Operating Policy
Statement Regarding Agency Mortgage-Backed Securities Small Value Exercise
March 26, 2019

The New York Fed undertakes certain small value open market transactions from time to time for the purpose of testing operational readiness to implement existing and potential policy directives from the Federal Open Market Committee (FOMC). The FOMC authorizes the New York Fed’s Open Market Trading Desk (the Desk) to conduct these exercises to test its operational readiness in the Authorization for Domestic Open Market Operations and Authorization for Foreign Currency Operations.

In connection with these authorizations, the Desk intends to conduct four small value agency MBS dollar roll operations between April 2nd and 3rd, 2019.  Over the course of these two days, the Desk intends to roll the following unsettled April To-Be-Announced (TBA) positions to May settle: 30-year Fannie Mae 4.0 percent coupon, 30-year Fannie Mae 3.5 percent coupon, 15-year Fannie Mae 3.5 percent coupon, and 30-year Ginnie Mae II 4.0 percent coupon securities. Each operation will have a face value of $5 million, for a total current face value of $20 million across the four operations.