Operating Policy
Statement Regarding Agency Mortgage-Backed Securities Small Value Coupon Swap Exercise Results
May 28, 2020
The Federal Reserve Bank of New York Open Market Trading Desk (the Desk) concluded the small value coupon swap exercise.  As previously announced on May 19th, 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 26-27, 2020
Operation: Coupon Swaps
Operation Type: TBA
Settlement Dates: June 11, 2020 (Class A), June 17, 2020 (Class B), June 22, 2020 (Class C)
Total Amount (millions): $20

Operation Details

  DATE SELL BUY AMOUNT SETTLEMENT DATE
Operation 1 5/26/2020 FNCL 3.0 FNCL 2.5 $5 million 6/11/2020
Operation 2 5/26/2020 FNCI 3.0 FNCI 2.5 $5 million 6/17/2020
Operation 3 5/27/2020 G2SF 2.5 G2SF 3.5 $5 million 6/22/2020
Operation 4 5/27/2020 FNCL 3.5 FNCL 4.0 $5 million 6/11/2020