The Federal Reserve’s announcement that it will be extending Operation Twist disappointed mortgage investors as the statement did not include any additional mortgage purchases, according to a JPMorgan Securities midday report released Wednesday.

In fact, the mortgage basis weakened by 4-8 ticks after the announcement. Op Twist’s extension means that the Fed will continue reinvesting paydowns of about $25 billion per month back into mortgages versus gross issuance worth $110 billion per month, analysts said.

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