After being nearly unchanged for four weeks the Fed’s own holdings of MBS sank $10.934 billion to a level not seen since before May 14th. Meanwhile the cenbank agencies holdings plunged (even the Reuters folks used that word) more than five times that much in the biggest move by far in either component in the history of the series, to a level not seen since before July 25, 2007. In stark contrast, the cenbanks’ treasuries holdings grew at the second highest rate ever, and not far off the all-time record although the net result was still a significant net sell-off of obligations.
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.
After last week’s pause the yellow line goes streaking north once again
Treasury Debt holdings exploded up $39.269 billion. As noted above, that’s #2 on the all time list, not far off from the October 1, 2008 week in the heat of the financial crisis. As it happens, CBC is presently broadcasting a lurid hour-long documentary about that era. Not something we’d like to relive now 🙁 The promo is available here and this is the show itself.
In a completely unanticipated and unprecedented move the agencies number fell $57.436 billion. The foreign central banks have shed over seven percent of their FRBNY Agency Debt holdings in a single week. Mrs. M just walked in the door and asked the obvious question: “Went where?” I have no idea.
*Agen-FM: The dotted line is the foreign central banks’ Agency Debt holdings reduced by the level of the Fed’s own MBS holdings. Since the FRBNY itself is a lightly audited peculiar amalgam of foreign & domestic, central and private bank I think it might be useful to consider the hypothesis that for a while starting in January 2009 the Fed’s MBS holdings were being quietly deemed to be “foreign.” That is, for the first half of ’09 the dotted line seems more sensible than the red one.
Even with a near record treasuries buy the net drop was $17.807 billion, losing about 2 1/2 billion a day. The previous week it was rising at a rate of 4 billion a day. This can’t be healthy.
I thought twist’s ratios graphs were plunging before, but this is free-fall. Twist had to re-scale the 52 week chart.
The Setser components are diverging like mad.
Notes and References
: “Foreign central bank U.S. debt holdings fall – Fed”, by Chris Reese, Reuters, September 16, 2010.