NY Fed Treasury Purchases 10 to 22.5 yrs

This series covers one slice of the Fed's QE asset purchases, spanning bonds with 10 to 22.5 years left. The publisher is the New York Fed, acting only on directives for SOMA, the Fed securities portfolio, from the FOMC, the policy committee.

The sector was created May 13, 2021, effective May 14, 2021, as part of a program running March 2020 to early March 2022. It covers outright purchases, meaning permanent buys held to maturity, of nominal coupons, meaning fixed-rate bonds, bought in the secondary market, meaning resale trading. Trading is with primary dealers, which bid for themselves and their customers, and excludes on-the-run bonds, the newest bonds, not total holdings or issuance.

Tentative schedules appear on or around the 9th business day for mid-month to mid-next-month, with dates, times, types and maximum amounts, subject to change. Operations normally run 10:10 to 10:30 Eastern time, sometimes 11:00 to 11:20, settle T+1, meaning next-day, via Fedwire, the Fed settlement system. Each operation posts excluded CUSIPs, meaning bond identifiers, at start and offered, accepted and per-issue amounts after close, with accepted amounts final and never revised. Pricing detail, weekly holdings and annual reports add context only, while the Desk, the trading unit, states no signal and seeks smooth, neutral execution.

The monthly total spans 8 sectors, with the 6 nominal groups below plus 2 TIPS groups, where TIPS means inflation-protected bonds. Weights are November 2021 shares of outstandings on a 12-month average par basis. TIPS adds 1 to 7.5 years at 5% and 7.5 to 30 years at 3%, both on unadjusted par.

• Nominal coupons 0 to 2.25 yrs, 31%: short-dated notes.
• Nominal coupons 2.25 to 4.5 yrs, 21%: short to intermediate notes.
• Nominal coupons 4.5 to 7 yrs, 15%: intermediate notes, with on-the-run 7-year included for weighting only.
• Nominal coupons 7 to 10 yrs, 8%: notes around the 10-year point, with on-the-run 10-year included for weighting only.
• Nominal coupons 10 to 22.5 yrs, 8%: this series, long bonds with 10 to 22.5 years left.
• Nominal coupons 22.5 to 30 yrs, 9%: longest bonds near 30 years.

On July 19, 2021, a 10 to 22.5 year operation offered up to $1,425M and settled July 20, 2021. Dealers offered $3,099M and the Desk accepted $1,401M of long-dated bonds, leaving $24M unfilled on price. It shows the maximum is a ceiling, not a target, with about 4 such operations per $80bn month at the then 7% weight. The same $1,401M pattern repeated July 27, August 3 and August 9, 2021, within $930bn bought in 2021 before buying ended in early March 2022.

1. Monthly pace: The FOMC sets the monthly net purchase pace, $80bn for Treasuries from December 2020 to October 2021.
2. Sector envelope: The Desk multiplies the monthly total by the sector weight, so the envelope equals weight times total. All amounts use par, meaning face value, with no seasonal adjustment for calendar effects.
3. Operation schedule: Each envelope is split into several operations, each with a maximum size, so monthly maximums sum near the envelope.
4. Auction: Each operation is a multiple-price auction on FedTrade, the Fed trading platform, where multiple-price means each winner pays its own bid. Dealers submit up to 9 offers per bond, from $1M minimum, ranked by market-price closeness plus a relative-value gauge.
5. Limits and totals: Accepted amounts cannot exceed the maximum and can be less, subject to per-issue caps including a 70% holding ceiling. Standing rules also exclude near-maturity, on-the-run and scarce issues. For example, at 8% of $80bn the envelope is $6.4bn, while July 19 accepted $1,401M of a $1,425M maximum.