NY Fed Statement Regarding Agency Mortgage-Backed Securities Small Value Exercises

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 March 5, 2024 and three small value agency MBS coupon swap operations on March 13, 2024.

On March 5, the Desk will sell the roll: the desk intends to sell unsettled March To-Be-Announced (TBA) positions and to subsequently buy April To-Be-Announced (TBA) positions. The desk will roll the following security: 15-year UMBS 5.0 percent coupon. The dollar roll exercise will be comprised of 3 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 March 13, the Desk intends to swap out of unsettled March To-Be-Announced (TBA) positions of 30-year Ginnie Mae 5.5 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.

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