Operating Policy
Statement Regarding Agency Mortgage-Backed Securities Small Value Coupon Swap Exercise Results
May 9, 2019
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 May 3rd, 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: May 7-8, 2019
Operation: Coupon Swaps
Operation Type: TBA
Settlement Dates: May 13, 2019 (Class A), May 16, 2019 (Class B), May 21, 2019 (Class C)
Total Amount (millions): $20

Operation Details

  DATE SELL BUY AMOUNT SETTLEMENT DATE
Operation 1 5/7/2019 FNCL 4.0 FNCL 3.5 $5 million 5/13/2019
Operation 2 5/7/2019 FGLMC 3.5 FGLMC 4.0 $5 million 5/13/2019
Operation 3 5/8/2019 FNCI 3.5 FNCI 3.0 $5 million 5/16/2019
Operation 4 5/8/2019 G2SF 3.5 G2SF 4.0 $5 million 5/21/2019