9 Comments

In your first example of GNMA II, why would you add the balance reduction of 4.4bn to the net purchase of 4.84bn? The latter purchase increases the balance, no?

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According to Figure 3 in:

https://www.richmondfed.org/publications/research/economic_brief/2022/eb_22-15

the Fed projects the runoff for MBS's to start at $22.5B/mo but by end of 2024, it will be only $18.5B/mo. I would have expected it to increase because of the way mortgages amortize. Could you explain why it decreases?

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Hi John, great post. I want to ask how would FED close the gap between projected runoff in MBS i.e. 35B and expected principal payments i.e. 23B (as per your latest post)? Is FED going to reduce some other security off its balance sheet as it does in the case of UST coupons by reducing UST Bills?

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Would you consider this approach to be valid for calculating the MBS purchased between May 13th and June 13th?

https://gist.github.com/dharmatech/b7b2757bc8d1e42b06e08704b22c78bd

It lines up with the $34.6 on announced by the Fed.

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Great post John!

I have a question that was too large to fit in these comments:

https://gist.github.com/dharmatech/516f3e6919b98c4c3d6ee6933d1970f8

It's regarding the use of the spreadsheet data available here:

https://www.newyorkfed.org/markets/ambs/ambs_schedule

Basically I'm wondering, did you just download all of them into a database to query as needed?

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