NY Fed Treasury Purchases TIPS 7.5 to 30 yrs

It is not an index or a survey. It is a recurring outright purchase of long-dated Treasury Inflation-Protected Securities (TIPS) in the 7.5 to 30 year sector. The Open Market Trading Desk of the Federal Reserve Bank of New York runs it.

It acts for the System Open Market Account (SOMA) under Federal Open Market Committee (FOMC) directives. It buys outstanding United States securities in the secondary market from primary dealers, for themselves and customers. It reports offered and accepted par amounts with per-issue detail. It is not a new Treasury auction, a buyback, a holdings level, or a demand gauge. Small-value operations are readiness tests, not policy moves.

Operations have no fixed frequency. Each one occurs only on dates named in the tentative monthly schedule. It appears on or around the 9th business day for mid-month to mid-next-month.

It lists dates, times, types, maturities, and maximums. Each operation runs in a 20-minute morning window in Eastern Time, usually 10:10 to 10:30. Settlement follows the next business day via Fedwire.

The maximum is a ceiling, not a target. The Desk may accept less. Results post submitted and accepted totals with per-issue amounts after the close, with pricing later at mid-month.

Holdings update weekly in the H.4.1 release. Auction outcomes are final, with no revisions. The maximum carries no buy or sell signal.

Accepted amounts reflect auction mechanics, not sentiment. Four operating drivers shape each outcome.

• Eligible issues: Outstanding United States TIPS with 7.5 to 30 years left, minus issues excluded at the open. Exclusions include scarce repo lines, when-issued lines, and cheapest-to-deliver issues.
• Dealer propositions: Price and par bids from dealers for themselves and customers. They form the supply pool the Desk picks from.
• Per-issue holding caps: The Desk owns at most 70% of any issue outstanding. A binding cap can leave part of the maximum unfilled.
• Evaluation inputs: Closeness of each bid to market prices at the close, plus relative-value scores from the proprietary New York Fed model. These rank winners when bids exceed the maximum.

On October 26, 2021, from 10:10 to 10:30 Eastern Time, the announced maximum was $1.225 billion in par. Dealers submitted $1.691 billion and the Desk accepted $1.199 billion, $26 million below the ceiling despite 1.41 times cover.

Of 18 eligible issues, 11 won something and 7 got zero. Two 10-year lines took $817 million, about 68%, while long lines took small amounts. Per-issue amounts summed exactly to the published total, proving the maximum is a ceiling.

1. Announce: The Desk lists the date, 20-minute window in Eastern Time, settlement date, type, sector, maturity dates, and maximum par. It names excluded issues at the open.
2. Bid and rank: Dealers submit issue, par, and price on FedTrade Plus during the window. The minimum and increment are $1 million, with up to 9 bids per issue. The Desk ranks bids by closeness to market prices at the close and relative-value scores, under the 70% per-issue caps. Each accepted bid transacts at its own price.

For example, a $100 million maximum with $150 million offered could take $60 million at 111.90 and a $40 million cut at 111.85. That gives cover of 150/100 = 1.5.

1. Add: The accepted total sums accepted par. The submitted total sums all bids. Cover is submitted divided by accepted. Each per-issue accepted amount sums separately.
2. Publish and settle: Results post totals and per-issue amounts after the close. Pricing follows at mid-month for the prior period: weighted-average price, least favorable price, and share at that price. Settlement follows the next business day via Fedwire, and holdings update.