The Fed’s own holdings of MBS were flat, rebounding up a small $0.444 billion while foreign central banks’ holdings of agencies fell by a similar amount. However the bleeding continued (at a reduced rate) with the treasuries number dropping at a more-than-$billion-a-day rate once again.
Last week’s Reuters report1 was, as usual, based on the weekly update from the NY Fed’s H.4.1 table site,2 but they seem to be among the missing again this week. Here is Doom’s updated CSV version3 of the agencies and treasuries foreign central bank holdings data set.
Treasuries slumped $8.560 billion, and while that’s barely a third of last week’s historic dump it’s still a pretty significant result.
Agencies swung to a small $0.494 loss.
*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 sunk $9.054 billion, or a bit over a billion dollars a day.
Twist’s ratio graphs continued to rise.
The Setser treasuries number has come down to around $50 billion, documenting a significant collapse (growth in last 52 weeks is now below $1B / week) in foreign central bank interest in holding US sovereign debt over the last year.
Notes and References
: “Foreign central banks’ U.S. debt holdings fall: Fed”, by Steven C. Johnson, Reuters, December 29, 2011.