Operating Policy
Statement Regarding Agency Mortgage-Backed Securities Small Value Dollar Roll Exercise Results
April 4, 2019
The Federal Reserve Bank of New York Open Market Trading Desk (the Desk) concluded the small value dollar roll exercise. As previously announced on March 26th, the Desk planned four small value agency MBS dollar roll operations for the purpose of testing operational readiness. A summary of the operation results are below:

Operation Results
Operation Dates: April 2-3, 2019
Operation: Dollar Rolls
Operation Type: TBA
Total Amount (millions): $20

Operation Details

  DATE SELL BUY AMOUNT
Operation 1 4/2/2019 FNCL 4.0 April FNCL 4.0 May $5 million
Operation 2 4/2/2019 FNCI 3.5 April FNCI 3.5 May $5 million
Operation 3 4/3/2019 G2SF 4.0 April G2SF 4.0 May $5 million
Operation 4 4/3/2019 FNCL 3.5 April FNCL 3.5 May $5 million