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

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Operating Policy

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

August 23, 2018

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 August 13th, 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: August 20-21, 2018
Operation: Coupon Swaps
Operation Type: TBA
Settlement Dates: September 13, 2018 (Class A), September 18, 2018 (Class B), September 20, 2018 (Class C)
Total Amount (millions): $20

Operation Details

	DATE	SELL	BUY	AMOUNT	SETTLEMENT DATE
Operation 1	8/20/2018	FNCL 4.0	FNCL 4.5	$5 million	9/13/2018
Operation 2	8/20/2018	FNCI 3.5	FNCI 3.0	$5 million	9/18/2018
Operation 3	8/21/2018	G2SF 4.0	G2SF 4.5	$5 million	9/20/2018
Operation 4	8/21/2018	FGLMC 4.5	FGLMC 3.5	$5 million	9/13/2018

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