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Treasury International Capital System

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) (11/15/2012).

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 (11-15-2012) Revisions of November 15, 2012, for data beginning January 2012

Using the monthly data from the Aggregate Holdings of Long-Term Securities by U.S. and Foreign Residents ((TIC Form SLT) data, revised estimates of agency asset backed securities (ABS) repayments beginning with January 2012 have been compiled. The revised estimates show that, cumulatively, estimated agency ABS repayments increased by $17.8 billion. No revisions were made to the estimates of corporate ABS repayments. In addition, no adjustment is made for principal payments on U.S. holdings of foreign ABS because these holdings currently are very small.

The foreign official institutions (FOI) agency ABS "of which" category was also re-estimated to reflect the most current holdings data from the TIC SLT. (This estimate is a subset of, not an addition to, the agency ABS repayment estimates.)

These revisions result from two adjustments to the methodology. First, the base level of agency ABS held by foreign residents is now based on the previous month’s SLT data rather than on estimates compiled from the SHL and TIC S transactions. Second, the methodology for estimating repayment rates was altered in two ways. First, repayment rates for Ginnie Mae securities were incorporated. Second, the overall repayment rate is now constructed as a weighted average of repayment rates from Fannie Mae, Freddie Mac, and Ginnie Mae rather than as a simple average of Fannie Mae and Freddie Mac repayment rates. The weights are calculated from the 2011 SHL data and will be adjusted annually. The accompanying table shows the revised monthly repayments and the previous estimates.

For further details, see the note above on "Methodology." In the future, estimates will be published monthly at the time of the release of the TIC Form S data.

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:
Methodology-2007 used by the Federal Reserve Bank of New York.
April 2012, April 2011, April 2010, and April 2009 for July 2007-February 2012.
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.

 
Last Updated: 11/16/2012 5:58 PM

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