The Fed’s own holdings of MBS eased down $5.705 billion and foreign central banks’ holdings of treasuries returned to their level of nine weeks ago.
This week’s Reuters report1 is, 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.
The trajectory of the yellow line continues to look like a top. The significance of this potentially historic turn-around is being largely lost among all the other things falling off the central bankers’ plates.
Treasury Debt holdings continued their losing streak, falling at a reduced rate of $7.754 billion.
Agencies continued their modest turn-around, growing by a deccelerating $0.871 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 of US obligations shrank again by $5.705 billion, just over half of last week’s dump.
Twist’s ratio graphs again continued to fluctuate up.
The Setzer treasuries number continued to nosedive, although this trend should moderate over the next few weeks. What the fall of the yellow line here indicates is that uptake of treasuries by cenbanks this year is much weaker than in the same time period last year.
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Notes and References
[1]: “Foreign central banks’ US debt holdings fall: Fed”, by Gertrude Chavez-Dreyfuss, Reuters, September 22, 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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John-
Did you see this WSJ article last week? I missed it. We’ve had enough trouble trying to figure out what the FCBs are doing, and it sounds like it’s getting worse:
“The portion of Treasury auctions awarded to so-called indirect bidders—those who have dealers submit bids on their behalf—is usually considered a reflection of foreign interest. Foreign central banks and monetary authorities traditionally go this route.”
“But that indirect-bidder gauge may be losing strength because foreign buyers are opting to buy debt directly from the Treasury, a move that offers anonymity to foreign lenders who prefer not to telegraph the details of their purchases”.
“In last month’s 10-year and 30-year Treasury sales, data showed foreign parties scooping up a bigger portion of the paper than what was reflected in indirect bidding. This is “the first solid evidence” that foreign buyers are bidding directly for Treasurys, said William O’Donnell, interest-rate strategist at RBS.”
http://online.wsj.com/article/SB10001424053111904491704576573032674166502.html
CNBC has said there was a lot of “flight to safety” treasury buying Thursday. It will be interesting to see what happens next week.