Interesting morsel from John Jansen at Across the Curve:
The Federal Reserve has purchased several hunded billion mortgages and is significantly underwater for all its efforts. They have bought big chunks of FNMA 4s between 100 and 101. Those bonds currently trade around 99.
This would indicate a paper loss of something like 3 Billion. Granted, it’s a paper loss, and 3 Billion now qualifies as chump change, but I doubt higher mortgage rates and multi-billion dollar losses is what the Fed was hoping for by purchasing mortgage bonds.