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Monthly Estimates of U.S. Cross-Border Securities Positions*

Carol C. Bertaut and Ralph W. Tryon

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publications to International Finance Discussion Papers (other than an acknowledgment that the writer has had access to unpublished material) should be cleared with the author or authors.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

Data for Figure 1 immediately follows.

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

Data for Figure 1a immediately follows.

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
-
-
-
-
-
354
-
-
-
-
-
1999-Oct
-
363
-
-
-
-
-
363
-
-
-
-
-
1999-Nov
-
371
-
-
-
-
-
371
-
-
-
-
-
1999-Dec
-
376
-
-
-
-
-
376
-
-
-
-
-
2000-Jan
-
382
-
-
-
-
-
382
-
-
-
-
-
2000-Feb
-
396
-
-
-
-
-
396
-
-
-
-
-
2000-Mar
261
411
261
-
-
-
-
411
261
-
-
-
-
2000-Apr
-
-
270
-
-
-
-
-
270
-
-
-
-
2000-May
-
-
284
-
-
-
-
-
284
-
-
-
-
2000-Jun
-
-
291
-
-
-
-
-
291
-
-
-
-
2000-Jul
-
-
301
-
-
-
-
-
301
-
-
-
-
2000-Aug
-
-
317
-
-
-
-
-
317
-
-
-
-
2000-Sep
-
-
333
-
-
-
-
-
333
-
-
-
-
2000-Oct
-
-
352
-
-
-
-
-
352
-
-
-
-
2000-Nov
-
-
370
-
-
-
-
-
370
-
-
-
-
2000-Dec
-
-
380
-
-
-
-
-
380
-
-
-
-
2001-Jan
-
-
393
-
-
-
-
-
393
-
-
-
-
2001-Feb
-
-
403
-
-
-
-
-
403
-
-
-
-
2001-Mar
-
-
422
-
-
-
-
-
422
-
-
-
-
2001-Apr
-
-
438
-
-
-
-
-
438
-
-
-
-
2001-May
-
-
445
-
-
-
-
-
445
-
-
-
-
2001-Jun
-
-
462
-
-
-
-
-
462
-
-
-
-
2001-Jul
-
-
474
-
-
-
-
-
474
-
-
-
-
2001-Aug
-
-
486
-
-
-
-
-
486
-
-
-
-
2001-Sep
-
-
494
-
-
-
-
-
494
-
-
-
-
2001-Oct
-
-
521
-
-
-
-
-
521
-
-
-
-
2001-Nov
-
-
535
-
-
-
-
-
535
-
-
-
-
2001-Dec
-
-
544
-
-
-
-
-
544
-
-
-
-
2002-Jan
-
-
552
-
-
-
-
-
552
-
-
-
-
2002-Feb
-
-
558
-
-
-
-
-
558
-
-
-
-
2002-Mar
-
-
578
-
-
-
-
-
578
-
-
-
-
2002-Apr
-
-
602
-
-
-
-
-
602
-
-
-
-
2002-May
-
-
620
-
-
-
-
-
620
-
-
-
-
2002-Jun
492
-
632
492
-
-
-
-
632
492
-
-
-
2002-Jul
-
-
-
504
-
-
-
-
-
502
-
-
-
2002-Aug
-
-
-
522
-
-
-
-
-
516
-
-
-
2002-Sep
-
-
-
543
-
-
-
-
-
533
-
-
-
2002-Oct
-
-
-
565
-
-
-
-
-
550
-
-
-
2002-Nov
-
-
-
583
-
-
-
-
-
562
-
-
-
2002-Dec
-
-
-
599
-
-
-
-
-
572
-
-
-
2003-Jan
-
-
-
623
-
-
-
-
-
590
-
-
-
2003-Feb
-
-
-
632
-
-
-
-
-
593
-
-
-
2003-Mar
-
-
-
647
-
-
-
-
-
602
-
-
-
2003-Apr
-
-
-
665
-
-
-
-
-
614
-
-
-
2003-May
-
-
-
691
-
-
-
-
-
632
-
-
-
2003-Jun
586
-
-
698
586
-
-
-
-
633
586
-
-
2003-Jul
-
-
-
-
598
-
-
-
-
-
590
-
-
2003-Aug
-
-
-
-
607
-
-
-
-
-
589
-
-
2003-Sep
-
-
-
-
607
-
-
-
-
-
581
-
-
2003-Oct
-
-
-
-
618
-
-
-
-
-
587
-
-
2003-Nov
-
-
-
-
627
-
-
-
-
-
593
-
-
2003-Dec
-
-
-
-
643
-
-
-
-
-
604
-
-
2004-Jan
-
-
-
-
669
-
-
-
-
-
626
-
-
2004-Feb
-
-
-
-
689
-
-
-
-
-
644
-
-
2004-Mar
-
-
-
-
688
-
-
-
-
-
639
-
-
2004-Apr
-
-
-
-
714
-
-
-
-
-
661
-
-
2004-May
-
-
-
-
734
-
-
-
-
-
674
-
-
2004-Jun
619
-
-
-
747
619
-
-
-
-
684
619
-
2004-Jul
-
-
-
-
-
639
-
-
-
-
-
635
-
2004-Aug
-
-
-
-
-
656
-
-
-
-
-
649
-
2004-Sep
-
-
-
-
-
665
-
-
-
-
-
653
-
2004-Oct
-
-
-
-
-
687
-
-
-
-
-
671
-
2004-Nov
-
-
-
-
-
714
-
-
-
-
-
695
-
2004-Dec
-
-
-
-
-
741
-
-
-
-
-
717
-
2005-Jan
-
-
-
-
-
766
-
-
-
-
-
738
-
2005-Feb
-
-
-
-
-
781
-
-
-
-
-
749
-
2005-Mar
-
-
-
-
-
788
-
-
-
-
-
752
-
2005-Apr
-
-
-
-
-
795
-
-
-
-
-
754
-
2005-May
-
-
-
-
-
817
-
-
-
-
-
770
-
2005-Jun
791
-
-
-
-
835
791
-
-
-
-
784
791
2005-Jul
-
-
-
-
-
-
825
-
-
-
-
-
819
2005-Aug
-
-
-
-
-
-
841
-
-
-
-
-
829
2005-Sep
-
-
-
-
-
-
860
-
-
-
-
-
841
2005-Oct
-
-
-
-
-
-
893
-
-
-
-
-
868
2005-Nov
-
-
-
-
-
-
904
-
-
-
-
-
873
2005-Dec
-
-
-
-
-
-
915
-
-
-
-
-
879
2006-Jan
-
-
-
-
-
-
945
-
-
-
-
-
904
2006-Feb
-
-
-
-
-
-
975
-
-
-
-
-
930
2006-Mar
-
-
-
-
-
-
990
-
-
-
-
-
941
2006-Apr
-
-
-
-
-
-
1008
-
-
-
-
-
954
2006-May
-
-
-
-
-
-
1044
-
-
-
-
-
985
2006-Jun
984
-
-
-
-
-
1067
-
-
-
-
-
1002

As expected, using the adjusted net flows bring the estimated positions closer to the survey results, but a noticeable gap still remains. Another factor that contributes to the discrepancy is that the transactions data do not reflect any valuation changes, which do affect the measured positions reported in the periodic surveys. Figure 2 reports total foreign holdings of treasury bonds, agency bonds, corporate bonds, and equities estimated using adjusted net flows with and without allowance for valuation changes. (See Appendix B for details on how the allowance for valuation changes was made.)

Figure 2.  Total foreign holdings of U.S. long-term securities
Estimated monthly positions using adjusted net flows in billions of dollars

Data for Figure 2 immediately follows.

Values constructed from periodic surveys of holdings, adjusted monthly net transactions and valuation adjustments.

Data for Figure 2 - Treasury Bonds

Date
Survey value
Survey date 2000-Mar: adj. net flows
Survey date 2002-Jun: adj. net flows
Survey date 2003-Jun: adj. net flows
Survey date 2000-Mar: adj. net flows
Survey date 2000-Mar: adj. net flows
Survey date 2000-Mar: with valuation adj.
Survey date 2002-Jun: with valuation adj.
Survey date 2003-Jun: with valuation adj.
Survey date 2004-Jun: with valuation adj.
Survey date 2005-Jun: with valuation adj.
2000-Mar
884
884
-
-
-
-
884
-
-
-
-
2000-Apr
-
899
-
-
-
-
891
-
-
-
-
2000-May
-
892
-
-
-
-
881
-
-
-
-
2000-Jun
-
874
-
-
-
-
873
-
-
-
-
2000-Jul
-
868
-
-
-
-
871
-
-
-
-
2000-Aug
-
868
-
-
-
-
879
-
-
-
-
2000-Sep
-
859
-
-
-
-
866
-
-
-
-
2000-Oct
-
856
-
-
-
-
867
-
-
-
-
2000-Nov
-
842
-
-
-
-
866
-
-
-
-
2000-Dec
-
832
-
-
-
-
869
-
-
-
-
2001-Jan
-
823
-
-
-
-
862
-
-
-
-
2001-Feb
-
831
-
-
-
-
876
-
-
-
-
2001-Mar
-
836
-
-
-
-
879
-
-
-
-
2001-Apr
-
822
-
-
-
-
850
-
-
-
-
2001-May
-
825
-
-
-
-
852
-
-
-
-
2001-Jun
-
821
-
-
-
-
848
-
-
-
-
2001-Jul
-
810
-
-
-
-
854
-
-
-
-
2001-Aug
-
815
-
-
-
-
866
-
-
-
-
2001-Sep
-
814
-
-
-
-
874
-
-
-
-
2001-Oct
-
829
-
-
-
-
910
-
-
-
-
2001-Nov
-
842
-
-
-
-
895
-
-
-
-
2001-Dec
-
851
-
-
-
-
891
-
-
-
-
2002-Jan
-
835
-
-
-
-
878
-
-
-
-
2002-Feb
-
844
-
-
-
-
891
-
-
-
-
2002-Mar
-
863
-
-
-
-
884
-
-
-
-
2002-Apr
-
855
-
-
-
-
893
-
-
-
-
2002-May
-
865
-
-
-
-
904
-
-
-
-
2002-Jun
905
879
905
-
-
-
927
905
-
-
-
2002-Jul
-
-
929
-
-
-
-
947
-
-
-
2002-Aug
-
-
934
-
-
-
-
967
-
-
-
2002-Sep
-
-
955
-
-
-
-
1011
-
-
-
2002-Oct
-
-
962
-
-
-
-
1002
-
-
-
2002-Nov
-
-
983
-
-
-
-
1009
-
-
-
2002-Dec
-
-
996
-
-
-
-
1044
-
-
-
2003-Jan
-
-
998
-
-
-
-
1038
-
-
-
2003-Feb
-
-
995
-
-
-
-
1049
-
-
-
2003-Mar
-
-
1022
-
-
-
-
1067
-
-
-
2003-Apr
-
-
1030
-
-
-
-
1077
-
-
-
2003-May
-
-
1072
-
-
-
-
1145
-
-
-
2003-Jun
1114
-
1112
1114
-
-
-
1173
1114
-
-
2003-Jul
-
-
-
1164
-
-
-
-
1111
-
-
2003-Aug
-
-
-
1181
-
-
-
-
1130
-
-
2003-Sep
-
-
-
1188
-
-
-
-
1167
-
-
2003-Oct
-
-
-
1198
-
-
-
-
1155
-
-
2003-Nov
-
-
-
1234
-
-
-
-
1187
-
-
2003-Dec
-
-
-
1262
-
-
-
-
1221
-
-
2004-Jan
-
-
-
1308
-
-
-
-
1273
-
-
2004-Feb
-
-
-
1334
-
-
-
-
1311
-
-
2004-Mar
-
-
-
1385
-
-
-
-
1369
-
-
2004-Apr
-
-
-
1435
-
-
-
-
1371
-
-
2004-May
-
-
-
1464
-
-
-
-
1390
-
-
2004-Jun
1424
-
-
1509
1424
-
-
-
1435
1424
-
2004-Jul
-
-
-
-
1437
-
-
-
-
1445
-
2004-Aug
-
-
-
-
1451
-
-
-
-
1483
-
2004-Sep
-
-
-
-
1468
-
-
-
-
1499
-
2004-Oct
-
-
-
-
1487
-
-
-
-
1525
-
2004-Nov
-
-
-
-
1520
-
-
-
-
1532
-
2004-Dec
-
-
-
-
1529
-
-
-
-
1550
-
2005-Jan
-
-
-
-
1562
-
-
-
-
1589
-
2005-Feb
-
-
-
-
1606
-
-
-
-
1615
-
2005-Mar
-
-
-
-
1641
-
-
-
-
1638
-
2005-Apr
-
-
-
-
1670
-
-
-
-
1691
-
2005-May
-
-
-
-
1672
-
-
-
-
1707
-
2005-Jun
1598
-
-
-
1692
1598
-
-
-
1731
1598
2005-Jul
-
-
-
-
-
1626
-
-
-
-
1599
2005-Aug
-
-
-
-
-
1652
-
-
-
-
1644
2005-Sep
-
-
-
-
-
1674
-
-
-
-
1639
2005-Oct
-
-
-
-
-
1704
-
-
-
-
1650
2005-Nov
-
-
-
-
-
1756
-
-
-
-
1704
2005-Dec
-
-
-
-
-
1773
-
-
-
-
1732
2006-Jan
-
-
-
-
-
1775
-
-
-
-
1722
2006-Feb
-
-
-
-
-
1794
-
-
-
-
1737
2006-Mar
-
-
-
-
-
1803
-
-
-
-
1721
2006-Apr
-
-
-
-
-
1799
-
-
-
-
1703
2006-May
-
-
-
-
-
1815
-
-
-
-
1712
2006-Jun
1726
-
-
-
-
1844
-
-
-
-
1740

