Operating Policy
Statement Regarding Agency Mortgage-Backed Securities Small Value Exercise
May 19, 2020

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 coupon swap operations on May 26th and 27th, 2020.  On these days, the Desk intends to swap out of the following unsettled June To-Be-Announced (TBA) positions for other readily available MBS: 30-year UMBS 3.0 and 3.5 percent coupons, 15-year UMBS 3.0 percent coupon, and 30-year Ginnie Mae II 2.5 percent coupon. Each operation will have a face value of $5 million, for a total current face value of $20 million across the four operations.