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Commentaries — October 1, 2002

Fannie Mae’s Duration Gap And Why Rates Fell In September Audio If we assume Fannie Mae’s mortgage portfolio has the characteristics of the Merrill Mortgage Master Index (how can it not – its portfolio was $740 billion in August, roughly 30% the size of the entire mortgage index) and its debt has the characteristics of… Continue reading Untitled

Open Fannie Mae’s Duration Gap And Why Rates Fell In September
Audio
If we assume Fannie Mae’s mortgage portfolio has the characteristics of the Merrill Mortgage Master Index (how can it not – its portfolio was $740 billion in August, roughly 30% the size of the entire mortgage index) and its debt has the characteristics of the Agency Master Index (they are the largest component of this index), then we calculate that Fannie bought the equivalent of $60 billion of 10-year Treasuries in duration during September.