Yesterday the amero gap closed at -68 basis points, still well within the +/-300bp danger zone. Foreign central bank Treasury Debt holdings have been noticeably flat, sagging a mere half billion dollars over the last eleven weeks, so I thought it was high time to resurrect these guys from Richmond Hill, in the heart of the Fed’s 13th District. If you look closely you’ll see that lead (**ahem**) vocalist Cresswell’s black t-shirt bears a curiously appropriate legend: The Agency

The Fed’s own holdings of MBS again fell significantly, this week by $15.080 billion, while both treasuries and agencies holdings of the cenbanks grew modestly

Last week’s Reuters report¹ was, as usual, based on the weekly update from the NY Fed’s H.4.1 table site,² but there doesn’t seem to be a new one so far. Here is Doom’s updated CSV version³ of the agencies and treasuries foreign central bank holdings data set.

The stagnant treasuries trend is partially offset by recent growth in agencies. In fact the red line has popped up $18.797 billion in the 10 weeks since 11/17 ’10. On the other hand, the Fed itself has been busy dumping nearly four times that amount of MBS in the same timeframe, leading me to wonder where the heck within the “private sector” all this paper is disappearing to. My first guess would be the black hole of FHFA’s conservatorship, within which old Doom friends Fannie and Freddie may well be getting the treatment often accorded to French geese.

The Treasury Debt rebounded, but by just $1.693 billion.

Agencies grew by $3.604 billion, about a third of last week’s anomalous surge.

*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 of US obligations held rebounded a decent $5.297 billion. This number has risen by $8.594 billion in the ten weeks since last November 17th, so it’s just possible we could be seeing the start of a resurgence like the one from about a year ago.

Twist’s ratio graphs were up again this week, but by just a little.

The Setzer graph numbers both ticked up a bit. “Becalmed” isn’t a really exciting story week-to-week, but if this incipient rally doesn’t gain traction over the next while things could heat up. Keep looking at the yellow trend-line in the graph below; if it starts rising that indicates a stronger rebound than the previous one, if falling would suggest a weaker rebound.

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Notes and References

[1]: “Foreign central banks’ US debt holdings rise – Fed”, by Nick Olivari, Reuters, January 20, 2011. ***will replace this with the one for this week if I can find it***

[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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