Data for Figure 2 - Agency Bonds

Date
Survey value
Survey date 2000-Mar: adj. net flows
Survey date 2002-Jun: adj. net flows
Survey date 2003-Jun: adj. net flows
Survey date 2000-Mar: adj. net flows
Survey date 2000-Mar: adj. net flows
Survey date 2000-Mar: with valuation adj.
Survey date 2002-Jun: with valuation adj.
Survey date 2003-Jun: with valuation adj.
Survey date 2004-Jun: with valuation adj.
Survey date 2005-Jun: with valuation adj.
2000-Mar
261
261
-
-
-
-
261
-
-
-
-
2000-Apr
-
270
-
-
-
-
269
-
-
-
-
2000-May
-
284
-
-
-
-
280
-
-
-
-
2000-Jun
-
291
-
-
-
-
291
-
-
-
-
2000-Jul
-
301
-
-
-
-
302
-
-
-
-
2000-Aug
-
317
-
-
-
-
321
-
-
-
-
2000-Sep
-
333
-
-
-
-
339
-
-
-
-
2000-Oct
-
352
-
-
-
-
358
-
-
-
-
2000-Nov
-
370
-
-
-
-
381
-
-
-
-
2000-Dec
-
380
-
-
-
-
398
-
-
-
-
2001-Jan
-
393
-
-
-
-
415
-
-
-
-
2001-Feb
-
403
-
-
-
-
426
-
-
-
-
2001-Mar
-
422
-
-
-
-
446
-
-
-
-
2001-Apr
-
438
-
-
-
-
457
-
-
-
-
2001-May
-
445
-
-
-
-
463
-
-
-
-
2001-Jun
-
462
-
-
-
-
479
-
-
-
-
2001-Jul
-
474
-
-
-
-
500
-
-
-
-
2001-Aug
-
486
-
-
-
-
515
-
-
-
-
2001-Sep
-
494
-
-
-
-
531
-
-
-
-
2001-Oct
-
521
-
-
-
-
567
-
-
-
-
2001-Nov
-
535
-
-
-
-
569
-
-
-
-
2001-Dec
-
544
-
-
-
-
571
-
-
-
-
2002-Jan
-
552
-
-
-
-
580
-
-
-
-
2002-Feb
-
558
-
-
-
-
589
-
-
-
-
2002-Mar
-
578
-
-
-
-
596
-
-
-
-
2002-Apr
-
602
-
-
-
-
631
-
-
-
-
2002-May
-
620
-
-
-
-
651
-
-
-
-
2002-Jun
492
632
492
-
-
-
668
492
-
-
-
2002-Jul
-
-
502
-
-
-
-
508
-
-
-
2002-Aug
-
-
516
-
-
-
-
527
-
-
-
2002-Sep
-
-
533
-
-
-
-
550
-
-
-
2002-Oct
-
-
550
-
-
-
-
564
-
-
-
2002-Nov
-
-
562
-
-
-
-
571
-
-
-
2002-Dec
-
-
572
-
-
-
-
589
-
-
-
2003-Jan
-
-
590
-
-
-
-
605
-
-
-
2003-Feb
-
-
593
-
-
-
-
614
-
-
-
2003-Mar
-
-
602
-
-
-
-
621
-
-
-
2003-Apr
-
-
614
-
-
-
-
633
-
-
-
2003-May
-
-
632
-
-
-
-
659
-
-
-
2003-Jun
586
-
633
586
-
-
-
656
586
-
-
2003-Jul
-
-
-
590
-
-
-
-
570
-
-
2003-Aug
-
-
-
589
-
-
-
-
570
-
-
2003-Sep
-
-
-
581
-
-
-
-
574
-
-
2003-Oct
-
-
-
587
-
-
-
-
573
-
-
2003-Nov
-
-
-
593
-
-
-
-
577
-
-
2003-Dec
-
-
-
604
-
-
-
-
591
-
-
2004-Jan
-
-
-
626
-
-
-
-
616
-
-
2004-Feb
-
-
-
644
-
-
-
-
638
-
-
2004-Mar
-
-
-
639
-
-
-
-
635
-
-
2004-Apr
-
-
-
661
-
-
-
-
640
-
-
2004-May
-
-
-
674
-
-
-
-
649
-
-
2004-Jun
619
-
-
684
619
-
-
-
659
619
-
2004-Jul
-
-
-
-
635
-
-
-
-
638
-
2004-Aug
-
-
-
-
649
-
-
-
-
660
-
2004-Sep
-
-
-
-
653
-
-
-
-
663
-
2004-Oct
-
-
-
-
671
-
-
-
-
684
-
2004-Nov
-
-
-
-
695
-
-
-
-
701
-
2004-Dec
-
-
-
-
717
-
-
-
-
725
-
2005-Jan
-
-
-
-
738
-
-
-
-
746
-
2005-Feb
-
-
-
-
749
-
-
-
-
751
-
2005-Mar
-
-
-
-
752
-
-
-
-
749
-
2005-Apr
-
-
-
-
754
-
-
-
-
757
-
2005-May
-
-
-
-
770
-
-
-
-
778
-
2005-Jun
791
-
-
-
784
791
-
-
-
792
791
2005-Jul
-
-
-
-
-
819
-
-
-
-
811
2005-Aug
-
-
-
-
-
829
-
-
-
-
826
2005-Sep
-
-
-
-
-
841
-
-
-
-
829
2005-Oct
-
-
-
-
-
868
-
-
-
-
849
2005-Nov
-
-
-
-
-
873
-
-
-
-
854
2005-Dec
-
-
-
-
-
879
-
-
-
-
863
2006-Jan
-
-
-
-
-
904
-
-
-
-
886
2006-Feb
-
-
-
-
-
930
-
-
-
-
911
2006-Mar
-
-
-
-
-
941
-
-
-
-
913
2006-Apr
-
-
-
-
-
954
-
-
-
-
922
2006-May
-
-
-
-
-
985
-
-
-
-
949
2006-Jun
984
-
-
-
-
1002
-
-
-
-
964

Data for Figure 2 - Corporate Bonds

Date
Survey value
Survey date 2000-Mar: adj. net flows
Survey date 2002-Jun: adj. net flows
Survey date 2003-Jun: adj. net flows
Survey date 2000-Mar: adj. net flows
Survey date 2000-Mar: adj. net flows
Survey date 2000-Mar: with valuation adj.
Survey date 2002-Jun: with valuation adj.
Survey date 2003-Jun: with valuation adj.
Survey date 2004-Jun: with valuation adj.
Survey date 2005-Jun: with valuation adj.
2000-Mar
703
703
-
-
-
-
703
-
-
-
-
2000-Apr
-
712
-
-
-
-
703
-
-
-
-
2000-May
-
720
-
-
-
-
704
-
-
-
-
2000-Jun
-
746
-
-
-
-
740
-
-
-
-
2000-Jul
-
756
-
-
-
-
754
-
-
-
-
2000-Aug
-
778
-
-
-
-
779
-
-
-
-
2000-Sep
-
792
-
-
-
-
794
-
-
-
-
2000-Oct
-
805
-
-
-
-
803
-
-
-
-
2000-Nov
-
824
-
-
-
-
828
-
-
-
-
2000-Dec
-
843
-
-
-
-
857
-
-
-
-
2001-Jan
-
857
-
-
-
-
887
-
-
-
-
2001-Feb
-
886
-
-
-
-
918
-
-
-
-
2001-Mar
-
913
-
-
-
-
946
-
-
-
-
2001-Apr
-
935
-
-
-
-
959
-
-
-
-
2001-May
-
968
-
-
-
-
995
-
-
-
-
2001-Jun
-
983
-
-
-
-
1009
-
-
-
-
2001-Jul
-
998
-
-
-
-
1044
-
-
-
-
2001-Aug
-
1011
-
-
-
-
1064
-
-
-
-
2001-Sep
-
1021
-
-
-
-
1064
-
-
-
-
2001-Oct
-
1035
-
-
-
-
1097
-
-
-
-
2001-Nov
-
1051
-
-
-
-
1102
-
-
-
-
2001-Dec
-
1065
-
-
-
-
1101
-
-
-
-
2002-Jan
-
1080
-
-
-
-
1119
-
-
-
-
2002-Feb
-
1088
-
-
-
-
1127
-
-
-
-
2002-Mar
-
1115
-
-
-
-
1130
-
-
-
-
2002-Apr
-
1132
-
-
-
-
1155
-
-
-
-
2002-May
-
1159
-
-
-
-
1188
-
-
-
-
2002-Jun
1130
1180
1130
-
-
-
1207
1130
-
-
-
2002-Jul
-
-
1132
-
-
-
-
1129
-
-
-
2002-Aug
-
-
1145
-
-
-
-
1162
-
-
-
2002-Sep
-
-
1146
-
-
-
-
1179
-
-
-
2002-Oct
-
-
1154
-
-
-
-
1169
-
-
-
2002-Nov
-
-
1173
-
-
-
-
1193
-
-
-
2002-Dec
-
-
1183
-
-
-
-
1230
-
-
-
2003-Jan
-
-
1203
-
-
-
-
1250
-
-
-
2003-Feb
-
-
1213
-
-
-
-
1276
-
-
-
2003-Mar
-
-
1237
-
-
-
-
1294
-
-
-
2003-Apr
-
-
1255
-
-
-
-
1327
-
-
-
2003-May
-
-
1280
-
-
-
-
1384
-
-
-
2003-Jun
1236
-
1296
1236
-
-
-
1392
1236
-
-
2003-Jul
-
-
-
1259
-
-
-
-
1208
-
-
2003-Aug
-
-
-
1272
-
-
-
-
1223
-
-
2003-Sep
-
-
-
1288
-
-
-
-
1271
-
-
2003-Oct
-
-
-
1303
-
-
-
-
1266
-
-
2003-Nov
-
-
-
1326
-
-
-
-
1289
-
-
2003-Dec
-
-
-
1342
-
-
-
-
1313
-
-
2004-Jan
-
-
-
1350
-
-
-
-
1326
-
-
2004-Feb
-
-
-
1367
-
-
-
-
1353
-
-
2004-Mar
-
-
-
1391
-
-
-
-
1383
-
-
2004-Apr
-
-
-
1405
-
-
-
-
1355
-
-
2004-May
-
-
-
1422
-
-
-
-
1357
-
-
2004-Jun
1455
-
-
1447
1455
-
-
-
1381
1455
-
2004-Jul
-
-
-
-
1480
-
-
-
-
1489
-
2004-Aug
-
-
-
-
1502
-
-
-
-
1538
-
2004-Sep
-
-
-
-
1545
-
-
-
-
1582
-
2004-Oct
-
-
-
-
1562
-
-
-
-
1606
-
2004-Nov
-
-
-
-
1585
-
-
-
-
1612
-
2004-Dec
-
-
-
-
1623
-
-
-
-
1660
-
2005-Jan
-
-
-
-
1637
-
-
-
-
1679
-
2005-Feb
-
-
-
-
1663
-
-
-
-
1689
-
2005-Mar
-
-
-
-
1679
-
-
-
-
1683
-
2005-Apr
-
-
-
-
1691
-
-
-
-
1709
-
2005-May
-
-
-
-
1704
-
-
-
-
1735
-
2005-Jun
1729
-
-
-
1748
1729
-
-
-
1786
1729
2005-Jul
-
-
-
-
-
1744
-
-
-
-
1720
2005-Aug
-
-
-
-
-
1772
-
-
-
-
1765
2005-Sep
-
-
-
-
-
1808
-
-
-
-
1771
2005-Oct
-
-
-
-
-
1836
-
-
-
-
1774
2005-Nov
-
-
-
-
-
1867
-
-
-
-
1805
2005-Dec
-
-
-
-
-
1896
-
-
-
-
1842
2006-Jan
-
-
-
-
-
1919
-
-
-
-
1854
2006-Feb
-
-
-
-
-
1951
-
-
-
-
1883
2006-Mar
-
-
-
-
-
1993
-
-
-
-
1896
2006-Apr
-
-
-
-
-
2026
-
-
-
-
1915
2006-May
-
-
-
-
-
2062
-
-
-
-
1940
2006-Jun
2021
-
-
-
-
2094
-
-
-
-
1964

