Board of Governors of the Federal Reserve System
International Finance Discussion Papers
Number 910, November 2007 --- Screen Reader
Version*
Monthly Estimates of U.S. Cross-Border Securities Positions*
NOTE: International Finance Discussion Papers are preliminary materials circulated to stimulate discussion and critical comment. References in publications to International Finance Discussion Papers (other than an acknowledgment that the writer has had access to unpublished material) should be cleared with the author or authors. Recent IFDPs are available on the Web at http://www.federalreserve.gov/pubs/ifdp/. This paper can be downloaded without charge from the Social Science Research Network electronic library at http://www.ssrn.com/.
Abstract:
This paper reports monthly estimates of U.S. cross-border securities positions obtained by combining the (now) annual TIC surveys with monthly transactions data adjusted for various differences in the two reporting standards. Our approach is similar to that of Thomas, Warnock, and Wongswan (2004), but in addition to having a somewhat larger dataset we are able to make some simplifications to the numerical procedure used and we incorporate additional adjustments to the transactions data. This paper describes the procedure used and presents the monthly results. In addition, we discuss how the procedure can be extended to extrapolate holdings estimates beyond the most recent survey values. We focus primarily on U.S. liabilities to foreign holders, because more data is available than for U.S. claims, but we show how our methodology can be applied to U.S. claims as well. We also provide some guidance on how the changes in estimated holdings can be decomposed into flows, valuation changes, and other factors. Time series of estimates of holdings, by country, are available for download.
Keywords: International investment position, treasury international capital, cross-border securities Holdings.
JEL classification: C80, F30.
1 Introduction
Cross-border holdings of securities between the United States and the rest of the world are growing in size and importance. As of end-December 2006, U.S. residents held about $5.6 trillion in foreign stocks and bonds, compared with holdings of $2.1 trillion five years earlier, while foreign residents held about $8 trillion in U.S. long-term securities, more than double their holdings in 2001. Periodic surveys of holdings provide our most accurate and detailed information on cross-border securities holdings, but these surveys have several disadvantages. First, the surveys are relatively infrequent: until recently, surveys were as much as five years apart. They are now conducted annually, but a higher frequency time series of positions is desired by market participants and policy analysts. Second, survey results are available only with a considerable lag: it takes about 8-9 months to get preliminary results and 10-12 months to get final results, after the nominal date of the survey. We would like a reliable way to base current estimates of holdings on the latest monthly securities transactions data, which are available with a lag of only 45 days, approximately. Finally, the surveys alone do not provide a basis for decomposing changes from one survey to the next into net transactions, valuation effects, and other adjustments, all of which would be helpful in analyzing the data. By estimating monthly positions using monthly transactions and valuation adjustments, we can estimate the desired decomposition as well.
We work with three sets of cross-border securities data collected by the Treasury International Capital (TIC) system. First, foreign holdings of U.S. securities are measured in the comprehensive surveys of U.S. liabilities to foreigners. These data are available by country of holder, by security type (Treasury bonds, agency bonds, corporate bonds, and equities), and by type of holder (official or private) for nine different dates: December 1984, December 1989, December 1994, March 2000, June 2002, June 2003, June 2004, June 2005, and June 2006.1 There are about 80 countries in the sample.2 Second, on the claims side, surveys of U.S. holdings of foreign securities were taken in March 1994, December 1997, December 2001, December 2003, December 2004, December 2005, and most recently for December 2006. Claims data are available by country of issuance for U.S. holdings of foreign bonds and foreign equities. We combine these periodic survey data with the third set of data, monthly transactions data on cross-border purchases and sales of U.S. Treasury, agency, corporate bonds, U.S. equities, and foreign stocks and bonds (the TIC S data).3 Although the most recent liabilities and claims surveys provide considerable detail on the types of securities held (e.g. currency of issue, "straight" debt versus asset-backed, zero-coupon, or convertible debt, public versus private issuer, common stock versus preferred stock or mutual funds), the monthly transactions data limit our analysis to the broad characterizations listed.
