NY Fed to Use ‘Limited Amount’ of Coupon Swaps for Mortgage Bond Settlement

The Fed of New York said it will begin using a limited amount of coupon swap operations to facilitate the settlement of its purchases of mortgage-backed securities [MBS].

The bank said in a statement that it plans to replace unsettled Fannie Mae 30-year 5.5% coupon securities (Fannie Mae 5.5) with other agency MBS that are more readily available for settlement.

“The operations will begin on or around Tuesday, June 29, will be conducted as expeditiously as market conditions allow, and are not expected to exceed the unsettled amount of $9.2 billion in the Fannie Mae 5.5.”

The bank also said that it “may continue to arrange dollar roll transactions as needed to facilitate settlement.”

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