UPDATE: there is hope … after asking around I am told that much of the striking discrepancy is because the Fed “buys forward” some of their MBS purchases, and that some insight into this can be found here: http://www.newyorkfed.org/markets/ambs/ and here: http://www.newyorkfed.org/markets/soma/sysopen_accholdings.html
and from the FAQ: http://www.newyorkfed.org/markets/ambs/ambs_faq.html
What explains changes in the total current face value of agency securities held in the SOMA?
The total current face value of agency MBS held in the System Open Market Account (SOMA) will increase as a result of additional asset purchases. The pace of the increase in holdings will fluctuate somewhat due to differences between trade and settlement dates for transactions of agency MBS, and due to the timing of principal payment dates for agency debt and agency MBS.
Perhaps Count von Count should spend some time at the FRBNY before he gets fired next year 😉 The Fed has bought about $40 billion net of mortgage bonds in the last two weeks, but the Fed’s own MBS holdings rose a mere $0.013 billion after plunging last week. Even an American pre-schooler might go away scratching their head over something like fifty five billion imaginary fiat bucks vanishing into thin air over the last fourteen days or so, whether or not some of the money to buy the stuff was maturing agencies.
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 plunged $10.332 billion.
Agencies gained another $1.344 billion, a smaller move than the last couple of times.
*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 got slammed down $8.988 billion; perhaps the modestly wild gyrations in these numbers represents some of the furiously paddling webbed feet hidden under the serenely advancing swan that is America’s election year economy.
Twist’s ratio graphs surged up.
The Setser numbers strongly converged.
Notes and References
: “Foreign central banks’ U.S. debt holdings fall: Fed”, by Daniel Bases, Reuters, October 4, 2012.