The difficulties involved in making monthly estimates, particularly those caused by financial center transactions bias, have been discussed in a number of other papers (See Warnock and Mason (2001), Griever, Lee, and Warnock (2001), and Warnock and Cleaver (2002).) Thomas, Warnock, and Wongswan (2004) propose a methodology to generate monthly position estimates by country that use adjusted monthly transactions and are consistent with the reported survey positions. Our approach, discussed in the following sections, is similar to that of Thomas, Warnock, and Wongswan (hereafter TWW), but differs in a number of details.
2 The discrepancy between survey positions and transactions-based positions estimates
There is a substantial discrepancy between the reported survey positions and position estimates derived from the monthly transactions data as published by the Treasury. This discrepancy is illustrated in Figure 1, which shows the total foreign holdings of U.S. agency bonds. The round dots show the reported survey holdings for seven surveys from 1994 to 2006. The lines starting from each dot show the cumulated monthly transactions starting from the survey value and continuing up until the subsequent survey. As the figure shows, in every case the cumulation of the monthly positions noticeably overstates the position at the time of the next survey.
There are several reasons for the discrepancy between the reported survey holdings and cumulated monthly positions from the net transactions data. One is that the underlying monthly transactions data cannot account for all changes in holdings of securities included in the periodic surveys. For example, the transactions data for agency bonds do not include repayment flows of principal on asset-backed agency securities. We are able to adjust the transactions data starting in 2002 for these and other discrepancies, including principal repayment flows on asset-backed corporate securities, acquisitions of equity through stock swaps, and transactions in nonmarketable treasury bonds; the results using adjusted net flows for agency bonds are shown in Figure 1a. (See Appendix A for details on the adjustments for stock swaps and asset-backed securities.)
Figure 1. Total foreign holdings of U.S. agency bonds
Estimated monthly positions using unadjusted net flows in billions of dollars
Values constructed from periodic surveys of holdings and unadjusted monthly net transactions.
Data for Figure 1
| Date | Survey value |
Survey date: 1994-Dec | Survey date: 2000-Mar | Survey date: 2002-Jun | Survey date: 2003-Jun | Survey date: 2004-Jun | Survey date: 2005-Jun |
|---|---|---|---|---|---|---|---|
| 1994-Dec | 107 |
107 | - | - | - | - | - |
| 1995-Jan | - |
109 | - | - | - | - | - |
| 1995-Feb | - |
111 | - | - | - | - | - |
| 1995-Mar | - |
114 | - | - | - | - | - |
| 1995-Apr | - |
116 | - | - | - | - | - |
| 1995-May | - |
117 | - | - | - | - | - |
| 1995-Jun | - |
120 | - | - | - | - | - |
