Thirty-year bond auctions have an erratic record: They appeal mainly to pension funds, for asset-liability matching purposes, and foreign accounts are infrequent buyers. – WSJ4
Well, the foreign central banks frequented just about nothing last week, at least net-wise, and the Fed itself increased its own MBS holdings, but only by a modest $2.141 billion.
The moves this week were small, but when you look at twist’s charts you can start to see some subtle patterns emerging. Twist also sends this5 story from Bloomberg which may account for some of the new strains we seem to be picking up.
The so-called yield curve touched 373 basis points, the most in at least 29 years, as the bonds drew a yield of 4.52 percent, compared with an average forecast of 4.483 percent in a Bloomberg News survey of five of the Federal Reserve’s 18 primary dealers. The so-called yield curve has widened from 191 basis points at the end of 2008, with the Fed anchoring its target rate at a record-low range of zero to 0.25 percent and the Treasury extending the average maturity of U.S. debt.
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 collapsed into negative territory, but once again the move was small, only a $0.619 billion selloff.
The Agency Debt only just managed to offset the fall in treasuries, rising $0.734 billion
This week the total US obligations number achieved a nearly full stop, rising a mere $0.115 billion.
Twist’s ratios graphs pretty well stalled, of course. Indeed, the flat bit that has been developing in this chart seems to be a new development without peer for quite a while. Look back up at the treasuries line and you could almost imagine a top forming.
Both lines in the Setser 52-week chart converged strongly, as we’re at the anniversary of a big agencies dump and treasuries buy. The whispering is still barely audible, but these numbers seem to be trying to tell us something.
________________________
Notes and References
[1]: "Foreign cenbank US Treasury holdings down in wk-Fed", by Burton Frierson, Reuters, December 10, 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]: "Treasurys End Lower As Investors Snub 30-Year Offer", by Emily Barrett, Wall Street Journal, December 10, 2009.
[5]: "Treasury Yield Curve Steepest Since at Least 1980 After Auction", by Cordell Eddings and Susanne Walker, Bloomberg, December 10, 2009.
