ESTIMATES OF PRINCIPAL REPAYMENTS FOR
ASSET-BACKED SECURITIES (ABS), INCLUDING
MORTGAGE-BACKED SECURITIES (MBS)
The Adjustment Data. Also in (CSV) format.
Background
Methodology used by the Federal Reserve Bank of New York to estimate the adjustments. (PDF) (01/23/07).
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.
REVISED (4-30-2012) Revisions of April 30, 2012, for July 2010-February 2012
Using the Report of Foreign Holdings of U.S. Securities as of June 2011 (TIC Form SHL) data, revised estimates of Agency asset backed securities (ABS) repayments from July 2010 - February 2012 have been compiled. The revised estimates show that cumulatively, Agency ABS repayment monthly estimates decreased by $6.1 billion. No revisions were made to the estimates of Corporate ABS repayments.
The Foreign Official Organizations (FOI) Agency ABS "of which" category was also re-estimated 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 data.
The revisions to the estimates are based on the following: (1) foreign holdings of Agency asset-backed securities decreased more than expected during this period, and (2) the percentage of Foreign Official Institutions (FOI) Agency ABS holdings decreased relative to overall agency ABS holdings (FOI holdings accounted for 58% of overall Agency ABS holdings as of June 2011, compared with 63% as of June 2010). The accompanying table shows the revised monthly repayments, as compared with the previous estimates.
From July 2010 - June 2011, interpolation was used to estimate increases and decreases in foreign-held ABS securities, based on the known holdings as of June 2010 and 2011. Estimates for the July 2010 - February 2012 Agency ABS were revised based on the lower share of holdings observed in June 2010.
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.
Past Revisions:
April 2011, April 2010, and April 2009 for July 2007-February 2011.
April 2008 for July 2006-February 2008.
September 2007 for July 2005-June 2007.
August 2006 for July 2004-May 2006.
September 2005 for July 2002-June 2005.