Statement Regarding Agency Mortgage-Backed Securities Small Value Dollar Roll Exercise Results

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Operating Policy

Statement Regarding Agency Mortgage-Backed Securities Small Value Dollar Roll Exercise Results

April 4, 2019

The Federal Reserve Bank of New York Open Market Trading Desk (the Desk) concluded the small value dollar roll exercise. As previously announced on March 26th, the Desk planned four small value agency MBS dollar roll operations for the purpose of testing operational readiness. A summary of the operation results are below:

Operation Results

Operation Dates: April 2-3, 2019
Operation: Dollar Rolls
Operation Type: TBA
Total Amount (millions): $20

Operation Details

	DATE	SELL	BUY	AMOUNT
Operation 1	4/2/2019	FNCL 4.0 April	FNCL 4.0 May	$5 million
Operation 2	4/2/2019	FNCI 3.5 April	FNCI 3.5 May	$5 million
Operation 3	4/3/2019	G2SF 4.0 April	G2SF 4.0 May	$5 million
Operation 4	4/3/2019	FNCL 3.5 April	FNCL 3.5 May	$5 million

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