NY Fed makes technical adjustments to QE; adjusts maturity ranges of asset purchases, extending WAM somewhat to align purchases with outstanding debt; reduces short-end and TIPS purchases modestly

• Allocations across 7-30yr coupons will increase by 3%


• Will distribute monthly purchases across eight sectors based on 12-month average of proportional amount of Treasury securities outstanding

NEW BUCKETS:

• 0-2.25yr at USD 24.9bln/m


• 2.25-4.5yr at USD 16.85/m


• 4.5-7yr at USD 12.05bln/m


• 7-10yr at USD 6.45bln/m


• 10-22.5yr at USD 5.7bln/m


• 22.5-30yr at USD 8.1bln/m


• 1-7.5yr TIPS at USD 4.05bln/m


• 7.5-30yr TIPS at USD 2.45bln/m

link to new schedule

link to old schedule

Analysis details (20:27)

These adjustments had been flagged by Fed officials recently and thus come as little surprise to market participants, who have been expecting these tweaks to purchases for a few months now. Furthermore, it is worth stressing that the total purchase amount remains the same at USD 80bln of Treasuries and TIPS per month, and while the duration has been modestly extended to match Treasury issuance, this should not be misconstrued as an "operation twist" or "tapering", nor any other deviation of Fed policy 

13 May 2021 - 20:05- Fixed IncomeImportant- Source: NY Fed