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

May 9, 2019

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 May 3rd, 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 7-8, 2019
Operation: Coupon Swaps
Operation Type: TBA
Settlement Dates: May 13, 2019 (Class A), May 16, 2019 (Class B), May 21, 2019 (Class C)
Total Amount (millions): $20

Operation Details

	DATE	SELL	BUY	AMOUNT	SETTLEMENT DATE
Operation 1	5/7/2019	FNCL 4.0	FNCL 3.5	$5 million	5/13/2019
Operation 2	5/7/2019	FGLMC 3.5	FGLMC 4.0	$5 million	5/13/2019
Operation 3	5/8/2019	FNCI 3.5	FNCI 3.0	$5 million	5/16/2019
Operation 4	5/8/2019	G2SF 3.5	G2SF 4.0	$5 million	5/21/2019

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