Data for Figure 2 - Equities

Date
Survey value
Survey date 2000-Mar: adj. net flows
Survey date 2002-Jun: adj. net flows
Survey date 2003-Jun: adj. net flows
Survey date 2000-Mar: adj. net flows
Survey date 2000-Mar: adj. net flows
Survey date 2000-Mar: with valuation adj.
Survey date 2002-Jun: with valuation adj.
Survey date 2003-Jun: with valuation adj.
Survey date 2004-Jun: with valuation adj.
Survey date 2005-Jun: with valuation adj.
2000-Mar
1709
1709
-
-
-
-
1709
-
-
-
-
2000-Apr
-
1712
-
-
-
-
1656
-
-
-
-
2000-May
-
1726
-
-
-
-
1624
-
-
-
-
2000-Jun
-
1744
-
-
-
-
1679
-
-
-
-
2000-Jul
-
1762
-
-
-
-
1665
-
-
-
-
2000-Aug
-
1789
-
-
-
-
1778
-
-
-
-
2000-Sep
-
1798
-
-
-
-
1688
-
-
-
-
2000-Oct
-
1814
-
-
-
-
1691
-
-
-
-
2000-Nov
-
1826
-
-
-
-
1567
-
-
-
-
2000-Dec
-
1838
-
-
-
-
1576
-
-
-
-
2001-Jan
-
1862
-
-
-
-
1656
-
-
-
-
2001-Feb
-
1871
-
-
-
-
1515
-
-
-
-
2001-Mar
-
1879
-
-
-
-
1425
-
-
-
-
2001-Apr
-
1886
-
-
-
-
1542
-
-
-
-
2001-May
-
1904
-
-
-
-
1566
-
-
-
-
2001-Jun
-
1914
-
-
-
-
1540
-
-
-
-
2001-Jul
-
1926
-
-
-
-
1535
-
-
-
-
2001-Aug
-
1940
-
-
-
-
1565
-
-
-
-
2001-Sep
-
1928
-
-
-
-
1554
-
-
-
-
2001-Oct
-
1936
-
-
-
-
1348
-
-
-
-
2001-Nov
-
1949
-
-
-
-
1463
-
-
-
-
2001-Dec
-
1962
-
-
-
-
1483
-
-
-
-
2002-Jan
-
1971
-
-
-
-
1469
-
-
-
-
2002-Feb
-
1977
-
-
-
-
1476
-
-
-
-
2002-Mar
-
1986
-
-
-
-
1507
-
-
-
-
2002-Apr
-
1994
-
-
-
-
1415
-
-
-
-
2002-May
-
1994
-
-
-
-
1402
-
-
-
-
2002-Jun
1395
1998
1395
-
-
-
1298
1395
-
-
-
2002-Jul
-
-
1405
-
-
-
-
1303
-
-
-
2002-Aug
-
-
1410
-
-
-
-
1312
-
-
-
2002-Sep
-
-
1403
-
-
-
-
1156
-
-
-
2002-Oct
-
-
1407
-
-
-
-
1263
-
-
-
2002-Nov
-
-
1413
-
-
-
-
1343
-
-
-
2002-Dec
-
-
1416
-
-
-
-
1263
-
-
-
2003-Jan
-
-
1414
-
-
-
-
1228
-
-
-
2003-Feb
-
-
1412
-
-
-
-
1204
-
-
-
2003-Mar
-
-
1414
-
-
-
-
1217
-
-
-
2003-Apr
-
-
1419
-
-
-
-
1321
-
-
-
2003-May
-
-
1425
-
-
-
-
1396
-
-
-
2003-Jun
1564
-
1435
1564
-
-
-
1421
1564
-
-
2003-Jul
-
-
-
1555
-
-
-
-
1582
-
-
2003-Aug
-
-
-
1567
-
-
-
-
1621
-
-
2003-Sep
-
-
-
1560
-
-
-
-
1593
-
-
2003-Oct
-
-
-
1560
-
-
-
-
1682
-
-
2003-Nov
-
-
-
1569
-
-
-
-
1704
-
-
2003-Dec
-
-
-
1583
-
-
-
-
1804
-
-
2004-Jan
-
-
-
1594
-
-
-
-
1845
-
-
2004-Feb
-
-
-
1599
-
-
-
-
1870
-
-
2004-Mar
-
-
-
1589
-
-
-
-
1828
-
-
2004-Apr
-
-
-
1600
-
-
-
-
1809
-
-
2004-May
-
-
-
1595
-
-
-
-
1824
-
-
2004-Jun
1930
-
-
1599
1930
-
-
-
1860
1930
-
2004-Jul
-
-
-
-
1938
-
-
-
-
1870
-
2004-Aug
-
-
-
-
1936
-
-
-
-
1874
-
2004-Sep
-
-
-
-
1932
-
-
-
-
1888
-
2004-Oct
-
-
-
-
1935
-
-
-
-
1918
-
2004-Nov
-
-
-
-
1972
-
-
-
-
2029
-
2004-Dec
-
-
-
-
1979
-
-
-
-
2105
-
2005-Jan
-
-
-
-
1992
-
-
-
-
2063
-
2005-Feb
-
-
-
-
1997
-
-
-
-
2107
-
2005-Mar
-
-
-
-
2000
-
-
-
-
2073
-
2005-Apr
-
-
-
-
2004
-
-
-
-
2037
-
2005-May
-
-
-
-
2004
-
-
-
-
2101
-
2005-Jun
2144
-
-
-
2008
2144
-
-
-
2106
2144
2005-Jul
-
-
-
-
-
2152
-
-
-
-
2230
2005-Aug
-
-
-
-
-
2154
-
-
-
-
2206
2005-Sep
-
-
-
-
-
2177
-
-
-
-
2246
2005-Oct
-
-
-
-
-
2186
-
-
-
-
2216
2005-Nov
-
-
-
-
-
2193
-
-
-
-
2307
2005-Dec
-
-
-
-
-
2203
-
-
-
-
2315
2006-Jan
-
-
-
-
-
2229
-
-
-
-
2401
2006-Feb
-
-
-
-
-
2246
-
-
-
-
2416
2006-Mar
-
-
-
-
-
2269
-
-
-
-
2467
2006-Apr
-
-
-
-
-
2282
-
-
-
-
2509
2006-May
-
-
-
-
-
2297
-
-
-
-
2444
2006-Jun
2430
-
-
-
-
2295
-
-
-
-
2442

Again, as we would expect, allowing for valuation changes brings the estimates closer to the reported surveys, but does not eliminate the gaps entirely. Unsurprisingly, the effect of including valuation changes is much larger for equities than it is for any of the bonds.

Thus far, we have considered the challenges in constructing estimates of holdings of U.S. securities by all foreigners. An additional complication arises in constructing estimated positions for individual country holdings based on the reported monthly transactions by country because of the geographic distortion caused by financial center transaction bias (see Griever, Lee, and Warnock (2001) and Warnock and Cleaver (2002)). By design, the monthly transactions data are recorded according to country of the first cross-border counter-party, and not the country of the ultimate buyer or actual seller or issuer of the security. As a result, the monthly transactions data report purchases and sales that are concentrated in major international financial centers. For example, in 2005, nearly two-thirds of reported purchases and sales of U.S. long-term securities were recorded against the United Kingdom and Caribbean financial centers. Thus, constructing estimated positions based on the country-level monthly transactions data will tend to generate estimates of holdings by residents of such financial center locations that considerably overstate actual holdings as reported in the next survey, and will tend to underestimate holdings by residents of other countries.

Figures 3 and 3a illustrate this problem for holdings of U.S. Treasury and corporate bonds by residents of the United Kingdom4 and the euro area. For the U.K., estimated positions, even after adjusting for omitted securities and valuation changes, are consistently much higher than the survey results, presumably representing transactions in U.S. securities made in the U.K. on behalf of third parties.

Figure 3.  U.K. holdings of U.S. long-term securities
Estimated monthly positions using adjusted net flows with valuation changes in billions of dollars

Data for Figure 3 immediately follows.

Values constructed from periodic surveys of holdings, adjusted monthly net transactions and valuation adjustments. Includes Channel Islands and the Isle of Man.

Data for Figure 3 - Treasury bonds

Date
Survey value
Survey date 2000-Mar
Survey date 2002-Jun
Survey date 2003-Jun
Survey date 2004-Jun
Survey date 2005-Jun
2000-Mar
76
76
-
-
-
-
2000-Apr
-
74
-
-
-
-
2000-May
-
74
-
-
-
-
2000-Jun
-
66
-
-
-
-
2000-Jul
-
62
-
-
-
-
2000-Aug
-
66
-
-
-
-
2000-Sep
-
63
-
-
-
-
2000-Oct
-
60
-
-
-
-
2000-Nov
-
55
-
-
-
-
2000-Dec
-
51
-
-
-
-
2001-Jan
-
49
-
-
-
-
2001-Feb
-
50
-
-
-
-
2001-Mar
-
60
-
-
-
-
2001-Apr
-
54
-
-
-
-
2001-May
-
55
-
-
-
-
2001-Jun
-
52
-
-
-
-
2001-Jul
-
45
-
-
-
-
2001-Aug
-
41
-
-
-
-
2001-Sep
-
43
-
-
-
-
2001-Oct
-
52
-
-
-
-
2001-Nov
-
43
-
-
-
-
2001-Dec
-
44
-
-
-
-
2002-Jan
-
46
-
-
-
-
2002-Feb
-
54
-
-
-
-
2002-Mar
-
63
-
-
-
-
2002-Apr
-
64
-
-
-
-
2002-May
-
75
-
-
-
-
2002-Jun
48
82
48
-
-
-
2002-Jul
-
-
61
-
-
-
2002-Aug
-
-
66
-
-
-
2002-Sep
-
-
74
-
-
-
2002-Oct
-
-
78
-
-
-
2002-Nov
-
-
77
-
-
-
2002-Dec
-
-
76
-
-
-
2003-Jan
-
-
77
-
-
-
2003-Feb
-
-
73
-
-
-
2003-Mar
-
-
77
-
-
-
2003-Apr
-
-
74
-
-
-
2003-May
-
-
77
-
-
-
2003-Jun
49
-
86
49
-
-
2003-Jul
-
-
-
69
-
-
2003-Aug
-
-
-
75
-
-
2003-Sep
-
-
-
65
-
-
2003-Oct
-
-
-
69
-
-
2003-Nov
-
-
-
69
-
-
2003-Dec
-
-
-
73
-
-
2004-Jan
-
-
-
83
-
-
2004-Feb
-
-
-
86
-
-
2004-Mar
-
-
-
93
-
-
2004-Apr
-
-
-
105
-
-
2004-May
-
-
-
103
-
-
2004-Jun
47
-
-
109
47
-
2004-Jul
-
-
-
-
52
-
2004-Aug
-
-
-
-
56
-
2004-Sep
-
-
-
-
57
-
2004-Oct
-
-
-
-
61
-
2004-Nov
-
-
-
-
77
-
2004-Dec
-
-
-
-
89
-
2005-Jan
-
-
-
-
88
-
2005-Feb
-
-
-
-
97
-
2005-Mar
-
-
-
-
109
-
2005-Apr
-
-
-
-
113
-
2005-May
-
-
-
-
122
-
2005-Jun
53
-
-
-
137
53
2005-Jul
-
-
-
-
-
67
2005-Aug
-
-
-
-
-
81
2005-Sep
-
-
-
-
-
89
2005-Oct
-
-
-
-
-
93
2005-Nov
-
-
-
-
-
128
2005-Dec
-
-
-
-
-
139
2006-Jan
-
-
-
-
-
149
2006-Feb
-
-
-
-
-
154
2006-Mar
-
-
-
-
-
168
2006-Apr
-
-
-
-
-
154
2006-May
-
-
-
-
-
162
2006-Jun
50
-
-
-
-
188

Data for Figure 3 - Corporate Bonds

Date
Survey value
Survey date 2000-Mar
Survey date 2002-Jun
Survey date 2003-Jun
Survey date 2004-Jun
Survey date 2005-Jun
2000-Mar
114
114
-
-
-
-
2000-Apr
-
117
-
-
-
-
2000-May
-
119
-
-
-
-
2000-Jun
-
137
-
-
-
-
2000-Jul
-
144
-
-
-
-
2000-Aug
-
158
-
-
-
-
2000-Sep
-
167
-
-
-
-
2000-Oct
-
174
-
-
-
-
2000-Nov
-
185
-
-
-
-
2000-Dec
-
198
-
-
-
-
2001-Jan
-
210
-
-
-
-
2001-Feb
-
226
-
-
-
-
2001-Mar
-
242
-
-
-
-
2001-Apr
-
250
-
-
-
-
2001-May
-
269
-
-
-
-
2001-Jun
-
274
-
-
-
-
2001-Jul
-
286
-
-
-
-
2001-Aug
-
294
-
-
-
-
2001-Sep
-
297
-
-
-
-
2001-Oct
-
304
-
-
-
-
2001-Nov
-
310
-
-
-
-
2001-Dec
-
313
-
-
-
-
2002-Jan
-
324
-
-
-
-
2002-Feb
-
326
-
-
-
-
2002-Mar
-
333
-
-
-
-
2002-Apr
-
342
-
-
-
-
2002-May
-
360
-
-
-
-
2002-Jun
108
370
108
-
-
-
2002-Jul
-
-
108
-
-
-
2002-Aug
-
-
112
-
-
-
2002-Sep
-
-
117
-
-
-
2002-Oct
-
-
119
-
-
-
2002-Nov
-
-
130
-
-
-
2002-Dec
-
-
139
-
-
-
2003-Jan
-
-
149
-
-
-
2003-Feb
-
-
156
-
-
-
2003-Mar
-
-
171
-
-
-
2003-Apr
-
-
186
-
-
-
2003-May
-
-
205
-
-
-
2003-Jun
122
-
209
122
-
-
2003-Jul
-
-
-
126
-
-
2003-Aug
-
-
-
130
-
-
2003-Sep
-
-
-
145
-
-
2003-Oct
-
-
-
149
-
-
2003-Nov
-
-
-
162
-
-
2003-Dec
-
-
-
173
-
-
2004-Jan
-
-
-
173
-
-
2004-Feb
-
-
-
178
-
-
2004-Mar
-
-
-
187
-
-
2004-Apr
-
-
-
189
-
-
2004-May
-
-
-
192
-
-
2004-Jun
183
-
-
197
183
-
2004-Jul
-
-
-
-
194
-
2004-Aug
-
-
-
-
207
-
2004-Sep
-
-
-
-
227
-
2004-Oct
-
-
-
-
237
-
2004-Nov
-
-
-
-
245
-
2004-Dec
-
-
-
-
265
-
2005-Jan
-
-
-
-
270
-
2005-Feb
-
-
-
-
281
-
2005-Mar
-
-
-
-
290
-
2005-Apr
-
-
-
-
300
-
2005-May
-
-
-
-
308
-
2005-Jun
241
-
-
-
336
241
2005-Jul
-
-
-
-
-
245
2005-Aug
-
-
-
-
-
268
2005-Sep
-
-
-
-
-
284
2005-Oct
-
-
-
-
-
294
2005-Nov
-
-
-
-
-
315
2005-Dec
-
-
-
-
-
332
2006-Jan
-
-
-
-
-
343
2006-Feb
-
-
-
-
-
358
2006-Mar
-
-
-
-
-
379
2006-Apr
-
-
-
-
-
394
2006-May
-
-
-
-
-
416
2006-Jun
281
-
-
-
-
433

Many of the third parties to U.S.- U.K. transactions reside in the euro area, and we see in Figure 3a that the actual euro area positions, as measured by the surveys, are almost always higher than the estimates based on transactions data.

Figure 3a.  Euro-area holdings of U.S. long-term securities
Estimated monthly positions using adjusted net flows with valuation changes in billions of dollars

Data for Figure 3a immediately follows.

Values constructed from periodic surveys of holdings, adjusted monthly net transactions and valuation adjustments. Includes Channel Islands and the Isle of Man.

