The Federal Reserve Bank of New York said Friday it will offer options on $50 billion of term securities lending facility loans that span the September quarter-end in two separate auctions to be held Aug. 27 and Sept. 10.
The September quarter-end TOP auction cycle will sell options that give the buyer the right to borrow general Treasury collateral against a pledge of TSLF Schedule 2 collateral at a fixed fee of 25 basis points. The TSLF loan underlying the September quarter-end TOP will be for seven days beginning on Sept. 25 and maturing on Oct. 2.
The Aug. 27 and Sept. 10 TOP auctions will each offer $25 billion in options. If the Aug. 27 auction is undersubscribed, the Sept. 10 offering will be increased by the undersubscribed amount.