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Estimated Principal Repayments for Asset-backed Securities (ABS)

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(2007)." 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).

2011: Revisions of April 29, 2011, for July 2009-February 2011

Using the Report of Foreign Holdings of U.S. Securities as of June 2010 (TIC Form SHLA) data, revised estimates of asset-backed securities (ABS) repayments from July 2009 - January 2011 have been compiled. The revised estimates show that on average, Agency ABS repayment monthly estimates increased by $334 million and corporate ABS repayments estimates marginally increased by $38 million.

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 SHLA data.

The revisions to the estimates are based on the following: (1) changes in the composition of foreign holdings across various issuers of agency ABS (2) changes in the composition of foreign holdings across various types and issuers of corporate ABS (3) the addition of an “Of Which Item” ABS breakout on the TIC Form S (line item 8999-1), which enables a more precise measurement of Agency and Corporate ABS cross border flows, (4) the percentage of Foreign Official Institutions (FOI) agency ABS holdings decreased relative to overall agency ABS holdings (FOI holdings accounted for 62% of overall Agency ABS holdings as of June 2010, compared with 64% as of June 2009) and (5) the identification procedures relating to ABS asset-class and issuer were improved upon by further developing cross-referencing techniques among multiple databases.

The accompanying table compares the actual (revised) monthly repayments to the estimated prepayments. From July 2009 - June 2010, interpolation was used to estimate increases and decreases in foreign-held ABS securities, based on the known holdings as of June 2009 and 2010. Estimates for the July 2010 - February 2011 Agency ABS and Corporate ABS were revised based on the categorical shifts into corporate MBS and non-Freddie Mac Agency ABS holdings observed in June 2010 SHLA.

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).

2010: Revisions of April 30, 2010, for July 2008-February 2010

Using the Report of Foreign Holdings of U.S. Securities as of June 2009 (TIC Form SHL) data, revised estimates of asset backed securities (ABS) repayments from July 2008 - February 2010 have been compiled. The revised estimates show that on average, Agency ABS repayment monthly estimates increased by $2.3 billion and corporate ABS repayments estimates were reduced by $2.1 billion.

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 increased more than expected during this period (2) foreign holdings of corporate assets-backed securities decreased more than expected (3) the addition of an "Of Which Item" Asset-Backed Security breakout on the TIC Form S, (4) the percentage of Foreign Official Institutions (FOI) agency ABS holdings increased relative to overall agency ABS holdings (FOI holdings accounted for 64% of overall Agency ABS holdings as of June 2009, compared with 57% as of June 2008) and (5) the identification procedures relating to ABS asset-class and issuer were improved upon by further developing cross-referencing techniques among multiple databases.

The accompanying table shows the revised monthly prepayments, as compared with the previous estimates. From July 2008 - June 2009, interpolation was used to estimate increases and decreases in foreign-held ABS securities, based on the known holdings as of June 2008 and 2009. Estimates for the July 2009 - February 2010 Agency ABS were revised based on the higher share of holdings observed in June 2009. Estimates for the July 2009 - February 2010 Corporate ABS were revised based on the lower share of holdings observed in June 2009.

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).

2009: Revisions of April 2009, for July 2007-February 2009

Using the Report of Foreign Holdings of U.S. Securities as of June 2008 (TIC Form SHL(A)) data as a baseline, revised estimates of asset backed securities (ABS) prepayments from July 2008 - February 2009 have been compiled. The results show that on average, Agency ABS prepayments were previously underestimated by about $271 million per month and corporate ABS prepayments were overestimated by about $455 million per month.

In addition to these revisions, the breakout of the Foreign Official Organizations (FOI) Agency ABS "of which" category 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 Agency asset-backed securities increased more than expected during this period (2) foreign holdings of corporate assets-backed securities decreased more than expected (3) the percentage of Foreign Official Institutions (FOI) agency ABS holdings increased relative to overall agency ABS holdings (FOI holdings accounted for 57% of overall Agency ABS holdings as of June 2008, compared with 42% as of June 2007) and (4) the identification procedures relating to ABS asset-class and issuer breakouts were improved upon by further developing cross-referencing techniques among multiple databases.

The accompanying table shows the revised monthly prepayments, as compared with the previous estimates. From July 2007 - June 2008, interpolation was used to estimate the increase in foreign-held ABS securities, based on the known holdings as of June 2007 and 2008. Estimates for the July 2008 - February 2009 Agency ABS were revised based on the higher share of holdings observed in June 2008 with the assumption that foreign holdings of Agency ABS will continue to decline reflecting current market conditions. Estimates for the July 2007 - February 2008 Corporate ABS were revised based on the lower share of holdings observed in June 2008, with the assumption that foreign holdings of Corporate ABS will also decline reflecting current market conditions.

 

 
Last Updated: 11/19/2012 12:47 PM