| 1995-Jul | - |
123 | - | - | - | - | - |
| 1995-Aug | - |
127 | - | - | - | - | - |
| 1995-Sep | - |
132 | - | - | - | - | - |
| 1995-Oct | - |
134 | - | - | - | - | - |
| 1995-Nov | - |
138 | - | - | - | - | - |
| 1995-Dec | - |
136 | - | - | - | - | - |
| 1996-Jan | - |
139 | - | - | - | - | - |
| 1996-Feb | - |
142 | - | - | - | - | - |
| 1996-Mar | - |
142 | - | - | - | - | - |
| 1996-Apr | - |
144 | - | - | - | - | - |
| 1996-May | - |
147 | - | - | - | - | - |
| 1996-Jun | - |
151 | - | - | - | - | - |
| 1996-Jul | - |
155 | - | - | - | - | - |
| 1996-Aug | - |
160 | - | - | - | - | - |
| 1996-Sep | - |
164 | - | - | - | - | - |
| 1996-Oct | - |
168 | - | - | - | - | - |
| 1996-Nov | - |
175 | - | - | - | - | - |
| 1996-Dec | - |
178 | - | - | - | - | - |
| 1997-Jan | - |
182 | - | - | - | - | - |
| 1997-Feb | - |
187 | - | - | - | - | - |
| 1997-Mar | - |
191 | - | - | - | - | - |
| 1997-Apr | - |
197 | - | - | - | - | - |
| 1997-May | - |
200 | - | - | - | - | - |
| 1997-Jun | - |
202 | - | - | - | - | - |
| 1997-Jul | - |
208 | - | - | - | - | - |
| 1997-Aug | - |
216 | - | - | - | - | - |
| 1997-Sep | - |
217 | - | - | - | - | - |
| 1997-Oct | - |
225 | - | - | - | - | - |
| 1997-Nov | - |
225 | - | - | - | - | - |
| 1997-Dec | - |
227 | - | - | - | - | - |
| 1998-Jan | - |
231 | - | - | - | - | - |
| 1998-Feb | - |
240 | - | - | - | - | - |
| 1998-Mar | - |
249 | - | - | - | - | - |
| 1998-Apr | - |
257 | - | - | - | - | - |
| 1998-May | - |
260 | - | - | - | - | - |
| 1998-Jun | - |
267 | - | - | - | - | - |
| 1998-Jul | - |
269 | - | - | - | - | - |
| 1998-Aug | - |
273 | - | - | - | - | - |
| 1998-Sep | - |
273 | - | - | - | - | - |
| 1998-Oct | - |
267 | - | - | - | - | - |
| 1998-Nov | - |
277 | - | - | - | - | - |
| 1998-Dec | - |
284 | - | - | - | - | - |
| 1999-Jan | - |
293 | - | - | - | - | - |
| 1999-Feb | - |
297 | - | - | - | - | - |
| 1999-Mar | - |
308 | - | - | - | - | - |
| 1999-Apr | - |
320 | - | - | - | - | - |
| 1999-May | - |
326 | - | - | - | - | - |
| 1999-Jun | - |
331 | - | - | - | - | - |
| 1999-Jul | - |
339 | - | - | - | - | - |
| 1999-Aug | - |
344 | - | - | - | - | - |
| 1999-Sep | - |
354 | - | - | - | - | - |
| 1999-Oct | - |
363 | - | - | - | - | - |
| 1999-Nov | - |
371 | - | - | - | - | - |
| 1999-Dec | - |
376 | - | - | - | - | - |
| 2000-Jan | - |
382 | - | - | - | - | - |
| 2000-Feb | - |
396 | - | - | - | - | - |
| 2000-Mar | 261 |
411 | 261 | - | - | - | - |
| 2000-Apr | - |
- | 270 | - | - | - | - |
| 2000-May | - |
- | 284 | - | - | - | - |
| 2000-Jun | - |
- | 291 | - | - | - | - |
| 2000-Jul | - |
- | 301 | - | - | - | - |
| 2000-Aug | - |
- | 317 | - | - | - | - |
| 2000-Sep | - |
- | 333 | - | - | - | - |
| 2000-Oct | - |
- | 352 | - | - | - | - |
| 2000-Nov | - |
- | 370 | - | - | - | - |
| 2000-Dec | - |
- | 380 | - | - | - | - |
| 2001-Jan | - |
- | 393 | - | - | - | - |
| 2001-Feb | - |
- | 403 | - | - | - | - |
| 2001-Mar | - |
- | 422 | - | - | - | - |
