Statement Regarding Agency Mortgage-Backed Securities Small Value Coupon Swap Exercise Results

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Operating Policy

Statement Regarding Agency Mortgage-Backed Securities Small Value Coupon Swap Exercise Results

October 13, 2016

The Federal Reserve Bank of New York (FRBNY) Open Market Trading Desk (the Desk) concluded the small value coupon swap exercise. As previously announced on September 27th, 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: October 5th-6th, 2016
Operation: Coupon Swaps
Operation Type: TBA
Settlement Dates: October 13, 2016 (Class A), October 18, 2016 (Class B), October 20, 2016 (Class C)
Total Amount (millions): $20

Operation Details

	DATE	SELL	BUY	AMOUNT	SETTLEMENT DATE
Operation 1	10/5/2016	FNCL 3.5	FNCL 3.0	$5 million	10/13/2016
Operation 2	10/5/2016	FNCL 3.0	FGLMC 3.5	$5 million	10/13/2016
Operation 3	10/6/2016	FGCI 2.5	FGCI 2.0	$5 million	10/18/2016
Operation 4	10/6/2016	G2SF 3.0	G2SF 3.5	$5 million	10/20/2016

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