Estimated Principal Repayments for Asset-backed Securities
(ABS), including mortgage-backed securities (MBS)
The Adjustment
Data. Also in (CSV) format.
Background
Methodology
used to estimate the adjustments. 
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The TIC Form S gathers data, primarily from securities brokers and
dealers, on cross-border purchases, sales, and redemptions of long-term
securities. However, it does not capture the periodic (often monthly)
principal payments that are distributed to holders of asset-backed
securities (ABS) prior to redemption.
Use of the TIC Form S data without considering the effect of these
principal payments may lead to a significant overestimate of foreign
net purchases of U.S. securities. To assist TIC users, FRBNY provides
estimated monthly ABS principal payments to foreign holders. The first
release was on November 17, 2003, for the period July 2002 - September 2003.
NEW Revisions of April 2008, for July 2006-February 2008
Using the June 2007 Report of Foreign Holdings of U.S. Securities (TIC Form SHLA) data as a basis, revised estimates of asset backed securities (ABS) prepayments dating from July 2006 - February 2008 have been compiled. The results show that on average, Agency ABS prepayments were previously underestimated by about $684 million per month and corporate ABS prepayments were underestimated by about $2.1billion per month.
In addition to the above-mentioned revisions, the "of which" category providing the breakout of Foreign Official Organizations (FOI) agency ABS was also adjusted to reflect the most current holdings ratio. This estimate is a subset of, not an addition to, the agency ABS repayment estimates. The percentage of FOI agency ABS holdings is calculated directly from the Form SHL(A) data.
These revisions are based on the following factors: (1) foreign holdings of U.S. asset-backed securities, particularly corporate asset-backed debt securities, increased more than expected during this period, (2) the percentage of Foreign Official Institutions (FOI) agency ABS holdings increased relative to overall agency ABS holdings (FOI holdings accounted for 42% of overall Agency ABS holdings as of June 2007, compared with 31% as of June 2006) and (3) the identification procedures relating to ABS asset-class breakouts were improved.
NEW The accompanying table (04/30/08) shows the revised monthly prepayments, as compared with the previous estimates. From July 2006 - June 2007, interpolation was used to estimate the increase in foreign-held ABS securities, based on the known holdings as of June 2006 and 2007. Estimates for the July 2007 - February 2008 Agency ABS were revised based on the higher share of holdings observed in June 2007, with the assumption that foreign holdings of
agency ABS will continue to grow but at much more moderate rate, reflecting recent market conditions and regulatory changes. Therefore, an adjustment factor is used to estimate the share of ABS in the TIC Form S data on purchases to offset the impact that prepayments have on the share of foreign holdings. Estimates for the July 2007 - February 2008 Corporate ABS were revised based on the higher share of holdings observed in June 2007, however no adjustment factor was applied due to the assumption that foreign holdings of corporate ABS will slowly contract, reflecting recent market conditions and asset class revaluation.
For further details, see the note above on "Methodology." Estimates for future months will be published at the time of the release of the TIC Form S data. (No adjustment is made for principal payments on U.S. holdings of foreign ABS because these holdings currently are very small).
Examples of how the adjustments can be made
The estimated adjustments can be applied to the aggregate
total data for “U.S. Transactions with Foreigners in
Long-Term Securities.” Separate adjustments are
provided for “U.S. Government Corporation and Federally-sponsored
agency bonds” and for “U.S. corporate and other
bonds.” Adjustments are not estimated for geographic
regions or countries.
Data for December 2004 are used to illustrate how the data for adjustments can be used. Repayments of principal on U.S. agency and corporate ABS are the equivalent of sales by foreigners of these U.S. securities. Thus, including U.S. agency ABS principal repayments would reduce reported net purchases of long-term agency securities in December 2004 from $26,607 million to $22,048 million. Accounting for U.S. corporate ABS principal repayments in December 2004 would reduce reported net purchases of long-term corporate securities from $40,948 million to $37,707 million.
Revisions: September 2007
for July 2005-June 2007.
Revisions: August 2006
for July 2004-May 2006.
Revisions: September 2005
for July 2002-June 2005.
Last Updated:
July 16, 2008
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