The amero gap narrowed precipitously to -82 basis points at Wednesday’s close then widened to -137bp yesterday as massive international intervention against the yen’s melt-up started to take effect. Indeed the yen rose a ridiculous 5.3 percent against the loonie from 3/11 until yesterday, but presumably a lot of that will reverse as central banks try to cushion the collapse of the yen carry trade.
The Fed’s own holdings of MBS dipped $4.829 billion while foreign central bank buying of US obligations accelerated smoothly, as if they were totally unaffected by the extraordinary events rocking the real world in recent days.
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.
Treasury Debt holdings have now advanced to $33.646 billion above their 11/17 ’10 level. The yellow trend line is visibly resuming its upward climb.
Treasury Debt grew by a lusty $9.449 billion.
Agencies won back $2.784 billion, giving an upward boost to the total for the last four weeks.
*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 surged $12.233 billion. This number has now risen by $65.565 billion in the seventeen weeks since last November 17th, with the proportion attributable to treasuries now just surpassing a half.
Twist’s ratio graphs moved down again.
The Setzer agencies number was flat and the treasuries number actually dipped quite a bit, as we’re on the anniversary of a big treasuries buy.
Notes and References
: “Foreign central banks’ US debt holdings rise – Fed”, by Steven C. Johnson, Reuters, March 17, 2011.