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The Federal Reserve’s Experience Purchasing and Reinvesting Agency MBS Remarks at the Bank of England London, UK Simon Potter March 7, 2019 The views presented here are those of the author and do not necessarily reflect those of the Federal Reserve Bank of New York or the Federal Reserve System Figure 1: Composition of SOMA Domestic Securities Holdings Figure 2: SOMA Agency MBS Purchases and the Primary Mortgage Rate Figure 3: Agency MBS Daily Transaction Volume Figure 4: Agency MBS Daily Effective Bid-Ask Spreads Figure 5: Weekly Agency MBS Fails Figure 6: SOMA Portfolio Holdings by Vintage and Coupon, 2014 vs. 2018 Figure 7: Investment Grade Corporate Credit and MBS Spreads to Treasuries Figure 8: Projected Paydown Profile of SOMA Agency Debt and MBS Principal Figure 9: Fannie Mae 30-Year Current Coupon MBS Option-Adjusted Spread to Treasuries