Curiouser and curiouser. Yesterday Tyler reported that foreign central banks seemed to have little appetite for treasuries …

ZeroHedge (4/28 ’11): “Indirects Flee From Poor 7 Year Auction Which Pushes Bond Curve Wider”

… But the most notable metric as usual was the Indirect Bid, which traditionally strong at the belly of the curve, saw only 39.1% of the auction going to foreign bidders. This compares to 49.31% in the last auction and 51.45% on average. …

However, in the previous seven days they’d seemingly been gorging on the stuff at a rate not seen since last November (perhaps some of the weirdness just comes from anomalies in when transactions are booked?) The Fed’s own holdings of MBS fell again by a modest $6.201 billion billion and foreign central bank holdings of agencies remained flat again, but their treasuries number went slightly nuts.

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 $71.561 billion above their 11/17 ’10 level, with about half of the increase coming in the last two weeks. Who the heck is buying, and why?

Treasury Debt turned on the afterburners, up $22.996 billion which is close to double last week’s rather shocking number and not too far south of Top 10 territory. This makes no sense whatsoever that I can see. Aren’t the key cenbankers all making noises about getting out of Dodge?

Agencies rose a paltry $0.962 billion, up just $0.553 billion over the last ten 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 advanced an extraordinary $23.958 billion, and has now risen by $102.705 billion in the twenty three weeks since last November 17th, with much of this support materializing just in recent weeks.

Twist’s ratio graphs ground down again this week.

The Setzer numbers diverged moderately.

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Notes and References

[1]: “Foreign central banks’ US debt holdings rise – Fed”, by Wanfeng Zhou, Reuters, April 28, 2011.

[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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