NEW YORK, Nov 12 (Reuters) - The U.S. Federal Reserve's balance sheet shrank in the latest week, Fed data showed on Thursday.

The Fed's balance sheet liabilities -- a broad gauge of its lending to the financial system -- fell to $2.117 trillion on Wednesday from $2.147 trillion a week ago.

The central bank's Commercial Paper Funding Facility assets fell to $14.30 billion on Wednesday from the previous week's $14.48 billion.

The Fed's liquidity swap lines with foreign central banks to provide dollars fell to an average of $29.09 billion per day in the week ended Nov. 11 versus $31.88 billion per day in the prior week.

The Fed's holding of agency mortgage-backed securities totaled $775.57 billion on Wednesday versus $774.39 billion a week earlier, while its holdings of agency debt were $149.67 billion against $146.96 billion.

Overnight direct loans to banks via the Fed's discount window averaged $108.22 billion per day in the week ended Nov. 11 versus $110.61 billion per day in the prior week.

Primary credit borrowings averaged $20.80 billion in the week to Nov. 11 versus $22.61 billion in the week to Nov 4, according to Fed data. (Reporting by Chris Reese: Editing by Chizu Nomiyama )