Reading New York Fed Treasury Purchase Auction Data
Summary
The document interprets fields in New York Fed spreadsheets describing Treasury and agency security purchase auctions. In the multiple-price auction, primary dealers submit offers at different prices and the Fed selects orders, so accepted par amounts can be lower than submitted amounts. Per-security submitted and accepted amounts are distinct from the daily totals, which aggregate activity across securities and may repeat on each row.
The explanation says exclusions reflect operational or market criteria, including bonds that become special in the repo market. A weighted average accepted price or rate is generally associated with a positive accepted amount, but missing values need context: some may be reporting errors, while recent reports may intentionally delay publication of actual prices to limit market impact. The source presents these explanations as guidance rather than a full data dictionary, and notes that older data can be unreliable. It also suggests the Fed's API as an alternative to downloading spreadsheets.
Key ideas
- Submitted par amount records dealer offers, while accepted par amount records the portion selected by the Fed.
- Daily total amounts aggregate the securities in an auction and may be repeated in spreadsheet rows.
- Exclusions can arise from operational criteria or market conditions such as specialness in repo.
- Accepted prices or rates may be missing because of data issues or delayed publication of unsettled trades.
- Historical coverage and quality may vary, so spreadsheet fields should be interpreted with these limitations in mind.
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# Making Sense of Treasury Operations # Making Sense of Treasury Operations I'm looking to analyze recent Fed treasury purchases for an analysis and found a slew of spreadsheets with the full details. My problem is that I'm not sure how to interpret the data. Here are my specific questions: - Total Par Amt Accepted vs Par Amt Accepted vs Par Amt Submitted - Par Amt Accepted - Why is it zero in most cases as opposed to the total par amount accepted? Why is it blank in many others? - Weighted Avg. Accpt. Price/Rate - Why is this NA in many cases? - What is inclusion/exclusion? ## Answer by Sergei Rodionov (score 4, accepted) https://quant.stackexchange.com/a/61597 The New York Fed runs a daily "multiple-price" auction using the FedTrade system which allows primary dealers to submit orders to sell shortlisted Treasury and agency securities at various prices. The Fed chooses which orders to take which is why "accepted" is lower than "submitted". Orders are selected based on price. - `Par Amt Submitted`: Total amount (at par value) of orders submitted by the dealers during the auction, for a given security. - `Par Amt Accepted`: Total amount (at par value) of orders accepted by the Fed during the auction, for a given security. Total Par Amt Submitted/Accepted is the grand total for all securities traded during the auction. In the Excel spreadsheets, this column repeats the daily total for all securities. As far as exclusions - the above link elaborates that exclusions are operational and are based on market criteria such as specific bonds going special in the repo market. If `Par Amt Accepted` is greater than zero, the `Weighted Avg. Accpt. Price/Rate` should display the VWAP price or rate. N/A seems to be a bug. Update 1: N/A values in the most recent report appear to be present by design. They're replaced with actual prices after some delay. Perhaps Treasury Ops is masking unsettled trades to reduce market impact. Also, you might find their API endpoint more useful than downloading Excel reports. Data prior to 2020 is sketchy however.
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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.