| 2001-Apr | - |
- | 438 | - | - | - | - |
| 2001-May | - |
- | 445 | - | - | - | - |
| 2001-Jun | - |
- | 462 | - | - | - | - |
| 2001-Jul | - |
- | 474 | - | - | - | - |
| 2001-Aug | - |
- | 486 | - | - | - | - |
| 2001-Sep | - |
- | 494 | - | - | - | - |
| 2001-Oct | - |
- | 521 | - | - | - | - |
| 2001-Nov | - |
- | 535 | - | - | - | - |
| 2001-Dec | - |
- | 544 | - | - | - | - |
| 2002-Jan | - |
- | 552 | - | - | - | - |
| 2002-Feb | - |
- | 558 | - | - | - | - |
| 2002-Mar | - |
- | 578 | - | - | - | - |
| 2002-Apr | - |
- | 602 | - | - | - | - |
| 2002-May | - |
- | 620 | - | - | - | - |
| 2002-Jun | 492 |
- | 632 | 492 | - | - | - |
| 2002-Jul | - |
- | - | 504 | - | - | - |
| 2002-Aug | - |
- | - | 522 | - | - | - |
| 2002-Sep | - |
- | - | 543 | - | - | - |
| 2002-Oct | - |
- | - | 565 | - | - | - |
| 2002-Nov | - |
- | - | 583 | - | - | - |
| 2002-Dec | - |
- | - | 599 | - | - | - |
| 2003-Jan | - |
- | - | 623 | - | - | - |
| 2003-Feb | - |
- | - | 632 | - | - | - |
| 2003-Mar | - |
- | - | 647 | - | - | - |
| 2003-Apr | - |
- | - | 665 | - | - | - |
| 2003-May | - |
- | - | 691 | - | - | - |
| 2003-Jun | 586 |
- | - | 698 | 586 | - | - |
| 2003-Jul | - |
- | - | - | 598 | - | - |
| 2003-Aug | - |
- | - | - | 607 | - | - |
| 2003-Sep | - |
- | - | - | 607 | - | - |
| 2003-Oct | - |
- | - | - | 618 | - | - |
| 2003-Nov | - |
- | - | - | 627 | - | - |
| 2003-Dec | - |
- | - | - | 643 | - | - |
| 2004-Jan | - |
- | - | - | 669 | - | - |
| 2004-Feb | - |
- | - | - | 689 | - | - |
| 2004-Mar | - |
- | - | - | 688 | - | - |
| 2004-Apr | - |
- | - | - | 714 | - | - |
| 2004-May | - |
- | - | - | 734 | - | - |
| 2004-Jun | 619 |
- | - | - | 747 | 619 | - |
| 2004-Jul | - |
- | - | - | - | 639 | - |
| 2004-Aug | - |
- | - | - | - | 656 | - |
| 2004-Sep | - |
- | - | - | - | 665 | - |
| 2004-Oct | - |
- | - | - | - | 687 | - |
| 2004-Nov | - |
- | - | - | - | 714 | - |
| 2004-Dec | - |
- | - | - | - | 741 | - |
| 2005-Jan | - |
- | - | - | - | 766 | - |
| 2005-Feb | - |
- | - | - | - | 781 | - |
| 2005-Mar | - |
- | - | - | - | 788 | - |
| 2005-Apr | - |
- | - | - | - | 795 | - |
| 2005-May | - |
- | - | - | - | 817 | - |
| 2005-Jun | 791 |
- | - | - | - | 835 | 791 |
| 2005-Jul | - |
- | - | - | - | - | 825 |
| 2005-Aug | - |
- | - | - | - | - | 841 |
| 2005-Sep | - |
- | - | - | - | - | 860 |
| 2005-Oct | - |
- | - | - | - | - | 893 |
| 2005-Nov | - |
- | - | - | - | - | 904 |
| 2005-Dec | - |
- | - | - | - | - | 915 |
| 2006-Jan | - |
- | - | - | - | - | 945 |
| 2006-Feb | - |
- | - | - | - | - | 975 |
| 2006-Mar | - |
- | - | - | - | - | 990 |
| 2006-Apr | - |
- | - | - | - | - | 1008 |
| 2006-May | - |
- | - | - | - | - | 1044 |
| 2006-Jun | 984 |
- | - | - | - | - | 1067 |
Figure 1a. Total foreign holdings of U.S. agency bonds
Estimated monthly positions using adjusted net flows in billions of dollars
Values constructed from periodic surveys of holdings and adjusted monthly net transactions.
