Statement of Work - Economic Data and Projections.pdf

Federal Housing Finance Agency Statement of Work

Economic Data and Projections

1.0 BACKGROUND

The Federal Housing Finance Agency (FHFA) was created by the Housing and Economic Recovery Act of 2008 (HERA) to regulate and supervise Fannie Mae, Freddie Mac, the 11 Federal Home Loan Banks, and the FHLBanks’ Office of Finance (together, the Regulated Entities). HERA combined three organizations, the Office of Federal Housing Enterprise Oversight, the Federal Housing Finance Board, and a group from the Department of Housing and Urban Development, which collectively had previously regulated these entities. These institutions play critical roles in supporting our nation’s housing finance system. Fannie Mae and Freddie Mac guarantee mortgage-backed securities (MBS) and hold mortgages and MBS for investment. The Federal Home Loan Banks lend money to banks and other financial institutions using mortgages as collateral and invest in mortgage-related assets. In 2008, FHFA placed Fannie Mae and Freddie Mac in conservatorships, where they remain.

The FHFA currently uses both historical and forecasted economic data for policy analysis; centered on housing economics (house prices, sales, new construction, permits, etc.), labor markets, and macro financial market data (interest rates, debt outstanding). The goal of this procurement is to maintain our current capacities and/or enhance our consumption of historical and forecasted economic data.

2.0 SCOPE

In general, the FHFA has a requirement for commercial off-the-shelf historical and forecasted economic data. The overall objective is to access and use vendor-supplied: scenario-based economic forecasts, multiple levels of geographical resolution of the forecasts and the supporting historical data, and maintenance and support services. In particular, the FHFA has an additional requirement for commercial off-the-shelf forecasts of, at least, (1) the FHFA Purchase Only House Price Index, (2) the FHFA All-transactions house price indices, and (3) one other, at minimum, House Price Index for baseline and stressed economic scenarios. See Section 3.3 below for additional detail.

3.0 TASKS

The Contractor shall supply the FHFA both historical and forecasted economic data and maintain these economic series on a timely basis. The Contractor shall also answer FHFA’s questions regarding the historical and forecasted economic data and technical methodologies as needed throughout the life of the contract. The specific requirements are:

3.1) Scenario Forecasts – the FHFA requires multiple forecast scenarios for each of the required economic series as described below. The scenarios shall include an expected (baseline) projection and several possible scenarios, including multiple stressful scenarios, that might propagate in the future. A plausible macroeconomic description of each scenario must be provided. The forecasts shall also include a countercyclical path. The minimum number of scenarios is 5, and the forecasted series shall have monthly observations (where applicable) and extend at least 360 months.

3.2) Multiple Geographical Resolutions, Historical and Forecasted Series – FHFA requires multiple levels of geographical resolution (where applicable), namely at the National level, State level (all 50 states, plus Washington D.C.) and Metropolitan Statistical Area (MSA) or Core-Based Statistical Area (CBSA) levels for both the historical series and the forecasted series. The historical series should begin in the first year the series was first reported by the relevant government agency (e.g., BLS). Historical and forecast data is required for MSAs or CBSAs.

3.3) Required Historical and Projected Economic Data Series – The contractor shall provide historical and projected economic data series at the multiple geographic resolutions listed in paragraph 3.2), above:

o House Price Indexes (all FHFA produced indexes and at least one other house price index available at a monthly frequency) o Median House Prices o Housing data including construction permits, housing starts, single family detached housing stock, etc.

o Rental rates for rental properties.

o Interest rates including the London Interbank Offered Rates (LIBOR), Secured

Overnight Financing Rate (SOFR), US Government securities, and swaps at all points along the yield curve as well as Primary Mortgage Market Survey rates for 30-year fixed rate mortgages, 15-year fixed rate mortgages, and one-year adjustable-rate mortgages (ARMs).

o Unemployment rates, labor force participation rates, and employment levels o Income measures including household income and personal income.

o Price indexes including the Consumer Price Index for All Urban Consumers (CPI-U) and its components.

o Product Account measures including gross domestic product (GDP) and its sector-level components.

o Population and demographic data

Table 1 lists examples of desired MSA/CBSA historical and forecasted, and Table 2 lists examples of desired state-level forecasted and historical series. Table 3 lists examples of desired national macroeconomic historical and forecasted series.

The license agreement under which the contractor supplies the data shall permit at least 16 concurrent FHFA users. Licensed users may include personnel from multiple divisions across FHFA who shall be able to access the data from either their FHFA duty station or remotely while telecommuting or traveling on official Government business. FHFA requires a license agreement that allows FHFA to retain and use after contract termination derivative works (e.g., reports) created during the contract period of performance.

Licensed uses shall include, but not be limited to permitting FHFA to: (1) construct and publicly release summary statistics for different geographic areas and market segments, and (2) construct and publicly release historical data for different geographic areas and market segments.

3.4) Method of Delivery - The product shall be accessible to each authorized FHFA user via the internet. Web connectivity between FHFA and the Contractor, including all cloud-based solutions, will need to be reviewed by the FHFA Information Security team. Web access shall be compatible with recent versions of Windows Internet Explorer.

3.5) Maintenance and Support of Services –

3.5.a. FHFA requires the vendor to update both the economic forecasts and historical series monthly for economic variables traditionally reported monthly, and quarterly updates for series typically reported quarterly. The vendor shall produce a periodic report containing both a general economic outlook as well as a report describing significant forecasting model changes and enhancements.

3.5.b. FHFA also requires that vendor personnel be available to answer questions regarding both the historical and forecasted series.