Data for Figure 3a - Treasury bonds

Date
Survey value
Survey date 2000-Mar
Survey date 2002-Jun
Survey date 2003-Jun
Survey date 2004-Jun
Survey date 2005-Jun
2000-Mar
149
149
-
-
-
-
2000-Apr
-
149
-
-
-
-
2000-May
-
146
-
-
-
-
2000-Jun
-
148
-
-
-
-
2000-Jul
-
148
-
-
-
-
2000-Aug
-
150
-
-
-
-
2000-Sep
-
150
-
-
-
-
2000-Oct
-
152
-
-
-
-
2000-Nov
-
151
-
-
-
-
2000-Dec
-
149
-
-
-
-
2001-Jan
-
144
-
-
-
-
2001-Feb
-
146
-
-
-
-
2001-Mar
-
142
-
-
-
-
2001-Apr
-
139
-
-
-
-
2001-May
-
139
-
-
-
-
2001-Jun
-
140
-
-
-
-
2001-Jul
-
142
-
-
-
-
2001-Aug
-
147
-
-
-
-
2001-Sep
-
142
-
-
-
-
2001-Oct
-
142
-
-
-
-
2001-Nov
-
136
-
-
-
-
2001-Dec
-
132
-
-
-
-
2002-Jan
-
125
-
-
-
-
2002-Feb
-
127
-
-
-
-
2002-Mar
-
125
-
-
-
-
2002-Apr
-
125
-
-
-
-
2002-May
-
118
-
-
-
-
2002-Jun
135
115
135
-
-
-
2002-Jul
-
-
133
-
-
-
2002-Aug
-
-
133
-
-
-
2002-Sep
-
-
137
-
-
-
2002-Oct
-
-
129
-
-
-
2002-Nov
-
-
133
-
-
-
2002-Dec
-
-
141
-
-
-
2003-Jan
-
-
138
-
-
-
2003-Feb
-
-
137
-
-
-
2003-Mar
-
-
132
-
-
-
2003-Apr
-
-
140
-
-
-
2003-May
-
-
146
-
-
-
2003-Jun
150
-
151
150
-
-
2003-Jul
-
-
-
148
-
-
2003-Aug
-
-
-
153
-
-
2003-Sep
-
-
-
155
-
-
2003-Oct
-
-
-
148
-
-
2003-Nov
-
-
-
149
-
-
2003-Dec
-
-
-
140
-
-
2004-Jan
-
-
-
143
-
-
2004-Feb
-
-
-
137
-
-
2004-Mar
-
-
-
137
-
-
2004-Apr
-
-
-
140
-
-
2004-May
-
-
-
138
-
-
2004-Jun
154
-
-
136
154
-
2004-Jul
-
-
-
-
159
-
2004-Aug
-
-
-
-
150
-
2004-Sep
-
-
-
-
151
-
2004-Oct
-
-
-
-
152
-
2004-Nov
-
-
-
-
152
-
2004-Dec
-
-
-
-
153
-
2005-Jan
-
-
-
-
159
-
2005-Feb
-
-
-
-
161
-
2005-Mar
-
-
-
-
161
-
2005-Apr
-
-
-
-
166
-
2005-May
-
-
-
-
175
-
2005-Jun
156
-
-
-
168
156
2005-Jul
-
-
-
-
-
158
2005-Aug
-
-
-
-
-
161
2005-Sep
-
-
-
-
-
161
2005-Oct
-
-
-
-
-
164
2005-Nov
-
-
-
-
-
164
2005-Dec
-
-
-
-
-
168
2006-Jan
-
-
-
-
-
166
2006-Feb
-
-
-
-
-
163
2006-Mar
-
-
-
-
-
158
2006-Apr
-
-
-
-
-
156
2006-May
-
-
-
-
-
157
2006-Jun
170
-
-
-
-
159

Data for Figure 3a - Corporate bonds

Date
Survey value
Survey date 2000-Mar
Survey date 2002-Jun
Survey date 2003-Jun
Survey date 2004-Jun
Survey date 2005-Jun
2000-Mar
115
115
-
-
-
-
2000-Apr
-
115
-
-
-
-
2000-May
-
116
-
-
-
-
2000-Jun
-
120
-
-
-
-
2000-Jul
-
121
-
-
-
-
2000-Aug
-
123
-
-
-
-
2000-Sep
-
123
-
-
-
-
2000-Oct
-
123
-
-
-
-
2000-Nov
-
126
-
-
-
-
2000-Dec
-
131
-
-
-
-
2001-Jan
-
136
-
-
-
-
2001-Feb
-
138
-
-
-
-
2001-Mar
-
140
-
-
-
-
2001-Apr
-
142
-
-
-
-
2001-May
-
145
-
-
-
-
2001-Jun
-
147
-
-
-
-
2001-Jul
-
151
-
-
-
-
2001-Aug
-
153
-
-
-
-
2001-Sep
-
151
-
-
-
-
2001-Oct
-
156
-
-
-
-
2001-Nov
-
155
-
-
-
-
2001-Dec
-
154
-
-
-
-
2002-Jan
-
156
-
-
-
-
2002-Feb
-
157
-
-
-
-
2002-Mar
-
157
-
-
-
-
2002-Apr
-
158
-
-
-
-
2002-May
-
161
-
-
-
-
2002-Jun
245
164
245
-
-
-
2002-Jul
-
-
245
-
-
-
2002-Aug
-
-
249
-
-
-
2002-Sep
-
-
252
-
-
-
2002-Oct
-
-
248
-
-
-
2002-Nov
-
-
250
-
-
-
2002-Dec
-
-
256
-
-
-
2003-Jan
-
-
257
-
-
-
2003-Feb
-
-
262
-
-
-
2003-Mar
-
-
262
-
-
-
2003-Apr
-
-
265
-
-
-
2003-May
-
-
273
-
-
-
2003-Jun
363
-
273
363
-
-
2003-Jul
-
-
-
350
-
-
2003-Aug
-
-
-
351
-
-
2003-Sep
-
-
-
361
-
-
2003-Oct
-
-
-
357
-
-
2003-Nov
-
-
-
357
-
-
2003-Dec
-
-
-
362
-
-
2004-Jan
-
-
-
366
-
-
2004-Feb
-
-
-
371
-
-
2004-Mar
-
-
-
377
-
-
2004-Apr
-
-
-
365
-
-
2004-May
-
-
-
363
-
-
2004-Jun
545
-
-
366
545
-
2004-Jul
-
-
-
-
552
-
2004-Aug
-
-
-
-
565
-
2004-Sep
-
-
-
-
572
-
2004-Oct
-
-
-
-
576
-
2004-Nov
-
-
-
-
571
-
2004-Dec
-
-
-
-
578
-
2005-Jan
-
-
-
-
582
-
2005-Feb
-
-
-
-
579
-
2005-Mar
-
-
-
-
572
-
2005-Apr
-
-
-
-
578
-
2005-May
-
-
-
-
584
-
2005-Jun
651
-
-
-
588
651
2005-Jul
-
-
-
-
-
644
2005-Aug
-
-
-
-
-
650
2005-Sep
-
-
-
-
-
643
2005-Oct
-
-
-
-
-
638
2005-Nov
-
-
-
-
-
641
2005-Dec
-
-
-
-
-
647
2006-Jan
-
-
-
-
-
644
2006-Feb
-
-
-
-
-
644
2006-Mar
-
-
-
-
-
635
2006-Apr
-
-
-
-
-
632
2006-May
-
-
-
-
-
630
2006-Jun
745
-
-
-
-
629

Unfortunately, we do not have a data source that would permit us to adjust the transactions data for this financial-center effect.

Thus, adjusting for omitted transactions and valuation changes does not completely eliminate the discrepancy between positions as reported in the periodic surveys and as constructed using monthly transactions data, at either the country or the aggregate level. We assume that the surveys accurately measure securities positions as of the survey date; this implies that the sum of the observed, adjusted net transactions, corrected for valuation changes, is in error by the amount of the gap between the survey and the sum of net transactions.5 This gap is assumed to represent the financial center effect discussed above, as well as unknown errors and omissions in the monthly transactions data of current S-form reporters, and transactions conducted by entities that have not yet been identified as prospective reporters. In addition, the gap may be due to various measurement and approximation errors in the construction of the prices used to calculate the valuation adjustments, and to transactions costs, which are included in reported transactions but not in survey positions.

3  Estimating monthly positions between surveys

As noted in the introduction, there are a number of reasons why it would be useful to construct a series of estimated monthly positions for the periods between the benchmark surveys, and more particularly, for the period from the latest survey to the most current monthly transactions data. As we have seen, even after making a number of needed adjustments, the monthly data remain noticeably inconsistent with the survey data. For estimates between surveys, simply extending a given survey value using adjusted transactions and valuation changes is unsatisfactory because the resulting positions are inconsistent with the known values of the next survey. And given this observed discrepancy between survey values, it should be possible to do better in estimating current holdings than simply extending forward from the last survey value using net transactions and valuation changes.

Our basic problem, then, is to distribute the known error observed when a new survey is conducted across the months between survey dates so as to generate a more accurate set of monthly position estimates. When applied country by country, this approach will generate estimates that correct for financial center bias and more accurately reflect holdings of residents of the country in question. Of course, we do not know when during the inter-survey period the measurement errors occurred; we only know the size of the cumulative error as observed on the new survey date.

Beginning with an initial survey position, an estimate of the position at a future date $ t$ can be constructed as

(1) $ \hat{S}_{t} =S_{0} (1+\hat{\pi}_{0,t} )+\sum\limits_{i=1}^{t} {\hat {N}_{i} } (1+\hat{\pi}_{i,t} )$

where $ S_{0}$ is the latest survey value for a given country, security, and holder; $ \hat{S}_{t} $ is the estimated position at time $ t $>0, $ \{\hat {N}_{i} \}$ is the sequence of net flows from time 1 to t and $ \hat{\pi }_{i,t} $ is the rate of increase in the price of security S over the period i to t, with $ \pi_{i,i} =0$.6

We assume that $ S_{0} $ is actually known; $ \hat{N}_{i} $ and $ \hat{\pi}_{i,t} $are observed with error and $ \hat{S}_{t} $ is an estimate. When $ t = T$, the date of the next survey, $ S_{T} $ is known, and we can define the "gap" between the actual and the estimated survey positions:

(2) $ G_{T} =S_{T} -\hat{S}_{T} $

We model the measurement errors in security prices $ (\varepsilon_{t} )$ as

(3) $ (1+\pi_{t} )=(1+\hat{\pi}_{t} )(1+\varepsilon_{t} )$

where $ \varepsilon_{t} $ is the multiplicative error in observing the true monthly valuation change, $ \pi_{t} $.

We model transactions costs and other errors in net transactions as

(4) $ N_{t} =(1+\beta_{t} )\hat{N}_{t} $

where $ \beta_{t} $ includes both effects in multiplicative form. (We assume that transactions costs and other measurement errors are equal percentages of both purchases and sales, so that $ \beta_{t} $ may be applied directly to net transactions.) For the results to be plausible we require $ \hat{S}_{t} \ge 0$for all $ t$, something that is by no means true in the data.7 We impose nonnegativity by adjusting $ \hat{N}_{t} $ by a quantity just large enough to bring $ \hat{S}_{t} $ to zero in any month in which it would otherwise be negative.

A little algebra (see Appendix C) shows that we can write the estimated position $ \tilde{S}_{t} $ as the constructed position ($ \hat{S}_{t}$) plus the share of the final gap allocated to month $ t$, discounted for actual valuation changes from time $ t$ to $ T$:

(5) $ \tilde{S}_{t} =\tilde{S}_{t-1} (1+\hat{\pi}_{t} )+\hat{N}_{t} +\frac{\lambda_{t} G_{T} }{\pi_{t,T} }$

where

(6) $ \lambda_{t} =\lambda\left( {\hat{S}_{i} ,\hat{\pi}_{i} ,\hat{N}_{i} ,\varepsilon_{i} ,\beta_{i} } \right) ,\mbox{ }i=0,T,\mbox{ }\sum{\lambda_{t} } =1.0$

and it can be shown that $ \tilde{S}_{t} $ and that the law of motion (equation (1)) holds for $ \tilde{S}_{t} $, so that the sequence ,t = 1,T, is "survey consistent" in the sense of TWW.

The difficulty, of course, is that equation (6) includes the unobserved measurement errors $ \varepsilon_{t} $and $ \beta_{t} $, about which we have essentially no prior information.8 We simply don't know whether these errors are serially correlated or not, whether they have zero mean or not, or what their comparative magnitudes might be. In this situation any solution is likely to be almost entirely ad hoc. The approach we follow here is to assume that the measurement errors are uniformly distributed throughout the period between surveys, i.e. that $ \varepsilon_{t} =\varepsilon$and $ \beta_{t} =\beta$. We then assume what we hope are plausible values for $ \varepsilon$and $ \beta$, and perform some limited sensitivity testing.9

Equation (5) describes a path for the position in security $ S$that obeys the law of motion for the position and is equal to the reported survey positions at time 0 and time $ T$.

In brief, we extrapolate the time 0 survey position forward using observed flow data and compute the residual vis-à-vis the reported survey at time $ T$. This residual is then distributed across time periods according to each period's share in total net transactions, and each residual share is then discounted by the appropriate inflation rate. The estimates will then match reported surveys by construction, and will be consistent with both endpoints, with the reported monthly transactions, and with measured changes in asset prices.10

Figure 4 presents our monthly estimated positions for agency bonds held by all foreigners (cf. Figure 1).11 As discussed above, the path of the estimated positions coincides with the survey values for years in which surveys were taken. In recent years, as the time between surveys has been reduced, the difference between positions estimated with unadjusted net flows and those estimated with the correction has also tended to fall. Figure 4a shows the same series from 2003, in more detail.

Figure 4.  Total foreign holdings of U.S. agency bonds
Estimated monthly positions using adjusted net flows in billions of dollars

Data for Figure 4 immediately follows.

Values constructed from periodic surveys of holdings and adjusted monthly net transactions.

