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

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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