Operating Policy

Statement Regarding Agency Mortgage-Backed Securities Small Value Coupon Swap Exercise Results

May 25, 2017

The Federal Reserve Bank of New York (FRBNY) Open Market Trading Desk (the Desk) has concluded its small value coupon swap exercise. As previously announced on May 16th, the Desk planned four small value agency MBS coupon swap operations for the purpose of testing operational readiness. A summary of the operation results are below:

Operation Results
Operation Dates: May 23 -24, 2017
Operation: Coupon Swaps
Operation Type: TBA
Settlement Dates: June 13, 2017 (Class A), June 19, 2017 (Class B), June 21, 2017 (Class C)
Total Amount (millions): $20

Operation Details

  DATE SELL BUY AMOUNT SETTLEMENT DATE
Operation 1 5/23/2017 FNCL 3.5 FNCL 4.0 $5 million 6/13/2017
Operation 2 5/23/2017 G2SF 4.0 FNCL 3.5 $5 million 6/13/2017
Operation 3 5/24/2017 FNCI 2.5 FNCI 3.0 $5 million 6/19/2017
Operation 4 5/24/2017 FGLMC 4.0 FGLMC 3.5 $5 million 6/13/2017