US Mortgage Memo: NY Fed Buys $18.8B MBS; Rolls $6.75B

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By Isobel Kennedy

NEW YORK, DEC 13 (MNI) – The New York Federal Reserve bought a net $18.8
billion Agency mortgage-backed securities in the week ended December 12 under
its combined QE3 and monthly prepayment reinvestment programs.

The Fed sometimes operates in the “to-be-announced” TBA dollar roll markets
because it does not want its massive buying program to create supply distortions
and delivery problems.

In the latest week, it sold $4.40 billion Fannie Maes with 3.50% coupon
for December delivery and bought a like amount of the same for January delivery.

It also sold the Freddie Mac 30-year 3.5% roll for December delivery for
$2.35 billion and bought a like amount for January delivery.

Market sources said the originators have not been selling enough of this
coupon to offset what the Fed and real money have been buying or to accomodate
short covering from accounts that have sold this security.

The Fed’s rolling action is another reason why traders and buyside accounts
do not seem perturbed by the near-record high positions of MBS in the Street.

For complete details of the Fed’s buying this week, please go to

–MNI New York Bureau; tel: +1 212-669-6434; email:



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