Data for Figure 1a
| Date | Survey value |
Survey date 1994-Dec: unadj. net flows |
Survey date 2000-Mar: unadj. net flows |
Survey date 2002-Jun: unadj. net flows |
Survey date 2003-Jun: unadj. net flows |
Survey date 2004-Jun: unadj. net flows |
Survey date 2005-Jun: unadj. net flows |
Survey date 1994-Dec: adj. net flows |
Survey date 2000-Mar: adj. net flow |
Survey date 2002-Jun: adj. net flows |
Survey date 2003-Jun: adj. net flows |
Survey date 2004-Jun: adj. net flows |
Survey date 2005-Jun: adj. net flows |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1994-Dec | 107 |
107 |
- |
- |
- |
- |
- |
107 |
- |
- |
- |
- |
- |
| 1995-Jan | - |
109 |
- |
- |
- |
- |
- |
109 |
- |
- |
- |
- |
- |
| 1995-Feb | - |
111 |
- |
- |
- |
- |
- |
111 |
- |
- |
- |
- |
- |
| 1995-Mar | - |
114 |
- |
- |
- |
- |
- |
114 |
- |
- |
- |
- |
- |
| 1995-Apr | - |
116 |
- |
- |
- |
- |
- |
116 |
- |
- |
- |
- |
- |
| 1995-May | - |
117 |
- |
- |
- |
- |
- |
117 |
- |
- |
- |
- |
- |
| 1995-Jun | - |
120 |
- |
- |
- |
- |
- |
120 |
- |
- |
- |
- |
- |
| 1995-Jul | - |
123 |
- |
- |
- |
- |
- |
123 |
- |
- |
- |
- |
- |
| 1995-Aug | - |
127 |
- |
- |
- |
- |
- |
127 |
- |
- |
- |
- |
- |
| 1995-Sep | - |
132 |
- |
- |
- |
- |
- |
132 |
- |
- |
- |
- |
- |
| 1995-Oct | - |
134 |
- |
- |
- |
- |
- |
134 |
- |
- |
- |
- |
- |
| 1995-Nov | - |
138 |
- |
- |
- |
- |
- |
138 |
- |
- |
- |
- |
- |
| 1995-Dec | - |
136 |
- |
- |
- |
- |
- |
136 |
- |
- |
- |
- |
- |
| 1996-Jan | - |
139 |
- |
- |
- |
- |
- |
139 |
- |
- |
- |
- |
- |
| 1996-Feb | - |
142 |
- |
- |
- |
- |
- |
142 |
- |
- |
- |
- |
- |
| 1996-Mar | - |
142 |
- |
- |
- |
- |
- |
142 |
- |
- |
- |
- |
- |
| 1996-Apr | - |
144 |
- |
- |
- |
- |
- |
144 |
- |
- |
- |
- |
- |
| 1996-May | - |
147 |
- |
- |
- |
- |
- |
147 |
- |
- |
- |
- |
- |
| 1996-Jun | - |
151 |
- |
- |
- |
- |
- |
151 |
- |
- |
- |
- |
- |
| 1996-Jul | - |
155 |
- |
- |
- |
- |
- |
155 |
- |
- |
- |
- |
- |
| 1996-Aug | - |
160 |
- |
- |
- |
- |
- |
160 |
- |
- |
- |
- |
- |
| 1996-Sep | - |
164 |
- |
- |
- |
- |
- |
164 |
- |
- |
- |
- |
- |
| 1996-Oct | - |
168 |
- |
- |
- |
- |
- |
168 |
- |
- |
- |
- |
- |
| 1996-Nov | - |
175 |
- |
- |
- |
- |
- |
175 |
- |
- |
- |
- |
- |
| 1996-Dec | - |
178 |
- |
- |
- |
