Operating Policy
Statement Regarding Agency Mortgage-Backed Securities Small Value Coupon Swap Exercise Results
April 26, 2018

The Federal Reserve Bank of New York Open Market Trading Desk (the Desk) concluded the small value coupon swap exercise. As previously announced on April 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: April 24-25, 2018
Operation: Coupon Swaps
Operation Type: TBA
Settlement Dates: May 14, 2018 (Class A), May 17, 2018 (Class B), May 21, 2018 (Class C)
Total Amount (millions): $20

Operation Details

  DATE SELL BUY AMOUNT SETTLEMENT DATE
Operation 1 4/24/2018 FNCL 4.0 FNCL 4.5 $5 million 5/14/2018
Operation 2 4/24/2018 G2SF 4.5 G2SF 3.5 $5 million 5/21/2018
Operation 3 4/25/2018 FNCI 3.5 FNCI 3.0 $5 million 5/17/2018
Operation 4 4/25/2018 FGLMC 4.0 FGLMC 4.5 $5 million 5/14/2018