Data for Figure 4

Date
Survey value
Survey date 1994-Dec: survey consistent estimated positions
Survey date 1994-Dec: adj. net flows
Survey date 2000-Mar: adj. net flows
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
111
-
-
-
-
-
1995-Feb
-
111
114
-
-
-
-
-
1995-Mar
-
112
117
-
-
-
-
-
1995-Apr
-
113
120
-
-
-
-
-
1995-May
-
117
126
-
-
-
-
-
1995-Jun
-
118
128
-
-
-
-
-
1995-Jul
-
118
130
-
-
-
-
-
1995-Aug
-
121
135
-
-
-
-
-
1995-Sep
-
125
141
-
-
-
-
-
1995-Oct
-
125
143
-
-
-
-
-
1995-Nov
-
128
149
-
-
-
-
-
1995-Dec
-
126
148
-
-
-
-
-
1996-Jan
-
126
151
-
-
-
-
-
1996-Feb
-
125
151
-
-
-
-
-
1996-Mar
-
122
149
-
-
-
-
-
1996-Apr
-
120
149
-
-
-
-
-
1996-May
-
120
151
-
-
-
-
-
1996-Jun
-
123
157
-
-
-
-
-
1996-Jul
-
126
161
-
-
-
-
-
1996-Aug
-
127
164
-
-
-
-
-
1996-Sep
-
130
170
-
-
-
-
-
1996-Oct
-
134
176
-
-
-
-
-
1996-Nov
-
141
185
-
-
-
-
-
1996-Dec
-
139
186
-
-
-
-
-
1997-Jan
-
141
189
-
-
-
-
-
1997-Feb
-
143
194
-
-
-
-
-
1997-Mar
-
143
195
-
-
-
-
-
1997-Apr
-
148
203
-
-
-
-
-
1997-May
-
149
206
-
-
-
-
-
1997-Jun
-
150
210
-
-
-
-
-
1997-Jul
-
156
220
-
-
-
-
-
1997-Aug
-
160
224
-
-
-
-
-
1997-Sep
-
160
228
-
-
-
-
-
1997-Oct
-
167
239
-
-
-
-
-
1997-Nov
-
164
238
-
-
-
-
-
1997-Dec
-
165
242
-
-
-
-
-
1998-Jan
-
168
248
-
-
-
-
-
1998-Feb
-
172
254
-
-
-
-
-
1998-Mar
-
179
264
-
-
-
-
-
1998-Apr
-
184
271
-
-
-
-
-
1998-May
-
185
276
-
-
-
-
-
1998-Jun
-
190
284
-
-
-
-
-
1998-Jul
-
189
285
-
-
-
-
-
1998-Aug
-
193
293
-
-
-
-
-
1998-Sep
-
193
298
-
-
-
-
-
1998-Oct
-
183
290
-
-
-
-
-
1998-Nov
-
190
299
-
-
-
-
-
1998-Dec
-
194
306
-
-
-
-
-
1999-Jan
-
200
315
-
-
-
-
-
1999-Feb
-
197
312
-
-
-
-
-
1999-Mar
-
205
323
-
-
-
-
-
1999-Apr
-
213
334
-
-
-
-
-
1999-May
-
214
336
-
-
-
-
-
1999-Jun
-
215
339
-
-
-
-
-
1999-Jul
-
217
344
-
-
-
-
-
1999-Aug
-
219
347
-
-
-
-
-
1999-Sep
-
227
359
-
-
-
-
-
1999-Oct
-
233
368
-
-
-
-
-
1999-Nov
-
236
374
-
-
-
-
-
1999-Dec
-
236
375
-
-
-
-
-
2000-Jan
-
237
378
-
-
-
-
-
2000-Feb
-
249
394
-
-
-
-
-
2000-Mar
261
261
410
261
-
-
-
-
2000-Apr
-
264
-
269
-
-
-
-
2000-May
-
272
-
280
-
-
-
-
2000-Jun
-
278
-
291
-
-
-
-
2000-Jul
-
284
-
302
-
-
-
-
2000-Aug
-
299
-
321
-
-
-
-
2000-Sep
-
311
-
339
-
-
-
-
2000-Oct
-
325
-
358
-
-
-
-
2000-Nov
-
342
-
381
-
-
-
-
2000-Dec
-
352
-
398
-
-
-
-
2001-Jan
-
363
-
415
-
-
-
-
2001-Feb
-
368
-
426
-
-
-
-
2001-Mar
-
381
-
446
-
-
-
-
2001-Apr
-
386
-
457
-
-
-
-
2001-May
-
387
-
463
-
-
-
-
2001-Jun
-
396
-
479
-
-
-
-
2001-Jul
-
409
-
500
-
-
-
-
2001-Aug
-
416
-
515
-
-
-
-
2001-Sep
-
424
-
531
-
-
-
-
2001-Oct
-
451
-
567
-
-
-
-
2001-Nov
-
448
-
569
-
-
-
-
2001-Dec
-
444
-
571
-
-
-
-
2002-Jan
-
445
-
580
-
-
-
-
2002-Feb
-
446
-
589
-
-
-
-
2002-Mar
-
449
-
596
-
-
-
-
2002-Apr
-
473
-
631
-
-
-
-
2002-May
-
485
-
651
-
-
-
-
2002-Jun
492
492
-
668
492
-
-
-
2002-Jul
-
503
-
-
508
-
-
-
2002-Aug
-
517
-
-
527
-
-
-
2002-Sep
-
533
-
-
550
-
-
-
2002-Oct
-
542
-
-
564
-
-
-
2002-Nov
-
544
-
-
571
-
-
-
2002-Dec
-
556
-
-
589
-
-
-
2003-Jan
-
566
-
-
605
-
-
-
2003-Feb
-
569
-
-
614
-
-
-
2003-Mar
-
570
-
-
621
-
-
-
2003-Apr
-
575
-
-
633
-
-
-
2003-May
-
595
-
-
659
-
-
-
2003-Jun
586
586
-
-
656
586
-
-
2003-Jul
-
567
-
-
-
570
-
-
2003-Aug
-
563
-
-
-
570
-
-
2003-Sep
-
564
-
-
-
574
-
-
2003-Oct
-
559
-
-
-
573
-
-
2003-Nov
-
560
-
-
-
577
-
-
2003-Dec
-
571
-
-
-
591
-
-
2004-Jan
-
593
-
-
-
616
-
-
2004-Feb
-
611
-
-
-
638
-
-
2004-Mar
-
605
-
-
-
635
-
-
2004-Apr
-
607
-
-
-
640
-
-
2004-May
-
612
-
-
-
649
-
-
2004-Jun
619
619
-
-
-
659
619
-
2004-Jul
-
638
-
-
-
-
638
-
2004-Aug
-
660
-
-
-
-
660
-
2004-Sep
-
663
-
-
-
-
663
-
2004-Oct
-
684
-
-
-
-
684
-
2004-Nov
-
700
-
-
-
-
701
-
2004-Dec
-
724
-
-
-
-
725
-
2005-Jan
-
746
-
-
-
-
746
-
2005-Feb
-
750
-
-
-
-
751
-
2005-Mar
-
748
-
-
-
-
749
-
2005-Apr
-
756
-
-
-
-
757
-
2005-May
-
777
-
-
-
-
778
-
2005-Jun
791
791
-
-
-
-
792
791
2005-Jul
-
813
-
-
-
-
-
811
2005-Aug
-
829
-
-
-
-
-
826
2005-Sep
-
834
-
-
-
-
-
829
2005-Oct
-
855
-
-
-
-
-
849
2005-Nov
-
862
-
-
-
-
-
854
2005-Dec
-
873
-
-
-
-
-
863
2006-Jan
-
898
-
-
-
-
-
886
2006-Feb
-
924
-
-
-
-
-
911
2006-Mar
-
928
-
-
-
-
-
913
2006-Apr
-
939
-
-
-
-
-
922
2006-May
-
968
-
-
-
-
-
949
2006-Jun
984
984
-
-
-
-
-
964

 

Figure 4a.  Total foreign holdings of U.S. agency bonds
Estimated monthly positions using adjusted net flows in billions of dollars

Data for Figure 4a immediately follows.

Values constructed from periodic surveys of holdings and adjusted monthly net transactions.

Data for Figure 4a

Date
Survey value
Survey date 2003-Jan: survey-consistent estimated positions
Survey date 2004-Jun: adj. net flows
Survey date 2003-Jun: adj. net flows
Survey date 2005-Jun: adj. net flows
2003-Jan
-
566
-
-
-
2003-Feb
-
569
-
-
-
2003-Mar
-
570
-
-
-
2003-Apr
-
575
-
-
-
2003-May
-
595
-
-
-
2003-Jun
586
586
586
-
-
2003-Jul
-
567
570
-
-
2003-Aug
-
563
570
-
-
2003-Sep
-
564
574
-
-
2003-Oct
-
559
573
-
-
2003-Nov
-
560
577
-
-
2003-Dec
-
571
591
-
-
2004-Jan
-
593
616
-
-
2004-Feb
-
611
638
-
-
2004-Mar
-
605
635
-
-
2004-Apr
-
607
640
-
-
2004-May
-
612
649
-
-
2004-Jun
619
619
659
619
-
2004-Jul
-
638
-
638
-
2004-Aug
-
660
-
660
-
2004-Sep
-
663
-
663
-
2004-Oct
-
684
-
684
-
2004-Nov
-
700
-
701
-
2004-Dec
-
724
-
725
-
2005-Jan
-
746
-
746
-
2005-Feb
-
750
-
751
-
2005-Mar
-
748
-
749
-
2005-Apr
-
756
-
757
-
2005-May
-
777
-
778
-
2005-Jun
791
791
-
792
791
2005-Jul
-
813
-
-
811
2005-Aug
-
829
-
-
826
2005-Sep
-
834
-
-
829
2005-Oct
-
855
-
-
849
2005-Nov
-
862
-
-
854
2005-Dec
-
873
-
-
863
2006-Jan
-
898
-
-
886
2006-Feb
-
924
-
-
911
2006-Mar
-
928
-
-
913
2006-Apr
-
939
-
-
922
2006-May
-
968
-
-
949
2006-Jun
984
984
-
-
964

In contrast, the difference for treasury bonds held by agents in the U.K. is dramatic, as shown in Figure 5. By distributing the gaps across the period between surveys, the large financial center bias is eliminated:

Figure 5.  U.K. holdings of U.S. treasury bonds
Estimated monthly positions using adjusted net flows in billions of dollars

Data for Figure 5 immediately follows.

Values constructed from periodic surveys of holdings and adjusted monthly net transactions.

Data for Figure 5

Date
Survey value
Survey date 1994-Dec: survey consistent estimated positions
Survey date 1994-Dec: adj. net flows
Survey date 2000-Mar: adj. net flows
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
11
11
11
-
-
-
-
-
1995-Jan
-
13
13
-
-
-
-
-
1995-Feb
-
15
16
-
-
-
-
-
1995-Mar
-
15
16
-
-
-
-
-
1995-Apr
-
16
18
-
-
-
-
-
1995-May
-
16
18
-
-
-
-
-
1995-Jun
-
17
20
-
-
-
-
-
1995-Jul
-
17
21
-
-
-
-
-
1995-Aug
-
19
23
-
-
-
-
-
1995-Sep
-
21
26
-
-
-
-
-
1995-Oct
-
22
27
-
-
-
-
-
1995-Nov
-
24
30
-
-
-
-
-
1995-Dec
-
23
30
-
-
-
-
-
1996-Jan
-
23
31
-
-
-
-
-
1996-Feb
-
25
33
-
-
-
-
-
1996-Mar
-
24
33
-
-
-
-
-
1996-Apr
-
23
33
-
-
-
-
-
1996-May
-
24
35
-
-
-
-
-
1996-Jun
-
25
37
-
-
-
-
-
1996-Jul
-
26
39
-
-
-
-
-
1996-Aug
-
26
40
-
-
-
-
-
1996-Sep
-
27
41
-
-
-
-
-
1996-Oct
-
27
43
-
-
-
-
-
1996-Nov
-
27
44
-
-
-
-
-
1996-Dec
-
25
43
-
-
-
-
-
1997-Jan
-
25
44
-
-
-
-
-
1997-Feb
-
26
46
-
-
-
-
-
1997-Mar
-
27
47
-
-
-
-
-
1997-Apr
-
28
49
-
-
-
-
-
1997-May
-
28
51
-
-
-
-
-
1997-Jun
-
27
51
-
-
-
-
-
1997-Jul
-
26
52
-
-
-
-
-
1997-Aug
-
27
53
-
-
-
-
-
1997-Sep
-
26
54
-
-
-
-
-
1997-Oct
-
26
55
-
-
-
-
-
1997-Nov
-
24
54
-
-
-
-
-
1997-Dec
-
22
54
-
-
-
-
-
1998-Jan
-
21
54
-
-
-
-
-
1998-Feb
-
21
55
-
-
-
-
-
1998-Mar
-
25
60
-
-
-
-
-
1998-Apr
-
26
62
-
-
-
-
-
1998-May
-
25
63
-
-
-
-
-
1998-Jun
-
27
66
-
-
-
-
-
1998-Jul
-
28
69
-
-
-
-
-
1998-Aug
-
29
71
-
-
-
-
-
1998-Sep
-
31
76
-
-
-
-
-
1998-Oct
-
35
80
-
-
-
-
-
1998-Nov
-
39
86
-
-
-
-
-
1998-Dec
-
39
88
-
-
-
-
-
1999-Jan
-
38
88
-
-
-
-
-
1999-Feb
-
37
87
-
-
-
-
-
1999-Mar
-
37
89
-
-
-
-
-
1999-Apr
-
36
90
-
-
-
-
-
1999-May
-
36
90
-
-
-
-
-
1999-Jun
-
37
92
-
-
-
-
-
1999-Jul
-
35
92
-
-
-
-
-
1999-Aug
-
35
93
-
-
-
-
-
1999-Sep
-
35
95
-
-
-
-
-
1999-Oct
-
35
96
-
-
-
-
-
1999-Nov
-
34
96
-
-
-
-
-
1999-Dec
-
32
95
-
-
-
-
-
2000-Jan
-
30
95
-
-
-
-
-
2000-Feb
-
33
99
-
-
-
-
-
2000-Mar
36
36
104
36
-
-
-
-
2000-Apr
-
35
-
36
-
-
-
-
2000-May
-
36
-
39
-
-
-
-
2000-Jun
-
34
-
39
-
-
-
-
2000-Jul
-
31
-
38
-
-
-
-
2000-Aug
-
31
-
40
-
-
-
-
2000-Sep
-
37
-
47
-
-
-
-
2000-Oct
-
39
-
52
-
-
-
-
2000-Nov
-
41
-
56
-
-
-
-
2000-Dec
-
42
-
60
-
-
-
-
2001-Jan
-
43
-
64
-
-
-
-
2001-Feb
-
43
-
67
-
-
-
-
2001-Mar
-
45
-
72
-
-
-
-
2001-Apr
-
44
-
73
-
-
-
-
2001-May
-
44
-
76
-
-
-
-
2001-Jun
-
48
-
83
-
-
-
-
2001-Jul
-
49
-
88
-
-
-
-
2001-Aug
-
48
-
91
-
-
-
-
2001-Sep
-
49
-
96
-
-
-
-
2001-Oct
-
55
-
107
-
-
-
-
2001-Nov
-
54
-
108
-
-
-
-
2001-Dec
-
48
-
106
-
-
-
-
2002-Jan
-
46
-
108
-
-
-
-
2002-Feb
-
42
-
109
-
-
-
-
2002-Mar
-
40
-
109
-
-
-
-
2002-Apr
-
45
-
119
-
-
-
-
2002-May
-
41
-
120
-
-
-
-
2002-Jun
40
40
-
123
40
-
-
-
2002-Jul
-
37
-
-
39
-
-
-
2002-Aug
-
36
-
-
41
-
-
-
2002-Sep
-
38
-
-
46
-
-
-
2002-Oct
-
40
-
-
52
-
-
-
2002-Nov
-
38
-
-
54
-
-
-
2002-Dec
-
36
-
-
55
-
-
-
2003-Jan
-
41
-
-
64
-
-
-
2003-Feb
-
39
-
-
67
-
-
-
2003-Mar
-
37
-
-
69
-
-
-
2003-Apr
-
37
-
-
74
-
-
-
2003-May
-
36
-
-
78
-
-
-
2003-Jun
29
29
-
-
75
29
-
-
2003-Jul
-
27
-
-
-
29
-
-
2003-Aug
-
25
-
-
-
29
-
-
2003-Sep
-
23
-
-
-
29
-
-
2003-Oct
-
20
-
-
-
27
-
-
2003-Nov
-
19
-
-
-
28
-
-
2003-Dec
-
18
-
-
-
30
-
-
2004-Jan
-
23
-
-
-
36
-
-
2004-Feb
-
25
-
-
-
41
-
-
2004-Mar
-
18
-
-
-
36
-
-
2004-Apr
-
21
-
-
-
41
-
-
2004-May
-
23
-
-
-
45
-
-
2004-Jun
24
24
-
-
-
49
24
-
2004-Jul
-
26
-
-
-
-
28
-
2004-Aug
-
29
-
-
-
-
33
-
2004-Sep
-
31
-
-
-
-
37
-
2004-Oct
-
32
-
-
-
-
41
-
2004-Nov
-
35
-
-
-
-
47
-
2004-Dec
-
38
-
-
-
-
54
-
2005-Jan
-
39
-
-
-
-
58
-
2005-Feb
-
41
-
-
-
-
65
-
2005-Mar
-
41
-
-
-
-
68
-
2005-Apr
-
34
-
-
-
-
66
-
2005-May
-
30
-
-
-
-
66
-
2005-Jun
28
28
-
-
-
-
68
28
2005-Jul
-
32
-
-
-
-
-
34
2005-Aug
-
32
-
-
-
-
-
38
2005-Sep
-
33
-
-
-
-
-
43
2005-Oct
-
34
-
-
-
-
-
47
2005-Nov
-
31
-
-
-
-
-
47
2005-Dec
-
30
-
-
-
-
-
51
2006-Jan
-
29
-
-
-
-
-
53
2006-Feb
-
30
-
-
-
-
-
59
2006-Mar
-
31
-
-
-
-
-
65
2006-Apr
-
30
-
-
-
-
-
68
2006-May
-
30
-
-
-
-
-
73
2006-Jun
31
31
-
-
-
-
-
80

