The Fed’s own holdings of MBS dropped $8.808 billion and foreign central banks increased their treasuries holdings by over $10B, but it will take more than one week to stop the selling trend.

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.

Treasuries swung to a $10.079 billion gain, but that didn’t represent much more than half of just last week’s selloff.

Agencies slipped $0.723 billion, killing about half of last week’s modest gain.

*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 grew $9.357 billion, beating the $1B/day standard for the first time in a while.

Twist’s ratio graphs settled back down a bit

The yellow Setzer number continued south, as we are at the anniversary of a much stronger buy. Cenbank support for US bailouts is clearly collapsing on a year-over-year comparison basis.

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Notes and References

[1]: “Foreign central banks’ US debt holdings rise – Fed”, Reuters, October 20, 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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