The New York Fed undertakes certain small value open market transactions from time to time for the purpose of testing operational readiness to implement existing and potential policy directives from the Federal Open Market Committee (FOMC). The FOMC authorizes the New York Fed’s Open Market Trading Desk (the Desk) to conduct these exercises to test its operational readiness in the Authorization and Continuing Directives for Open Market Operations.
In connection with these authorizations, the Desk intends to conduct three small value agency MBS dollar roll operations on November 9, 2023 and three small value agency MBS coupon swap operations on November 15, 2023.
On November 9, the Desk will sell the roll: the Desk intends to sell unsettled November To-Be-Announced (TBA) positions and to subsequently buy December To-Be-Announced (TBA) positions. The Desk will roll the following security: 15-year UMBS 5.5 percent coupon. The dollar roll exercise will be comprised of 3 operations. Each operation will have a face value of $3 million, for a total current face value of $9 million across the three operations.
On November 15, the Desk intends to swap out of unsettled November To-Be-Announced (TBA) positions of 30-year Ginnie Mae 6.0 percent coupons for other readily available MBS. Each coupon swap operation will have a face value of $5 million, for a total current face value of $15 million across the three operations.
