MBS balance sheet changes for June 2022
If I take the weekly changes of the MBS asset data:
https://fred.stlouisfed.org/graph/?g=SBRc
and look at June 2022 I get the following:
So \$1.882 billion was added to the balance sheet.
Agency Mortgage-Backed Securities Operations
If I go to this site:
https://www.newyorkfed.org/markets/desk-operations/ambs
and query for data from Jan-Aug 2022, filter by items with a settlement date in June, and sum the Total Amt Accepted Par ($Millions) column I get:
I.e. \$40,385 billion MBS purchases were settled in June 2022.
Excel file above is here: https://1drv.ms/x/s!AjlM3TqVAvfOh8xvgRcnOzcJizqnxA?e=iqsMso
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.
Why the difference?
So the Fed purchased \$40,385 B in June, but only \$1.882 B is on the H.4.1 balance sheet data.
The \$17.5 B cap doesn't account for the whole difference.
What else is needed to reconcile the difference?
If this is due to securities that are expiring and thus the Fed is buying to maintain asset levels, where can we find data regarding these expiring MBS?
