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

Revisions of September 16, 2005, for July 2002-June 2005

Based upon the results of the benchmark survey of Foreign Portfolio Holding of U.S. Securities at End-June 2004, revised estimates are provided for asset backed securities (ABS) repayments dating from July 2002 to June 2005. The June 2004 survey revealed that foreign residents had both increased their holdings of debt securities more than estimated and increased the proportion of ABS debt securities relative to total holdings of debt securities. Revised monthly estimates of holdings and repayments were derived for July 2002 - June 2004 using: the 2004 benchmark data; revised TIC S monthly purchase estimates; and an interpolation procedure that reflects the higher purchases of ABS securities needed to both reinvest principal returned as repayments and increase foreigner's share of holdings in the form of ABS debt.

Estimates of repayments for the period July 2004 through June 2005 were also revised, using the June 2004 benchmark data as a starting point and a revised procedure that includes adjustment factors to TIC S purchases, by ABS security type, to reflect the higher percentage of ABS purchases by foreigners (relative to all debt securities of that issuer type) needed to replace portions of their holdings eliminated by principal repayments. This revised procedure will continue to be used in estimates for subsequent months. In addition, to further improve future estimates the annual survey (SHL) respondent-panel has been expanded and structured to include more issuers of ABS securities, making it possible to better track and revise the repayment estimates annually.

The revised repayment estimates for July 2002 - June 2005 are shown in the tablePDF icon (PDF) (09/16/05), along with the previous estimates. The new estimates of average Agency ABS repayments are about $1.1 billion per month higher then the previous estimates. The new estimates of corporate ABS prepayments are about $1 billion per month higher then the previous estimates.

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Last Updated: 11/3/2010 9:52 PM