<p>Joseph Wang pointed out that TBAs settle at a future  date.</p>
<p><a href="https://twitter.com/FedGuy12/status/1556532842695475203" rel="nofollow noreferrer">https://twitter.com/FedGuy12/status/1556532842695475203</a></p>
<blockquote>
<p>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.</p>
</blockquote>
<p>So the purchases I'm seeing aren't necessarily for June.</p>

CC BY-SA 4.0
2022-08-08T08:31:00.937Z
2022-08-08T08:31:00.937Z
dharmatech
<h3>MBS changes for June 2022</h3>
<p>If I go through the H.4.1 data:</p>
<p><a href="https://www.federalreserve.gov/releases/h41/" rel="nofollow noreferrer">https://www.federalreserve.gov/releases/h41/</a></p>
<p>and pull out the Mortgage-backed securities data, I get the following for June 2022:</p>
<img src="https://i.sstatic.net/YmJ0t.png" width="500" />
<p>So \$1,882,000,000 worth of MBS was added to the balance sheet in June.</p>
<h3>Agency Mortgage-Backed Securities Operations</h3>
<p>If I go to this site:</p>
<p><a href="https://www.newyorkfed.org/markets/desk-operations/ambs" rel="nofollow noreferrer">https://www.newyorkfed.org/markets/desk-operations/ambs</a></p>
<p>and query for June 2022, I'm able to download the Excel data which I've put up here:</p>
<p><a href="https://1drv.ms/x/s!AjlM3TqVAvfOh8xhHv5nyhp2acWZvA?e=IQoALz" rel="nofollow noreferrer">https://1drv.ms/x/s!AjlM3TqVAvfOh8xhHv5nyhp2acWZvA?e=IQoALz</a></p>
<p>If I filter the <code>Operation Type</code> to <code>Outright TBA Purchase</code>:</p>
<img src="https://i.sstatic.net/hduId.png" width="300" />
<p>and sum the <code>TBA Par Amount Accepted ($)</code> column</p>
<p>I get a value of \$22,711,000,000.</p>
<p>\$22,711,000,000 is a lot higher than \$1,882,000,000. </p>
<h3>MBS cap?</h3>
<p>This site:</p>
<p><a href="https://www.federalreserve.gov/newsevents/pressreleases/monetary20220504b.htm" rel="nofollow noreferrer">https://www.federalreserve.gov/newsevents/pressreleases/monetary20220504b.htm</a></p>
<p>says:</p>
<blockquote>
<p>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.</p>
</blockquote>
<p>So for June, there's a cap of $17.5B for MBS.</p>
<p>So we get:</p>
<pre><code>  $22,711,000,000     Outright TBA Purchase (value from above)
- $17,000,000,000     Cap for MBS
-----------------
   $5,211,000,000
</code></pre>
<p>Even accounting for the \$17.5B MBS cap in June, I'm still getting <code>$5,211,000,000</code> which is much larger than <code>$1,882,000,000</code>.</p>
<h3>Question</h3>
<p>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.</p>
<p>Is there some data that I'm missing in the above?</p>
<p>Is it even practical to derive the H.4.1 data from the AMBS data?</p>

<federal-reserve>
Deriving the H.4.1 MBS data from the Agency Mortgage-Backed Securities Operations
dharmatech
# Deriving the H.4.1 MBS data from the Agency Mortgage-Backed Securities Operations

(Asked by: username_0 on 2022-08-07)

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?

**Tags:** federal-reserve

---

## 1 answers

### Answer by username_0 on 2022-08-08. Score: 0

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.


---

