Principal Repayment Estimates for Asset-backed Securities
(ABS), including mortgage-backed securities (MBS)
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Background - November 17, 2003
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 has estimated monthly ABS principal payments
to foreign holders for July 2002 - September 2003. For
further details, see the note below 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).
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 2002 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 2002
from $15,784 million to $10,336 million. Accounting for
U.S. corporate ABS principal repayments in December 2002 would
reduce reported net purchases of long-term corporate securities
from $13,178 million to $10,384 million.
Adjustment
data. Also in (CSV) format.
Methodology
used to estimate the adjustments. 
(PDF) (11/18/03)
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