Mortgage hedging drives vol


Mortgage servicers’ and investors’ need to hedge their exposure to the continuing onslaught of US mortgage refinancing in recent months increased volatility in the US options market to record levels in late September and early last month.

The refinancing boon has forced mortgage players such as Fannie Mae and Freddie Mac to scramble to hedge their convexity risk. In particular, dealers say Fannie Mae’s need to close its duration gap, which hit 14 months in August, its widest level ever, was

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here