OAS model. It was created to assist with hedge composition and timing. The FMHI is a daily index that evaluates movement between agency-specific TBAs and their LIBOR/Swap "futurized" equivalents. This proprietary index allows traders and portfolio managers the ability to visualize LIBOR:TBA OAS dislocations, and provides a trade-able solution that can be easily implemented.