Consider this an open letter to the 100+ participants in the quarterly Pulsenomics survey of forward home prices (of which I one), and for users who embrace some of the outlier views that get submitted.
While there is no forward market in Fannie Mae home price indices (that I'm aware of) one can infer a band of potential clearing levels on the Fannie Mae home price index, by combining the Case Shiller 10-city home price index futures that are traded on the CME with an HPHF Ratio Agreement (of the Fannie Mae index divided by the Case Shiller 10-city futures). You might consider these results in your forecasts for year-end 2025 and 2026 Fannie Mae indices.
To start, while the two indices have different methodologies, reference different valuations, and cover a different set of home prices ^1, one can see (in the top graph) that the indices have mostly moved in lockstep. This stability between the indices also shows in the #HPHF Ratio of the Fannie Mae index divided by the Case Shiller 10-city index (in the graph below to the left).
I've taken the current ratio (.9676) and have posted (see below) indicative bid and ask levels for the ratio for the year-end values for 2025 and 2026. These indications on the forward levels of this ratio are highlighted in yellow toward the right. (Note that I have the year-end "mid-market" levels of those indications rising slowly from 2024 (.9745) to 2025 (.9750) to 2026 (.9758), consistent w/ Fannie Mae slightly outperforming the Case Shiller 10-city index. I believe that the drop in the index for Q1 2025 reflects differences in seasonality of the two indices).
If one combines a quote from these ratios with the markets on the Case Shiller 10-city index futures, that are quoted on the CME, one can create a synthetic Fannie Mae forward price. That is the value of the CS index in the futures cancels out the value of the CS index in the denominator of the ratio, leaving just the Fannie Mae forward value.
Given my #HPHF indications, and the levels quoted for the CS futures on the CME, one gets implied forward prices for the Fannie Mae index of 351.1/356.5 (bid/ask) for the 2025 Q4 activity, and 358.0/368.0 for the 2026 Q4 activity. (Note that the numbers appear in grey below to the right).
These prices then convert into differences from Q4 2024 of 2.77/4.35% for Q4 2025, 1.18/4.01% for Q4 2026 and cumulative gains over the two years of 4.78/7.71%. (Note that these are derived from combining CME quotes and HPHF ratios at the bid side of one, and the offered side of the other. I'd be happy to work slightly inside these levels should someone have interest). ^2
Note that these forward prices (and therefore implied gains) for the Fannie Mae index change as either the ratio quotes change (e.g. changes in sentiment that the Fannie Mae index might rise, or fall, more than the Case Shiller index) and/or by changes in the CME futures. However, as I've noted before, the CME prices reflect levels where two parties are willing to transfer risk and - particularly for such a thinly traded contract such as this - may not completely reflect expectations.
Anyone with strong views outside the bid/ask ranges implied by these combinations (e.g. if they believe that cumulative HPA through year-end 2026 will be outside the range of 4.78-7.71%), might consider expressing their views via this strategy.
Thanks, John
^1 I'm measuring the NSA indices using the quarterly values for the Fannie Mae index (often released 15 days after quarter end) and the Case Shiller NSA 10-city index results that cover the three-month period ending at quarter-ends. For example, the indices updated on the last Tuesday in February (yes ~55-60 days after quarter-end) cover activity from October through December - the same time period the Fannie Mae Q4 index measures. Unfortunately, the ratio does consist of two numbers released on different dates.
^2 One nit is that while the Ratios can be independently quoted for any denomination, the CME Case Shiller futures have notional value of $250/point times price of ~360 or $90,000. As such, combinations should be done in notional multiples of ~$90k