In constructing these estimates, we assume that both $ \varepsilon$ and $ \beta $ are equal to .01, implying that the measurement errors are on the order of 1% of monthly transactions and that errors in measuring valuation effects and net flows are of the same magnitude. These assumed values do not have any real empirical basis; rather they are (we believe) plausible values and relatively neutral assumptions that provide plausible results. Figures 6 and 6a illustrate the sensitivity of our estimates to these assumptions. In each figure, we show estimated positions for values of $ \varepsilon$ and $ \beta$ from -.01 to .02. As shown in the two figures, varying the errors over this range has a modest effect in the early part of our sample, when the period between surveys was two years or more. Since the advent of annual surveys in 2003 the estimated positions are essentially insensitive to changes in the error assumptions over this range.

Figure 6.  Total foreign holdings of U.S. agency bonds
Estimated monthly positions with different error parameters in billions of dollars

Data for Figure 6 immediately follows.

Values constructed from periodic surveys of holdings and adjusted monthly net transactions.

Data for Figure 6

Date
$ \varepsilon$ = -0.01, $ \beta$ = -0.01
$ \varepsilon$ = 0.01, $ \beta$ = 0.01
$ \varepsilon$ = 0.02, $ \beta$ = 0.02
1994-Jun
106
104
103
1994-Jul
108
107
106
1994-Aug
109
108
107
1994-Sep
106
105
104
1994-Oct
105
104
104
1994-Nov
106
106
106
1994-Dec
107
107
107
1995-Jan
110
109
108
1995-Feb
113
111
110
1995-Mar
115
112
110
1995-Apr
117
113
111
1995-May
121
117
114
1995-Jun
123
118
114
1995-Jul
124
118
113
1995-Aug
128
121
116
1995-Sep
133
125
119
1995-Oct
134
125
119
1995-Nov
138
128
122
1995-Dec
136
126
119
1996-Jan
138
126
119
1996-Feb
137
125
117
1996-Mar
134
122
114
1996-Apr
133
120
111
1996-May
134
120
112
1996-Jun
138
123
114
1996-Jul
140
125
116
1996-Aug
142
127
117
1996-Sep
147
130
121
1996-Oct
151
134
124
1996-Nov
158
140
130
1996-Dec
157
139
129
1997-Jan
159
141
130
1997-Feb
163
143
132
1997-Mar
162
143
132
1997-Apr
168
148
137
1997-May
170
149
138
1997-Jun
171
150
138
1997-Jul
178
156
144
1997-Aug
181
159
148
1997-Sep
182
160
148
1997-Oct
190
167
155
1997-Nov
187
164
152
1997-Dec
188
165
153
1998-Jan
191
168
156
1998-Feb
195
172
161
1998-Mar
202
179
168
1998-Apr
207
184
173
1998-May
208
185
174
1998-Jun
213
190
179
1998-Jul
211
189
178
1998-Aug
215
193
182
1998-Sep
215
193
182
1998-Oct
204
183
173
1998-Nov
210
189
180
1998-Dec
214
194
184
1999-Jan
219
200
191
1999-Feb
215
196
188
1999-Mar
223
205
197
1999-Apr
230
213
205
1999-May
230
214
207
1999-Jun
229
215
208
1999-Jul
231
217
212
1999-Aug
231
219
214
1999-Sep
237
227
222
1999-Oct
242
233
229
1999-Nov
244
236
233
1999-Dec
242
236
234
2000-Jan
241
237
235
2000-Feb
251
249
248
2000-Mar
261
261
261
2000-Apr
265
264
264
2000-May
274
272
271
2000-Jun
281
278
276
2000-Jul
289
284
282
2000-Aug
304
299
296
2000-Sep
317
311
308
2000-Oct
332
325
321
2000-Nov
350
342
338
2000-Dec
360
352
347
2001-Jan
372
362
358
2001-Feb
378
368
362
2001-Mar
391
381
375
2001-Apr
397
386
381
2001-May
397
386
381
2001-Jun
407
396
391
2001-Jul
420
409
403
2001-Aug
427
416
411
2001-Sep
434
423
418
2001-Oct
461
451
445
2001-Nov
457
448
443
2001-Dec
453
444
440
2002-Jan
453
445
441
2002-Feb
453
446
443
2002-Mar
454
449
446
2002-Apr
477
473
471
2002-May
487
485
484
2002-Jun
492
492
492
2002-Jul
503
503
502
2002-Aug
518
517
516
2002-Sep
535
533
532
2002-Oct
544
542
541
2002-Nov
546
544
543
2002-Dec
558
556
555

Figure 6a.  Total foreign holdings of U.S. agency bonds
Estimated monthly positions with different error parameters in billions of dollars

Data for Figure 6a immediately follows.

Values constructed from periodic surveys of holdings and adjusted monthly net transactions.

Data for Figure 6a

Date
$ \varepsilon$ = -0.01, $ \beta$ = -0.01
$ \varepsilon$ = 0.01, $ \beta$ = 0.01
$ \varepsilon$ = 0.02, $ \beta$ = 0.02
2002-Jan
453
445
441
2002-Feb
453
446
443
2002-Mar
454
449
446
2002-Apr
477
473
471
2002-May
487
485
484
2002-Jun
492
492
492
2002-Jul
503
503
502
2002-Aug
518
517
516
2002-Sep
535
533
532
2002-Oct
544
542
541
2002-Nov
546
544
543
2002-Dec
558
556
555
2003-Jan
568
566
565
2003-Feb
570
568
568
2003-Mar
571
570
569
2003-Apr
577
575
575
2003-May
595
595
594
2003-Jun
586
586
586
2003-Jul
567
567
567
2003-Aug
564
564
563
2003-Sep
565
564
563
2003-Oct
561
559
559
2003-Nov
561
560
560
2003-Dec
572
571
571
2004-Jan
594
593
592
2004-Feb
612
611
610
2004-Mar
606
605
604
2004-Apr
607
607
606
2004-May
613
612
612
2004-Jun
619
619
619
2004-Jul
638
638
638
2004-Aug
660
660
660
2004-Sep
663
663
663
2004-Oct
684
684
684
2004-Nov
700
700
700
2004-Dec
724
724
724
2005-Jan
746
746
746
2005-Feb
750
750
750
2005-Mar
748
748
748
2005-Apr
756
756
756
2005-May
777
777
777
2005-Jun
791
791
791
2005-Jul
812
812
813
2005-Aug
829
829
829
2005-Sep
834
834
834
2005-Oct
854
855
855
2005-Nov
861
862
862
2005-Dec
872
872
873
2006-Jan
896
897
897
2006-Feb
923
923
924
2006-Mar
927
927
927
2006-Apr
938
938
938
2006-May
967
967
968
2006-Jun
984
984
984

4  Estimating positions after the last survey

So far we have assumed that the last date of interest happened to be that of a benchmark survey, so that the problem is confined to constructing position estimates for the period between two surveys. In this case the total cumulative observation error from one survey to the next (the "gap") is known, and our problem is merely to distribute that error to the intermediate observations. In the case where the transactions data extends beyond the last survey (a case of considerable practical importance) we must in effect forecast the measurement error, or gap, out to the end of the transactions data. This turns out to be a difficult empirical problem, and we do not claim to have found a wholly satisfactory solution to it. The crux of the problem is that while the actual survey gaps appear to be very close to pure noise, they nonetheless seem to contain enough information that simply ignoring them in constructing future position estimates would be a mistake. But as we discuss in the next section, our efforts to estimate even the simplest panel regression model of the gaps were largely unsuccessful.12

4.1  Summary statistics

We begin our statistical analysis by constructing survey gaps for U.S. liabilities for 84 countries, four security types, and seven survey dates, through the survey of June 2005. (We reserve the newly-released June 2006 survey for out-of-sample testing.) We scale the gaps by the estimated position $ \hat{S}_{t} $ to make them comparable across surveys and securities.13 Table 1 presents summary statistics for the scaled gaps. The units are simple ratios, so that, for example, the average gap for agency bonds positions, averaged across all countries and all surveys, was 2.8 times the estimated position. It is immediately apparent that there are some extremely large outliers in the gaps that will have to be dealt with somehow. This observation is reinforced by the histograms of the gaps by security type (Figure 7).

Table 1.  Summary statistics for scaled gaps, U.S. liabilities to all foreigners by security type and survey date

Survey date
Treasury bonds
Agency bonds
Corporate bonds
Equities
All securities
1989 Survey: mean
1.27
20.76
0.01
0.43
5.52
1989 Survey: minimum
-1.00
-1.00
-1.00
-1.00
-1.00
1989 Survey: maximum
28.73
1547.38
12.34
16.65
1547.38
1989 Survey: std dev
5.57
178.67
1.95
2.31
88.49
1989 Survey: num obs
75
75
76
80
306
1994 Survey: mean
1.90
-0.09
0.13
13.34
4.00
1994 Survey: minimum
-1.00
-1.00
-1.00
-1.00
-1.00
1994 Survey: maximum
114.68
7.55
13.50
936.96
936.96
1994 Survey: std dev
13.59
1.33
1.97
105.65
54.77
1989 Survey: num obs
73
74
73
79
299
2000 Survey: mean
0.14
0.02
-0.10
0.46
0.14
2000 Survey: minimum
-1.00
-1.00
-1.00
-0.97
-1.00
2000 Survey: maximum
6.17
6.88
5.08
33.99
33.99
2000 Survey: std dev
1.11
1.25
1.14
3.93
2.25
2000 Survey: num obs
77
78
72
81
308
2002 Survey: mean
0.18
-0.14
-0.18
0.21
0.02
2002 Survey: minimum
-0.99
-1.00
-1.00
-1.00
-1.00
2002 Survey: maximum
7.30
7.77
3.57
8.51
8.51
2002 Survey: std dev
1.24
1.19
0.70
1.17
1.11
2002 Survey: num obs
79
80
79
81
319
2003 Survey: mean
0.91
-0.14
0.28
0.06
0.28
2003 Survey: minimum
-1.00
-1.00
-1.00
-1.00
-1.00
2003 Survey: maximum
74.95
3.56
42.13
1.72
74.95
2003 Survey: std dev
8.40
0.57
4.76
0.43
4.82
2003 Survey: num obs
80
79
80
82
321
2004 Survey: mean
1.07
0.18
1.90
1.45
1.14
2004 Survey: minimum
-1.00
-1.00
-1.00
-0.55
-1.00
2004 Survey: maximum
73.71
9.56
132.67
82.90
132.67
2004 Survey: std dev
8.24
1.41
14.93
9.26
9.65
2004 Survey: num obs
81
82
79
81
323
2005 Survey: mean
0.08
0.06
-0.03
0.05
0.04
2005 Survey: minimum
-0.88
-1.00
-1.00
-1.00
-1.00
2005 Survey: maximum
1.73
4.36
10.09
2.68
10.09
2005 Survey: std dev
0.53
0.77
1.20
0.47
0.79
2005 Survey: num obs
78
82
81
83
324
All Surveys: mean
0.78
2.82
0.29
2.24
1.55
All Surveys: minimum
-1.00
-1.00
-1.00
-1.00
-1.00
All Surveys: maximum
114.68
1547.38
132.67
936.96
1547.38
All Surveys: std dev
7.06
65.99
6.13
39.67
38.92
All Surveys: num obs
543
550
540
567
2200

Figure 7.  Survey Gap Histograms: US Liabilities

Scaled by estimated position. X-axis numbers are the bottom of each cell

Data for Figure 7 immediately follows.

