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 Desk to conduct these exercises in the Authorizations 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 13, 2024 and three small value agency MBS coupon swap operations on November 14, 2024.
On November 13, the Desk will sell the roll: the Desk intends to sell unsettled November To-Be-Announced (TBA) positions and to subsequently buy December TBA positions. The Desk will roll the following security: 15-year UMBS 4.5 percent coupon. The dollar roll exercise will be comprised of three operations. Each operation will have a face value of $5 million, for a total current face value of $15 million across the three operations.
On November 14, the Desk intends to swap out of unsettled November* TBA positions of 30-year Ginnie Mae 5.0 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.
*Corrected on November 14, 2024, from “March” to “November”.
