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

Revisions of August 15, 2006, for July 2004-May 2006

Based upon the June 2005 Report of Foreign Holdings of U.S. Securities (TIC Form SHLA) data, revised estimates of asset backed securities (ABS) prepayments dating from July 2004 - May 2006 are provided. On average, Agency ABS prepayments were previously underestimated by about $1 billion per month and corporate ABS prepayments were underestimated by about $2.7 billion per month. The accompanying table (08/15/06) shows the revised monthly prepayments, along with the previous estimates.

These revisions are based on the following factors: (1) foreign holdings of U.S. asset-backed securities, especially corporate asset-backed debt securities, increased more than expected during this time frame and (2) the identification procedures relating to ABS asset-class breakouts were improved, leading to a higher estimated level of corporate mortgage-backed securities.

From July 2004 - June 2005, interpolation was used to estimate the increase in foreign held ABS securities, based on the known holdings as of June 2004 and June 2005. July 2005 - May 2006 data were revised based on the assumption that current foreign holdings of ABS securities will continue to grow due to favorable market conditions and asset class growth. As part of this assumption, 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.

 

 

 
Last Updated: 11/3/2010 9:51 PM