In the coming months, the Federal Reserve Bank of New York (New York Fed) Open Market Trading Desk (the Desk) will resume the process of streamlining the administration of some of the agency mortgage-backed securities (MBS) held in the System Open Market Account (SOMA) through a service offered by Fannie Mae and Freddie Mac called CUSIP aggregation. Through this process, aggregated CUSIPs are formed by consolidating existing agency MBS with similar characteristics, such as term and coupon, into larger pass-through securities. This process is commonly used by market participants, and has previously been used by the New York Fed to reduce the administrative costs and operational complexity associated with managing an agency MBS portfolio.
The SOMA currently holds approximately 30,000 individual agency MBS CUSIPs and the CUSIP aggregation process will reduce the number of CUSIPs to about 6,000. Because all of the payments on the underlying agency MBS flow through to the aggregated CUSIPs, the aggregation process will not otherwise affect the size or characteristics of the SOMA portfolio and does not indicate anything about the future timing or direction of changes in policy
The New York Fed publishes detailed data on all settled SOMA agency MBS holdings on its public website on a weekly basis. As aggregations take place, this weekly publication will include a listing of the individual agency MBS CUSIPs that have been aggregated. The Desk will continue to include a listing of the individual agency MBS CUSIPs underlying each aggregated CUSIP. In addition, Fannie Mae and Freddie Mac provide information about aggregated CUSIPs, including the underlying agency MBS, on their public websites. As a result, the full listings of all the MBS CUSIPs that are included in this aggregation effort will be publicly available. Additional information can be found in the Desk’s Frequently Asked Questions: