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. (No adjustment is made for principal payments on U.S. holdings of foreign ABS because these holdings currently are very small).
- Revisions of April 2012, for July 2010-February 2012.
The revised repayment estimates for July 2010 - February 2012 are shown in the table (04/30/2012), along with the previous estimates.
- Revisions of April 2011, for July 2009-February 2011.
The revised repayment estimates for July 2009 - February 2011 are shown in the table (04/30/2011), along with the previous estimates.
- Revisions of April 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 (04/30/2010) 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.
- 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 (04/30/09) 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.
- 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 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.
- Revisions of September 2007, for July 2005-June 2007.
Using the June 2006 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 2005 - June 2007 have been compiled. The results show that on average, Agency ABS prepayments were previously underestimated by about $370 million per month and corporate ABS prepayments were underestimated by about $800 million per month. The revised repayment estimates are shown in the table (09/18/2007), along with the previous estimates.
- 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 (08/15/2006) 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.
- 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 table (PDF) (09/16/2005), 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.