These circumstances included a recent history of declining mortgage rates (which increased prepayment risk), a sharp unanticipated rise in market rates in November and December, low market liquidity in the months right before year-end, and a general reduction in activity after September 11.
Even with these factors, market participants estimate that the temporary hedging-related effect on the ten-year Treasury yield was no more than 25 basis points--again, a measurable but small effect.