Operating Policy
Statement Regarding Agency Mortgage-Backed Securities Small Value Exercise
May 16, 2017

As referenced in the February 22 operating policy statement, the Federal Reserve Bank of New York (FRBNY) is permitted to undertake certain open market and foreign currency transactions for the purpose of testing operational readiness.  These small value exercises are a matter of prudent advance planning.  The conduct of such exercises does not represent a change in the stance of monetary policy and no inference should be drawn about the timing of any change in the stance of monetary policy in the future from them.

In connection with this authorization, the FRBNY’s Open Market Trading Desk (the Desk) intends to conduct four small value agency MBS coupon swap operations between May 23 and 24, 2017.  Over the course of these two days, the Desk intends to swap out of the following unsettled To-Be-Announced (TBA) positions for other readily available MBS: 30-year Fannie Mae 3.5 percent coupon, 30-year Ginnie Mae II 4.0 percent coupon, 15-year Fannie Mae 2.5 percent coupon, and 30-year Freddie Mac 4.0 percent coupon securities. Each operation will have a face value of $5 million, for a total current face value of $20 million across the four operations.