Data for Figure 7

Cell Lower Bound
U.S. Treasuries, All Surveys number of observations)
Agency Bonds, All Surveys (number of observations)
Corporate Bonds, All Surveys (number of observations)
Equities, All Surveys (number of observations)
-0.95
21
28
28
5
-0.90
8
18
19
3
-0.85
7
12
13
6
-0.80
4
12
11
4
-0.75
5
6
8
8
-0.70
7
11
17
2
-0.65
7
15
13
2
-0.60
8
15
17
6
-0.55
8
16
19
12
-0.50
8
10
15
9
-0.45
10
17
17
11
-0.40
9
16
17
9
-0.35
10
13
11
8
-0.30
12
19
13
14
-0.25
14
21
18
20
-0.20
16
22
19
21
-0.15
14
16
16
21
-0.10
23
14
25
18
-0.05
29
10
11
22
0.00
29
19
18
31
0.05
53
70
46
50
0.10
33
14
17
47
0.15
27
19
16
34
0.20
17
12
18
21
0.25
14
8
7
19
0.30
16
6
10
17
0.35
16
11
10
15
0.40
7
11
7
11
0.45
2
9
1
11
0.50
7
5
3
11
0.55
7
7
6
9
0.60
11
4
5
4
0.65
3
5
8
5
0.70
3
2
1
5
0.75
4
4
4
5
0.80
6
2
2
6
0.85
5
1
4
2
0.90
0
2
2
1
0.95
8
3
2
4
1.00
55
45
46
58

Outliers of this magnitude can potentially have a dramatic effect on any empirical model of the gap, and we found even the simplest rules for estimating the gap to be extremely sensitive to the presence or absence of such values. One approach to handling the problem would be to omit observations that are so far from the mean that the hypothesis that they are drawn from the same distribution can be rejected. Unfortunately, as Figure 7 strongly suggests, the sample distributions are clearly non-normal, and as Table 1 shows, the sample standard deviations are so large that even if the distribution were known, this approach would fail to exclude many extremely large values of the gap.14

For now we fall back on a distinctly ad hoc approach: we exclude from the sample any observations where the measured survey position is more than twice the magnitude of the estimated position. The rationale is that such cases are clearly unusual and appear to represent something other than the "usual" measurement error. While we must nevertheless take these errors into account somehow, we would like to know if the truncated sample reveals any patterns that would be useful in forecasting. Table 2 shows the summary statistics for the scaled gaps with the outliers removed.

Table 2.  Summary statistics for scaled gaps: U.S. liabilities to total foreigners, by security type and survey date using truncated data

Survey date
Treasury bonds
Agency bonds
Corporate bonds
Equities
All securities
1989 Survey: mean
0.15
0.13
0.01
0.04
0.09
1989 Survey: minimum
-0.66
-0.66
-0.61
-0.65
-0.66
1989 Survey: maximum
1.99
1.78
1.55
1.43
1.99
1989 Survey: std dev
0.63
0.57
0.53
0.54
0.57
1989 Survey: num obs
60
47
41
67
215
1994 Survey: mean
0.23
0.05
0.08
0.11
0.12
1994 Survey: minimum
-0.65
-0.65
-0.66
-0.66
-0.66
1994 Survey: maximum
1.92
1.64
1.86
1.67
1.92
1994 Survey: std dev
0.56
0.6
0.67
0.49
0.57
1989 Survey: num obs
53
44
49
64
210
2000 Survey: mean
0.12
-0.05
0.04
-0.02
0.02
2000 Survey: minimum
-0.63
-0.65
-0.66
-0.64
-0.66
2000 Survey: maximum
1.96
1.48
1.49
1.96
1.96
2000 Survey: std dev
0.54
0.43
0.62
0.57
0.54
2000 Survey: num obs
60
55
44
66
225
2002 Survey: mean
0.05
-0.11
-0.07
0.11
0.00
2002 Survey: minimum
-0.62
-0.66
-0.64
-0.62
-0.66
2002 Survey: maximum
1.61
1.03
1.70
1.33
1.70
2002 Survey: std dev
0.45
0.43
0.51
0.40
0.45
2002 Survey: num obs
69
57
63
71
260
2003 Survey: mean
-0.01
-0.11
-0.14
0.07
-0.04
2003 Survey: minimum
-0.62
-0.64
-0.66
-0.56
-0.66
2003 Survey: maximum
1.07
1.30
1.62
1.72
1.72
2003 Survey: std dev
0.30
0.33
0.39
0.41
0.37
2003 Survey: num obs
73
70
67
81
291
2004 Survey: mean
0.08
0.04
0.17
0.16
0.11
2004 Survey: minimum
-0.57
-0.62
-0.66
-0.55
-0.66
2004 Survey: maximum
1.63
1.41
1.95
1.41
1.95
2004 Survey: std dev
0.40
0.47
0.51
0.39
0.45
2004 Survey: num obs
67
70
70
75
282
2005 Survey: mean
0.08
0.04
0.17
0.16
0.11
2005 Survey: minimum
-0.57
-0.62
-0.66
-0.55
-0.66
2005 Survey: maximum
1.63
1.41
1.95
1.41
1.95
2005 Survey: std dev
0.40
0.47
0.51
0.39
0.45
2005 Survey: num obs
74
74
72
81
301
All Surveys: mean
0.10
-0.01
0.00
0.07
0.04
All Surveys: minimum
-0.66
-0.66
-0.66
-0.66
-0.66
All Surveys: maximum
1.99
2.00
1.95
1.96
2.00
All Surveys: std dev
0.49
0.48
0.51
0.45
0.48
All Surveys: num obs
456
417
406
505
1784

As would be expected, the standard deviations are much smaller in this sample, although there is still considerable dispersion. A total of 137 observations, out of 2242, were dropped. Comparing by security type, the descriptive statistics indicate that on average, the gaps are somewhat negative for agency bonds (the estimated positions tend to overstate the measured survey positions), slightly positive for Treasuries and stocks, whereas those for corporate bonds tend on average to be zero. For a given security, the gaps also tend to vary in size and sign from year to year.

We also looked for evidence that gaps by country are correlated over time or by security type. Tables 3a and 3b present the correlations over time, for the samples both with and without outliers. For the full sample, there is essentially no correlation at all between one survey year and another. For the truncated sample we observe correlation coefficients on the order of 0.1 - 0.2, suggesting a very modest degree of persistence in the gaps from one survey to the next.

Table 3a.  Correlation matrix for gaps by survey years, 1989 - 2005 (full sample, 235 observations)

Survey year
1989
1994
2000
2002
2003
2004
2005
1989
1
-0.006
-0.005
0.053
-0.004
-0.005
-0.026
1994
-
1
-0.001
0.033
-0.006
-0.009
-0.034
2000
-
-
1
-0.002
-0.013
-0.032
0.118
2002
-
-
-
1
-0.018
-0.072
-0.010
2003
-
-
-
-
1
-0.008
-0.016
2004
-
-
-
-
-
1
0.030
2005
-
-
-
-
-
-
1

Table 3b.  Correlation matrix for gaps by survey years, 1989 - 2005 (truncated sample, 194 observations)

Survey year
1989
1994
2000
2002
2003
2004
2005
1989
1
-0.063
0.155
0.227
-0.039
-0.062
0.140
1994
-
1
0.106
0.055
-0.059
0.034
-0.023
2000
-
-
1
-0.040
0.116
0.129
-0.087
2002
-
-
-
1
0.315
0.073
0.130
2003
-
-
-
-
1
0.072
-0.023
2004
-
-
-
-
-
1
0.177
2005
-
-
-
-
-
-
1

We find a similar pattern for the correlations across securities - essentially nothing for the full sample, and coefficients on the order of 0.1 - 0.2 for the truncated sample. This result suggests, plausibly enough, that there is some slight tendency for large gaps in a given country for one security to be associated with large gaps in the other securities.

Table 4a.   Correlation matrix for gaps by security type (full sample, 476 observations)

Security type
Treasuries
Agencies
Corporates
Equities
Treasury bonds
1
0.026
0.003
0.058
Agency bonds
-
1
0.416
0.127
Corporate bonds
-
-
1
0.003
Equities
-
-
-
1

Table 4b.  Correlation matrix for gaps by security type (full sample, 261 observations)

Security type
Treasuries
Agencies
Corporates
Equities
Treasury bonds
1
0.085
0.093
0.013
Agency bonds
-
1
0.126
-0.043
Corporate bonds
-
-
1
0.123
Equities
-
-
-
1

Finally, we regressed the scaled gaps on dummy variables for security type, survey year, and country-specific dummies. Because gaps may also arise from errors in the valuation adjustments we apply, we also include the security-specific price changes applied in each inter-survey period. Results from applying this regression exercise to the sample trimmed of outliers are presented in Table 5. The regression is able to explain only a small fraction of the observed variation in the scaled gaps: the adjusted R$ ^{2}$ is only .076 and the RMSE comes in at .463: a sizable error for a variable with a mean of .04.15

Table 5a.   Regression of scaled survey gaps on survey, security and country dummy variables, and on price changes: summary statistics

Model: SS
52.064
Model: df
96
Model: MS
0.5423
Residual: SS
361.294
Residual: df
1687
Residual: MS
0.2142
Total: SS
413.358
Total: df
1783
Total: MS
0.2318
Number of obs
1784
F(96, 1687)
2.53
Prob > F
0
R-squared
0.1260
Adj R-squared
0.0762
Root MSE
0.4628

Table 5b.  Regression of scaled survey gaps on survey, security and country dummy variables, and on price changes: estimated coefficients

Variable name
Coef.
Std. Err.
t
P>|t|
[95% Conf. Interval: Lower]
[95% Conf. Interval: Upper]
constant
0.161
0.107
1.50
0.133
-0.049
0.372
dagcy
-0.084
0.039
-2.16
0.031
-0.160
-0.008
dstk
0.016
0.037
0.43
0.669
-0.057
0.089
dcorp
-0.061
0.038
-1.64
0.102
-0.135
0.012
d1994
-0.014
0.059
-0.24
0.809
-0.130
0.101
d2000
-0.043
0.048
-0.90
0.366
-0.137
0.051
d2002
-0.130
0.048
-2.72
0.007
-0.224
-0.036
d2003
-0.152
0.045
-3.35
0.001
-0.241
-0.063
d2004
-0.039
0.067
-0.58
0.562
-0.170
0.093
d2005
-0.092
0.051
-1.81
0.071
-0.192
0.008
ptreas
0.034
0.573
0.06
0.953
-1.090
1.157
pagcy
-0.538
0.704
-0.76
0.445
-1.919
0.843
pcorp
-0.971
0.530
-1.83
0.067
-2.012
0.069
pstk
-0.074
0.030
-2.49
0.013
-0.133
-0.016
Netherlands
0.228
0.131
1.74
0.082
-0.029
0.484
United Kingdom
-0.421
0.134
-3.15
0.002
-0.683
-0.158
Netherlands Antilles
-0.303
0.143
-2.11
0.035
-0.584
-0.022
Hong Kong
-0.217
0.131
-1.66
0.097
-0.474
0.039
(+ other country dummy variables)
-
-
-
-
-
-

The coefficients for agency and corporate bonds enter with a negative signs (although only the coefficient for agency bonds is significant at the 5 percent level; that for corporate bonds just misses significance at the 10 percent level), providing some statistical confirmation for the observation that on average the estimated positions for agency and corporate bonds tend to overstate the measured survey values for these securities. Of the survey year dummies, we find significant (negative) coefficients for 2002, 2003, and 2005. Most country dummies are not significant; we list a few that are: the U.K. and the Netherlands Antilles, the Netherlands and Hong Kong (although only at the 10 percent level for the last two). Although point estimates for many of the dummy variables seem sensible, confidence bands around them are large. For the U.K. dummy variable, for example, the 95% confidence interval around the point estimate of .421 is -.683 to .158.

Nonetheless, we believe there is some useful information that can be taken away from the regression results. The sizable negative coefficient for the U.K. dummy variable (-.421) indicates that, all else equal, "financial center bias" will lead to an estimated position for the U.K. that overstates the actual survey position by roughly 40 percent. The Netherlands Antilles and Hong Kong also appear to exhibit "financial center bias," while the positive coefficient for the Netherlands indicates that it is a country whose holdings tend to be underestimated. The between-survey price changes for corporate bonds and for equities also enter with significant negative coefficients (only at the 10 percent level for corporate bonds). These results suggest that the prices we impute to foreign holdings of U.S. corporate bonds and U.S. corporate stocks may overstate the actual valuation effects observed for foreign portfolios in these securities: all else equal, price increases will lead to overestimates of the actual survey positions (negative scaled gaps), and price decreases will lead to underestimates. For U.S. stocks, this finding is perhaps not that surprising, given that some of these holdings are actually holdings of mutual funds (including money market mutual funds) and thus may not be appropriately priced by a standard U.S. equity price index. For U.S. corporate bonds, there is no obvious explanation.

4.2  Forecasting the survey gaps

We are left with something of a dilemma: for most countries, there is no clear statistical basis for projecting the survey gaps forward, but for practical purposes we need to make the best forecasts we can. Forecasting the gaps at zero may be appealing on methodological grounds, in the absence of a well-estimated model, but it is clearly unsatisfactory for policy purposes. Even without significant statistical results, we have strong prior beliefs that a large positive or negative gap for, say, the 2002 survey in a given country will not immediately revert to zero in 2003.

We think the best estimates of the gaps will be country and security specific. For example, for U.K. holdings of corporate bonds, we know the gaps are usually large and negative, and we want our forecast of the gap for U.K. bonds holdings to have this property. This suggests using the mean scaled gap for each country and security as the forecast. But as discussed above the gaps are clearly very noisy: there are many outliers, and these can have undue influence on the calculated average gap and thus on the estimated position. In addition, averaging over the entire sample of available surveys ignores more recent developments that may affect the location of transactions (such as the establishment of a new financial center), or that affect reported transactions (such as changes in asset-backed security repayment rates). Such changes may lead to larger or more uniformly positive or negative gaps when observed over the most recent surveys.

