Mustafa Chowdhury on Mortgage Risks, Fed Shocks and Derivatives
Macro Hive Conversations With Bilal Hafeez
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Swakshins Market - The Biggest Test
In 2001, 500 plus billion dollars of notional became in the money when they were statistically supposed to be very out of the money. Since then interest rates pretty much either decline or stayed stable. And so the MBS universe has become more and more lower coupon and the convexity lower and lower. So the hedging with options have declined over time.
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