3.6) Optional CCAR Data. The FHFA may require the vendor to supply extended and regionalized paths consistent the with Federal Reserve Board’s Comprehensive Capital Analysis and Review (CCAR). The vendor will extend the nine quarter CCAR path (house prices, unemployment, and interest rates) out to 120 quarters (30 years) and convert the single national CCAR path into MSA/CBSA, and states paths.

4.0 DELIVERABLES:

• The product shall be accessible to each authorized FHFA users’ computer (a minimum of 16 concurrent users) via the internet within 5 days following contract award.

• The vendor shall provide both the economic forecasts and historical series on a monthly basis for economic variables that are traditionally reported monthly, and quarterly updates for series typically reported quarterly.

• The vendor shall produce a periodic report containing both a general economic outlook as well as a report describing significant forecasting model changes and enhancements.

• The vendor staff be available to answer questions regarding both the historical and forecasted series. The vendor shall provide responses within one business day.

Table 1: MSA/CBSA Geographic-level Forecast Variables Bankruptcies: Total Personal, Bankruptcies: Personal - Chapter 7, Bankruptcies: Personal - Chapter 13, Bankruptcies: Personal - Chapter 11, Bankruptcy: Business, (#, 12-Month Ending, SAAR) Bankruptcies: Business - Chapter 7, Bankruptcies: Business - Chapter 13 Bankruptcies: Business - Chapter 11 and 12 Deposits Deposits at all FDIC-Insured Banks Demographics: Migration, Birth Rates, Death Rates Number of Households, annual Total Population, quarterly by age group Total Population, annual by age group Industrial production by Sector Industrial Production: Total Gross metro product Household Income (Median & Average) Total personal income Total personal income by components:

Household employment: Total labor force, Labor force participation rate, Total employed, Total unemployed, Unemployment rate

Industry employment By Sector Consumer Price Index Housing Completions: Total, Single Family & Multifamily (# of units) Housing Affordability Index Mortgage Originations: Purchase and Refinances (Mil $) Housing Permits: Single Family, Multifamily (Units) Median Existing Home Price (Ths. $) FHFA Conventional and Conforming Home Price Index, All transactions FHFA Purchase-Only Home Price Index Single-family sales (Ths.,) Single-family Starts, (Units) Multi-family Starts, (Units) Rental Vacancy Rate (%)

Table 2: State-level Forecast Variables ABA Delinquencies (By type) Bankruptcies: Total Personal, (#, 12-Month Ending) Bankruptcy: Business, (#, 12-Month Ending) Consumer Credit Outstanding Total (Mil $) (Revolving & Non-revolving) Household Debt-to-Income Ratio, (%) MBA Delinquencies & Foreclosures: by loan type Demographics Population: Total Population, quarterly, Number of Households Gross State product by Industry (Constant $) Income Average hourly earnings Household Income Average Household Income Median Household Income Median Family Income Per Capita Income Annual Nominal Real Per Capita Disposable Income Quarterly Nominal Real Per Capita Disposable Income Total Personal Income (Mil. $) Personal Income: real Unemployment Insurance - Initial Claims Household employment Total labor force Labor force participation rate Total employed Total unemployed Unemployment rate Total Mortgage Originations Purchase Originations Refinancing Originations Permits Residential, (Units) Single Family Multifamily Private residential, (Ths. $, SAAR) Nonresidential, (Mil. $, SA) Real estate Prices Median Existing Home Price (Ths. $) FHFA Conventional and Conforming Home Price Index, all transactions FHFA Purchase-Only Home Price Index

Real estate Sales Existing single-family home sales, (Ths. of units) New and existing single-family home sales, (Ths. of units) Residential Housing Starts (Units) Single Family (Units) Multifamily (Units) Real estate Vacancy rate Rental Vacancy Rate (%)

Table 3: National-level Forecast Variables

Consumer credit outstanding (Mil.$) Revolving Nonrevolving Interest rates on credit cards Net % of banks tightening lending standards All mortgages Prime mortgages Non-conventional mortgages Credit quality (MBA) MBA National Mortgage Delinquency Survey Delinquency rates, by loan type Consumer confidence Consumer Confidence Average hourly earnings Money market, yield curve, corporate Money Market Rates Federal Funds Rate Prime Rate Discount Rate Commercial paper 30-Day

LIBOR

SOFR

30-Day 91-Day 180-Day 365-Day Corporate Rates Corporate: Long-term (28-year average maturity) Corporate: Intermediate-term (7-year average maturity) Corporate spreads: Intermediate-term (7-year average maturity) Municipal (20-year average maturity) Treasury Bill Rates 91-Day T-Bill 182-Day T-Bill Treasury Bond Rates Treasury: 1-Year Treasury: 2-Year Treasury: 3-Year Treasury: 5-Year Treasury: 7-Year Treasury: 10-Year Treasury: 20-Year

Treasury: 30-Year Interest Rate Swaps

1-year 2-year 3-year 4-year 5-year 7-year 10-year 30-year

Mortgage rates Primary Market (Freddie Mac) Fixed: U.S. 30-year Fixed: U.S. 15-year Spread, U.S. 30-year and 15-year rates Adjustable: U.S.

Current Coupon GNMA Total unemployed Unemployment rates Comprehensive Inflation Variables (PPI, CPI, PCE) Residential Construction Single-family Multifamily Housing completions, total Single-family Multifamily Home sales Seasonally adjusted annual rate Mortgage originations, total Purchase Refi Refi share of mortgage originations, % Other Housing Indicators Months supply of new homes Months supply of existing homes Single-family homes for sale Homeownership rate, % Rental vacancy rate, % Housing affordability index (HAI), index