The Fed’s own holdings of MBS shrank again, but by only $0.475 billion, while there were against-trend moves in both types of foreign central bank holdings of US obligations. Indeed the levels for both treasuries and agencies revisited values from between two and three weeks ago. At this point the trend only seems to be a blip / pause / breather.

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.

Treasuries retreated a bit, reversing some recent gains.

The significant $12.104 billion treasuries selloff was quite unexpected.

Agencies rebounded again, to the tune of a healthy $4.251 billion.

*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.

The net growth in US obligations held shrank $7.853 billion, wiping out much of last week’s gain, but with the powerful surges in this number in recent weeks a single backsliding week doesn’t necessarily mean all that much unless repeated.

Twist’s ratio graphs popped up against trend.

The Setzer graph actually diverges a bit on the slightly unusual movement on the anniversary date.

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Notes and References

[1]: “Foreign central banks’ US debt holdings fall – Fed”, by Wanfeng Zhou, Reuters, November 26, 2010.

[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 (includes Fed’s own MBS holdings).

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