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

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

October 26, 2017

The Federal Reserve Bank of New York (FRBNY) Open Market Trading Desk (the Desk) concluded the small value coupon swap exercise. As previously announced on October 17th, 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: October 24 -25, 2017
Operation: Coupon Swaps
Operation Type: TBA
Settlement Dates: November 13, 2017 (Class A), November 16, 2017 (Class B), November 20, 2017 (Class C)
Total Amount (millions): $20

Operation Details

	DATE	SELL	BUY	AMOUNT	SETTLEMENT DATE
Operation 1	10/24/2017	FNCL 4.0	FNCL 3.0	$5 million	11/13/2017
Operation 2	10/24/2017	FGLMC 3.5	FGLMC 4.0	$5 million	11/13/2017
Operation 3	10/25/2017	FGCI 2.5	FGCI 3.0	$5 million	11/16/2017
Operation 4	10/25/2017	G2SF 4.0	G2SF 3.5	$5 million	11/20/2017

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