This (well, last) week’s Reuters report1 is, as usual, based on the weekly update from the NY Fed’s H.4.1 table site.2 Reuters noted the radical definition change for the data we’ve been following. The Fed announced these in a memo at the top of their Nov 15th table update (link).
This week Doom derived the NY Fed data set from a date-limited session with the Data Download Program:
I’m hoping to post a follow-up article walking through how I achieved that download session over the next few days. The columns run treasuries & agencies, treasuries only, agencies only, and FedMBS. Note rounding effects mean that col 1 doesn’t always print as col 2 + col 3.
The Fed currently gives the data starting with Wednesday July 4, 2007. Here’s the result of the above session “save’d as” a .txt file (link). For comparison, here’s Doom’s data set (link) manually transcribed from the H.4.1 web page running from July 4 2007 (first historical day presently available on the Fed site) to November 7, 2012 (last day under the old definitions).
The total US obligations held by the foreign central banks were flat, rising just $0.394 billion.
The treasuries number grew by $3.848 billion. The Nov 15th definition change affected this number in a small way. The new 7/4 ’07 number is 97.5 percent of the old one, while the 11/7 ’12 number is 97.2 percent of the old style version.
Agencies shrank by a moderate $3.221 billion. Here the Nov 15th definition change was significant. The new 7/4 ’07 number is 93.3 percent of the old-def figure, and as of 11/7 ’12 this figure had plunged to 46.4 percent.
It would seem that foreign central banks were divesting themselves of Agency Debt a lot faster than those old-def numbers were suggesting during the course of the recent crisis.
Notes and References
: “Foreign central banks’ US debt holdings rise – Fed”, Reuters, November 23, 2012.