Making Sense of Treasury Operations

Question

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:

1. Total Par Amt Accepted vs Par Amt Accepted vs Par Amt Submitted
2. 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?
3. Weighted Avg. Accpt. Price/Rate - Why is this NA in many cases?
4. What is inclusion/exclusion?

Answer 1

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.