The Federal Reserve Bank of New York (FRBNY) Open Market Trading Desk (the Desk) has concluded its small value coupon swap exercise. As previously announced on May 16th, 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: Coupon Swaps
Operation Type: TBA
Settlement Dates: June 13, 2017 (Class A), June 19, 2017 (Class B), June 21, 2017 (Class C)
Total Amount (millions): $20
DATE | SELL | BUY | AMOUNT | SETTLEMENT DATE | |
Operation 1 | 5/23/2017 | FNCL 3.5 | FNCL 4.0 | $5 million | 6/13/2017 |
Operation 2 | 5/23/2017 | G2SF 4.0 | FNCL 3.5 | $5 million | 6/13/2017 |
Operation 3 | 5/24/2017 | FNCI 2.5 | FNCI 3.0 | $5 million | 6/19/2017 |
Operation 4 | 5/24/2017 | FGLMC 4.0 | FGLMC 3.5 | $5 million | 6/13/2017 |