Housing Doom

The Fed’s own MBS holdings were up a modest $5.083 billion and foreign central banks were buying the stuff too, if less than a billion dollars worth. The real shocker was a biggish dump of Treasury Debt. Where did that come from? This week’s Reuters report¹ was, as usual, based on the weekly update from the NY Fed’s H.4.1 table site.² Here is Doom’s updated CSV version³ of the agencies and treasuries foreign central bank holdings data set.

The treasuries number sank by $10.377 billion, the 14th (thanks twist ) largest weekly sell-off over the last (nearly) decade we’ve got data on. Were they spending the first part of the week bracing for Black Swan Friday?⁴ Looks like we’ll have to wait for a few weeks to see if this one’s a one-off …

Agencies experienced a mild $0.709 billion increase

This week the total US obligations number for the cenbanks plunged $9.668 billion, wiping out over half of last week’s large gain.

Twist’s ratios graphs, in a screaming u-turn, popped strongly up.

The Setser 52-week chart convergence accelerated quite a bit. Is this a sign of things to come?

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Notes and References

[1]: "Foreign central bank US debt holdings fell in week – Fed", by Ellen Freilich, Reuters, November 27, 2009.

[2]: "H.4.1 Factors Affecting Reserve Balances", Federal Reserve Statistical Release (weekly), Federal Reserve Bank of New York.

[3]: The updated data set as a Comma Separated Value (CSV) file is here.

[4]: "Dubai Jitters Infect Debt of Sovereign Spendthrifts", by Neil Shah and Chip Cummins, Wall Street Journal, November 28, 2009.

Deeper stress lines were felt in the sovereign-bond market, where the cost of insuring against defaults in places like Hungary, Turkey, Bulgaria, Brazil, Mexico and Russia rose, fueled by concerns that emerging-market nations may have trouble honoring their debts even as the economy heals. The worry is that sovereign debt may now represent another aftershock of the global financial crisis.