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MBS changes for June 2022

If I go through the H.4.1 data:

https://www.federalreserve.gov/releases/h41/

and pull out the Mortgage-backed securities data, I get the following for June 2022:

So \$1,882,000,000 worth of MBS was added to the balance sheet in June.

Agency Mortgage-Backed Securities Operations

If I go to this site:

https://www.newyorkfed.org/markets/desk-operations/ambs

and query for June 2022, I'm able to download the Excel data which I've put up here:

https://1drv.ms/x/s!AjlM3TqVAvfOh8xhHv5nyhp2acWZvA?e=IQoALz

If I filter the Operation Type to Outright TBA Purchase:

and sum the TBA Par Amount Accepted ($) column

I get a value of \$22,711,000,000.

\$22,711,000,000 is a lot higher than \$1,882,000,000. 😅

MBS cap?

This site:

https://www.federalreserve.gov/newsevents/pressreleases/monetary20220504b.htm

says:

For agency debt and agency mortgage-backed securities, the cap will initially be set at \$17.5 billion per month and after three months will increase to $35 billion per month.

So for June, there's a cap of $17.5B for MBS.

So we get:

  $22,711,000,000     Outright TBA Purchase (value from above)
- $17,000,000,000     Cap for MBS
-----------------
   $5,211,000,000

Even accounting for the \$17.5B MBS cap in June, I'm still getting $5,211,000,000 which is much larger than $1,882,000,000.

Question

I'd like to see exactly how the H.4.1 data is arrived at by looking at the AMBS (Agency Mortgage-Backed Securities Operations) data. However, I'm getting the discrepancy shown above.

Is there some data that I'm missing in the above?

Is it even practical to derive the H.4.1 data from the AMBS data?

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1 Answer 1

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Joseph Wang pointed out that TBAs settle at a future date.

https://twitter.com/FedGuy12/status/1556532842695475203

TBAs are contracts to purchase MBS that are settled at a future date. When the transaction is actually settled the MBS shows up on balance sheet.

So the purchases I'm seeing aren't necessarily for June.

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