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

November 22, 2019

The Federal Reserve Bank of New York Open Market Trading Desk (the Desk) concluded the small value coupon swap exercise. As previously announced on November 13, 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: November 19 and 21, 2019
Operation: Coupon Swaps
Operation Type: TBA
Settlement Dates: December 12, 2019 (Class A), December 17, 2019 (Class B), December 19, 2019 (Class C)
Total Amount (millions): $20

Operation Details

DATE	SELL	BUY	AMOUNT	SETTLEMENT DATE
11/19/2019	FNCL 3.0	FNCL 2.5	$5 million	12/12/2019
11/19/2019	FNCL 3.0	FNCL 3.5	$5 million	12/12/2019
11/21/2019	FNCI 2.5	FNCI 3.0	$5 million	12/17/2019
11/21/2019	G2SF 3.5	G2SF 3.0	$5 million	12/19/2019

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