Cenbank Treasuries Holdings Fall To Half-Year-Ago Levels

The Fed’s own holdings of MBS dropped an accelerating $12.814 billion and foreign central banks resumed their headlong rush to the exits, bringing their hoard of US Treasury Debt held in trust at the NY Fed to levels last seen six months ago in late May.

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.

 

After last week’s respite treasuries got crushed again, plunging $19.132 billion in the third largest Treasury Debt dump ever recorded in the data set. This is even more ominous when you consider recent events — #6 on the list was just two weeks ago, while the #1 record selloff was just four weeks past. For more context consider that the former record holder was 8/15 ’07, just when Coventree’s collapse on Bay Street heralded what was to become the most massive bankruptcy in Canadian history, and in turn touched off the world-wide credit crisis that eventually climaxed, in Nancy Pelosi’s office on the evening of 9/18 ’08 (overnight Wed/Thu’s comedy in Europe this  week was an aftershock), in what history will inscribe as the Panic of 2008.

Agencies continued to fade a bit, dropping a small $0.468 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 owned by the cenbanks shrank a startling $19.602 billion, while the green line showing the Fed’s own MBS holdings seems to have finally achieved a downward inflection.

Twist’s ratio graphs popped up.

The yellow Setser number continued straight down. Year-over-year the foreign official supply of bail-out juice to the US is rapidly drying up.

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Notes and References

[1]: “Foreign central banks’ US debt holdings fall – Fed”, Reuters, October 27, 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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2 Comments for this entry

  1. twist says:
    October 28, 2011 at 6:18 AM

    John-

    Did you see that Tyler is talking about the sell off again?

    http://www.zerohedge.com/news/foreigners-sell-second-largest-amount-us-bonds-ever-past-week-record-93bn-us-paper-sale-past-2-

    (And Igor’s word is “treasury”. It must be on his mind too.

  2. John M says:
    October 28, 2011 at 9:08 AM

    Either “Tyler” is a bit sloppy or perhaps they are looking at the treasuries & agencies together. They are asserting this week’s drop is #2 (forgetting 8/15 ’07?) and the total goes back to March. Still, glad **someone** is noticing :)

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