Operating Policy
Statement Regarding Agency Mortgage-Backed Securities Small Value Exercise
February 28, 2023

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 directs the Desk to conduct these exercises to test its operational readiness in the Authorizations and Continuing Directives for Open Market Operations.

In connection with these directives, the Desk intends to conduct a small value agency MBS dollar roll operation on March 7, 2023. On this day, the Desk will sell the roll: the Desk intends to sell unsettled March To-Be-Announced (TBA) positions and to subsequently buy April To-Be-Announced (TBA) positions. The Desk will roll the following security: 15-year UMBS 4.5 percent coupon. The dollar roll exercise will be comprised of 3 operations. Each operation will have a face value of $5 million, for a total current face value of $15 million across the three operations.

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