And yes, I have seen the fnords, but you’d think that they would at least have the decency to let Natalie Wood rest in peace 

The Fed’s own holdings of MBS dropped a thudding $7.278 billion with the foreign central banks divesting themselves of a bit more than half that amount, but after a slight easing of their treasuries holdings in the previous week, this week sees another monumental surge in cenbankers’ appetite for US gilts, one of the biggest ever. While the cenbankers work in almost complete secrecy, the sloshing in the trim tanks has lately become all too audible.

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.

“We woke up the chickens …”

Treasury Debt lurched up $31.690 billion, the fifth biggest buy yet in the data set. Wowsers, but the ride back down that yellow mountain ain’t gonna be smooth

Agencies slouched $4.549 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 streaked up $27.141 billion, which the Reuters weathermen managed to transcribe correctly this week, although this time they dropped the link to the NY Fed tables. Does anyone at The Agency have the faintest understanding of what they are reporting?

Twist’s ratio graphs plunged.

The Setser numbers diverged quite smartly this week.

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Notes and References

[1]: “Foreign central banks’ US debt holdings rise – Fed”, Reuters, November 17, 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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