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Estimated Principal Repayments for Asset-backed Securities (ABS), including mortgage-backed securities (MBS)

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.

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.

 
Last Updated: 11/3/2010 9:51 PM