The Fed’s own holdings of MBS dropped a mild $0.383 billion with the foreign central banks adding almost a billion to their holdings, but after a huge buying splurge in US Treasury Debt in the previous week the cenbanks swung to one of the biggest dumps of the stuff ever.

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.

Treasury Debt spun down $20.446 billion (Reuters’ anonymous reporter allowed that it “tumbled” but didn’t manage to relocate their link to the Fed table), wiping out about 2/3rds of last week’s big gain and establishing a new #3 on the all time Top 10 list of big selloffs.

Agencies recovered a $0.985 billion slice of last week’s biggish dump.

*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 screamed down $19.461 billion, as no clear trend has emerged in recent weeks, except that volatility seems to be the order of the day.

Twist’s ratio graphs blasted higher.

The Setser numbers converged, but not drastically as we’re on the anniversary of another big dump of treasuries, although not of the scale we just saw.

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Notes and References

[1]: “Foreign central banks’ US debt holdings fall – Fed”, Reuters, November 25, 2011. (a day late because of US Thanksgiving)

[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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