Operating Policy
Statement Regarding Agency Mortgage-Backed Securities Small Value Coupon Swap Exercise Results
November 22, 2019
The Federal Reserve Bank of New York Open Market Trading Desk (the Desk) concluded the small value coupon swap exercise. As previously announced on November 13, 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: November 19 and 21, 2019
Operation: Coupon Swaps
Operation Type: TBA
Settlement Dates: December 12, 2019 (Class A), December 17, 2019 (Class B), December 19, 2019 (Class C)
Total Amount (millions): $20

Operation Details

DATE SELL BUY AMOUNT SETTLEMENT DATE
11/19/2019 FNCL 3.0 FNCL 2.5 $5 million 12/12/2019
11/19/2019 FNCL 3.0 FNCL 3.5 $5 million 12/12/2019
11/21/2019 FNCI 2.5 FNCI 3.0 $5 million 12/17/2019
11/21/2019 G2SF 3.5 G2SF 3.0 $5 million 12/19/2019
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