- |
- |
178 |
- |
- |
- |
- |
- |
| 1997-Jan | - |
182 |
- |
- |
- |
- |
- |
182 |
- |
- |
- |
- |
- |
| 1997-Feb | - |
187 |
- |
- |
- |
- |
- |
187 |
- |
- |
- |
- |
- |
| 1997-Mar | - |
191 |
- |
- |
- |
- |
- |
191 |
- |
- |
- |
- |
- |
| 1997-Apr | - |
197 |
- |
- |
- |
- |
- |
197 |
- |
- |
- |
- |
- |
| 1997-May | - |
200 |
- |
- |
- |
- |
- |
200 |
- |
- |
- |
- |
- |
| 1997-Jun | - |
202 |
- |
- |
- |
- |
- |
202 |
- |
- |
- |
- |
- |
| 1997-Jul | - |
208 |
- |
- |
- |
- |
- |
208 |
- |
- |
- |
- |
- |
| 1997-Aug | - |
216 |
- |
- |
- |
- |
- |
216 |
- |
- |
- |
- |
- |
| 1997-Sep | - |
217 |
- |
- |
- |
- |
- |
217 |
- |
- |
- |
- |
- |
| 1997-Oct | - |
225 |
- |
- |
- |
- |
- |
225 |
- |
- |
- |
- |
- |
| 1997-Nov | - |
225 |
- |
- |
- |
- |
- |
225 |
- |
- |
- |
- |
- |
| 1997-Dec | - |
227 |
- |
- |
- |
- |
- |
227 |
- |
- |
- |
- |
- |
| 1998-Jan | - |
231 |
- |
- |
- |
- |
- |
231 |
- |
- |
- |
- |
- |
| 1998-Feb | - |
240 |
- |
- |
- |
- |
- |
240 |
- |
- |
- |
- |
- |
| 1998-Mar | - |
249 |
- |
- |
- |
- |
- |
249 |
- |
- |
- |
- |
- |
| 1998-Apr | - |
257 |
- |
- |
- |
- |
- |
257 |
- |
- |
- |
- |
- |
| 1998-May | - |
260 |
- |
- |
- |
- |
- |
260 |
- |
- |
- |
- |
- |
| 1998-Jun | - |
267 |
- |
- |
- |
- |
- |
267 |
- |
- |
- |
- |
- |
| 1998-Jul | - |
269 |
- |
- |
- |
- |
- |
269 |
- |
- |
- |
- |
- |
| 1998-Aug | - |
273 |
- |
- |
- |
- |
- |
273 |
- |
- |
- |
- |
- |
| 1998-Sep | - |
273 |
- |
- |
- |
- |
- |
273 |
- |
- |
- |
- |
- |
| 1998-Oct | - |
267 |
- |
- |
- |
- |
- |
267 |
- |
- |
- |
- |
- |
| 1998-Nov | - |
277 |
- |
- |
- |
- |
- |
277 |
- |
- |
- |
- |
- |
| 1998-Dec | - |
284 |
- |
- |
- |
- |
- |
284 |
- |
- |
- |
- |
- |
| 1999-Jan | - |
293 |
- |
- |
- |
- |
- |
293 |
- |
- |
- |
- |
- |
| 1999-Feb | - |
297 |
- |
- |
- |
- |
- |
297 |
- |
- |
- |
- |
- |
| 1999-Mar | - |
308 |
- |
- |
- |
- |
- |
308 |
- |
- |
- |
- |
- |
| 1999-Apr | - |
320 |
- |
- |
- |
- |
- |
320 |
- |
- |
- |
- |
- |
| 1999-May | - |
326 |
- |
- |
- |
- |
- |
326 |
- |
- |
- |
- |
- |
| 1999-Jun | - |
331 |
- |
- |
- |
- |
- |
331 |
- |
- |
- |
- |
- |
| 1999-Jul | - |
339 |
- |
- |
- |
- |
- |
339 |
- |
- |
- |
- |
- |
| 1999-Aug | - |
344 |
- |
- |
- |
- |
- |
344 |
- |
- |
- |
- |
- |
| 1999-Sep | - |
354 |
- |