In order to address these concerns we adopt another admittedly ad hoc approach: we use the average of the scaled gaps for the most recent liabilities surveys starting with the first annual survey in 2003. This is also the period for which we have asset-backed repayment estimates for agency and corporate bonds, which may introduce a break in the behavior of the gaps. For our in-sample forecasts of 2006 we use the average of three gaps (2003, 2004, and 2005), and going forward from 2006, four gaps.16

We identify outliers by the same criteria we used to exclude observations from the regression exercise above, but rather than omitting them, we bound both positive and negative gaps at twice the magnitude of the estimated position. While it might be conceptually more appealing to discard these observations entirely, this would in some cases leave us with little data to form an average, and it seems better to try to extract some information from these points. Once the end-of-period gap has been determined (and the assumed end-of-period position has been derived), constructing the monthly positions going forward is straightforward. (By an analogous procedure, one can also extend the estimated positions back, from the earliest survey date to the beginning of the transactions data.)

Figure 8 shows estimated positions based on the June 2005 survey for total foreign holdings of U.S. treasuries and corporate bonds in June 2006 made using the procedure just described (the black line) and for comparison, the "naïve" estimates made using flows and valuation changes only (the red lines). Actual holdings as measured in the June 2006 survey are also shown for comparison.

Figure 8.  Forecast of total foreign holdings of U.S. long-term securities, June 2006

Data for Figure 8 immediately follows.

Forecast from June 2005 constructed from adjusted monthly net transactions, valuation adjustments, and moving average of scaled gaps.

Data for Figure 8 - Treasury bonds

Date
Survey value
Survey date 2002-Jun: net flows (adj.)
Survey date 2003-Jun: net flows (adj.)
Survey date 2004-Jun: net flows (adj.)
Survey date 2005-Jun: net flows (adj.)
Survey date 2002-Jun: estimated position
2002-Jun
905
905
-
-
-
905
2002-Jul
-
947
-
-
-
942
2002-Aug
-
967
-
-
-
958
2002-Sep
-
1011
-
-
-
996
2002-Oct
-
1002
-
-
-
982
2002-Nov
-
1009
-
-
-
985
2002-Dec
-
1044
-
-
-
1015
2003-Jan
-
1038
-
-
-
1004
2003-Feb
-
1049
-
-
-
1010
2003-Mar
-
1067
-
-
-
1023
2003-Apr
-
1077
-
-
-
1028
2003-May
-
1145
-
-
-
1090
2003-Jun
1114
1173
1114
-
-
1114
2003-Jul
-
-
1111
-
-
1110
2003-Aug
-
-
1130
-
-
1128
2003-Sep
-
-
1167
-
-
1164
2003-Oct
-
-
1155
-
-
1151
2003-Nov
-
-
1187
-
-
1183
2003-Dec
-
-
1221
-
-
1216
2004-Jan
-
-
1273
-
-
1267
2004-Feb
-
-
1311
-
-
1303
2004-Mar
-
-
1369
-
-
1361
2004-Apr
-
-
1371
-
-
1362
2004-May
-
-
1390
-
-
1380
2004-Jun
1424
-
1435
1424
-
1424
2004-Jul
-
-
-
1445
-
1435
2004-Aug
-
-
-
1483
-
1462
2004-Sep
-
-
-
1499
-
1467
2004-Oct
-
-
-
1525
-
1481
2004-Nov
-
-
-
1532
-
1479
2004-Dec
-
-
-
1550
-
1486
2005-Jan
-
-
-
1589
-
1513
2005-Feb
-
-
-
1615
-
1529
2005-Mar
-
-
-
1638
-
1542
2005-Apr
-
-
-
1691
-
1582
2005-May
-
-
-
1707
-
1585
2005-Jun
1598
-
-
1731
1598
1598
2005-Jul
-
-
-
-
1599
1595
2005-Aug
-
-
-
-
1644
1637
2005-Sep
-
-
-
-
1639
1628
2005-Oct
-
-
-
-
1650
1635
2005-Nov
-
-
-
-
1704
1685
2005-Dec
-
-
-
-
1732
1710
2006-Jan
-
-
-
-
1722
1696
2006-Feb
-
-
-
-
1737
1708
2006-Mar
-
-
-
-
1721
1688
2006-Apr
-
-
-
-
1703
1668
2006-May
-
-
-
-
1712
1674
2006-Jun
1726
-
-
-
1740
1698

Data for Figure 8 - Corporate bonds

Date
Survey value
Survey date 2002-Jun: net flows (adj.)
Survey date 2003-Jun: net flows (adj.)
Survey date 2004-Jun: net flows (adj.)
Survey date 2005-Jun: net flows (adj.)
Survey date 2002-Jun: estimated position
2002-Jun
1130
1130
-
-
-
1130
2002-Jul
-
1129
-
-
-
1117
2002-Aug
-
1162
-
-
-
1138
2002-Sep
-
1179
-
-
-
1142
2002-Oct
-
1169
-
-
-
1120
2002-Nov
-
1193
-
-
-
1132
2002-Dec
-
1230
-
-
-
1155
2003-Jan
-
1250
-
-
-
1163
2003-Feb
-
1276
-
-
-
1175
2003-Mar
-
1294
-
-
-
1181
2003-Apr
-
1327
-
-
-
1200
2003-May
-
1384
-
-
-
1240
2003-Jun
1236
1392
1236
-
-
1236
2003-Jul
-
-
1208
-
-
1214
2003-Aug
-
-
1223
-
-
1235
2003-Sep
-
-
1271
-
-
1290
2003-Oct
-
-
1266
-
-
1291
2003-Nov
-
-
1289
-
-
1320
2003-Dec
-
-
1313
-
-
1351
2004-Jan
-
-
1326
-
-
1371
2004-Feb
-
-
1353
-
-
1405
2004-Mar
-
-
1383
-
-
1441
2004-Apr
-
-
1355
-
-
1417
2004-May
-
-
1357
-
-
1425
2004-Jun
1455
-
1381
1455
-
1455
2004-Jul
-
-
-
1489
-
1485
2004-Aug
-
-
-
1538
-
1529
2004-Sep
-
-
-
1582
-
1568
2004-Oct
-
-
-
1606
-
1587
2004-Nov
-
-
-
1612
-
1589
2004-Dec
-
-
-
1660
-
1632
2005-Jan
-
-
-
1679
-
1646
2005-Feb
-
-
-
1689
-
1652
2005-Mar
-
-
-
1683
-
1641
2005-Apr
-
-
-
1709
-
1662
2005-May
-
-
-
1735
-
1684
2005-Jun
1729
-
-
1786
1729
1729
2005-Jul
-
-
-
-
1720
1718
2005-Aug
-
-
-
-
1765
1760
2005-Sep
-
-
-
-
1771
1763
2005-Oct
-
-
-
-
1774
1763
2005-Nov
-
-
-
-
1805
1792
2005-Dec
-
-
-
-
1842
1825
2006-Jan
-
-
-
-
1854
1835
2006-Feb
-
-
-
-
1883
1861
2006-Mar
-
-
-
-
1896
1871
2006-Apr
-
-
-
-
1915
1887
2006-May
-
-
-
-
1940
1910
2006-Jun
2021
-
-
-
1964
1931

As it happens, the "naïve" estimate derived from applying flows and valuation changes to the 2005 survey value generates a slightly better forecast for June 2006, but such a fortunate outcome cannot be counted on. Furthermore, many individual countries have gaps that are consistently negative or positive, and our procedure takes this somewhat into account. For example, Figure 9 shows that while the forecast positions for the United Kingdom still overestimate the measured survey amounts, they do so by considerably less than the naïve estimates.

Figure 9.  Forecast of U.K. holdings of U.S. long-term securities, June 2006

Data for Figure 9 immediately follows.

Forecast from June 2005 constructed from adjusted monthly net transactions, valuation adjustments, and moving average of scaled gaps. Includes Channel Islands and the Isle of Man.

Data for Figure 9 - Treasury bonds

Date
Survey value
Survey date 2002-Jun: net flows (adj.)
Survey date 2003-Jun: net flows (adj.)
Survey date 2004-Jun: net flows (adj.)
Survey date 2005-Jun: net flows (adj.)
Survey date 2002-Jun: estimated position
2002-Jun
48
48
-
-
-
48
2002-Jul
-
61
-
-
-
58
2002-Aug
-
66
-
-
-
61
2002-Sep
-
74
-
-
-
66
2002-Oct
-
78
-
-
-
66
2002-Nov
-
77
-
-
-
62
2002-Dec
-
76
-
-
-
58
2003-Jan
-
77
-
-
-
55
2003-Feb
-
73
-
-
-
49
2003-Mar
-
77
-
-
-
49
2003-Apr
-
74
-
-
-
44
2003-May
-
77
-
-
-
42
2003-Jun
49
86
49
-
-
49
2003-Jul
-
-
69
-
-
64
2003-Aug
-
-
75
-
-
65
2003-Sep
-
-
65
-
-
51
2003-Oct
-
-
69
-
-
50
2003-Nov
-
-
69
-
-
46
2003-Dec
-
-
73
-
-
45
2004-Jan
-
-
83
-
-
50
2004-Feb
-
-
86
-
-
48
2004-Mar
-
-
93
-
-
48
2004-Apr
-
-
105
-
-
55
2004-May
-
-
103
-
-
48
2004-Jun
47
-
109
47
-
47
2004-Jul
-
-
-
52
-
47
2004-Aug
-
-
-
56
-
47
2004-Sep
-
-
-
57
-
43
2004-Oct
-
-
-
61
-
42
2004-Nov
-
-
-
77
-
52
2004-Dec
-
-
-
89
-
57
2005-Jan
-
-
-
88
-
49
2005-Feb
-
-
-
97
-
51
2005-Mar
-
-
-
109
-
55
2005-Apr
-
-
-
113
-
50
2005-May
-
-
-
122
-
49
2005-Jun
53
-
-
137
53
53
2005-Jul
-
-
-
-
67
64
2005-Aug
-
-
-
-
81
75
2005-Sep
-
-
-
-
89
79
2005-Oct
-
-
-
-
93
79
2005-Nov
-
-
-
-
128
108
2005-Dec
-
-
-
-
139
113
2006-Jan
-
-
-
-
149
117
2006-Feb
-
-
-
-
154
115
2006-Mar
-
-
-
-
168
123
2006-Apr
-
-
-
-
154
103
2006-May
-
-
-
-
162
105
2006-Jun
50
-
-
-
188
124

Data for Figure 9 - Corporate bonds

Date
Survey value
Survey date 2002-Jun: net flows (adj.)
Survey date 2003-Jun: net flows (adj.)
Survey date 2004-Jun: net flows (adj.)
Survey date 2005-Jun: net flows (adj.)
Survey date 2002-Jun: estimated position
2002-Jun
108
108
-
-
-
108
2002-Jul
-
108
-
-
-
102
2002-Aug
-
112
-
-
-
101
2002-Sep
-
117
-
-
-
100
2002-Oct
-
119
-
-
-
97
2002-Nov
-
130
-
-
-
102
2002-Dec
-
139
-
-
-
103
2003-Jan
-
149
-
-
-
107
2003-Feb
-
156
-
-
-
106
2003-Mar
-
171
-
-
-
113
2003-Apr
-
186
-
-
-
119
2003-May
-
205
-
-
-
126
2003-Jun
122
209
122
-
-
122
2003-Jul
-
-
126
-
-
125
2003-Aug
-
-
130
-
-
128
2003-Sep
-
-
145
-
-
142
2003-Oct
-
-
149
-
-
145
2003-Nov
-
-
162
-
-
156
2003-Dec
-
-
173
-
-
166
2004-Jan
-
-
173
-
-
165
2004-Feb
-
-
178
-
-
169
2004-Mar
-
-
187
-
-
176
2004-Apr
-
-
189
-
-
177
2004-May
-
-
192
-
-
179
2004-Jun
183
-
197
183
-
183
2004-Jul
-
-
-
194
-
188
2004-Aug
-
-
-
207
-
194
2004-Sep
-
-
-
227
-
207
2004-Oct
-
-
-
237
-
210
2004-Nov
-
-
-
245
-
211
2004-Dec
-
-
-
265
-
223
2005-Jan
-
-
-
270
-
219
2005-Feb
-
-
-
281
-
222
2005-Mar
-
-
-
290
-
223
2005-Apr
-
-
-
300
-
224
2005-May
-
-
-
308
-
223
2005-Jun
241
-
-
336
241
241
2005-Jul
-
-
-
-
245
240
2005-Aug
-
-
-
-
268
259
2005-Sep
-
-
-
-
284
269
2005-Oct
-
-
-
-
294
274
2005-Nov
-
-
-
-
315
291
2005-Dec
-
-
-
-
332
301
2006-Jan
-
-
-
-
343
306
2006-Feb
-
-
-
-
358
316
2006-Mar
-
-
-
-
379
330
2006-Apr
-
-
-
-
394
339
2006-May
-
-
-
-
416
355
2006-Jun
281
-
-
-
433
365

Similarly, as shown in Figure 10, we can significantly reduce the degree of underestimation in holdings of corporate bonds in the euro area.

Figure 10.  Forecast of euro area holdings of U.S. long-term securities, June 2006

Data for Figure 10 immediately follows.

Forecast from June 2005 constructed from adjusted monthly net transactions, valuation adjustments, and moving average of scaled gaps.

Data for Figure 10 - Treasury bonds

Date
Survey value
Survey date 2002-Jun: net flows (adj.)
Survey date 2003-Jun: net flows (adj.)
Survey date 2004-Jun: net flows (adj.)
Survey date 2005-Jun: net flows (adj.)
Survey date 2002-Jun: estimated position
2002-Jun
135
135
-
-
-
135
2002-Jul
-
133
-
-
-
133
2002-Aug
-
133
-
-
-
133
2002-Sep
-
137
-
-
-
136
2002-Oct
-
129
-
-
-
129
2002-Nov
-
133
-
-
-
133
2002-Dec
-
141
-
-
-
141
2003-Jan
-
138
-
-
-
138
2003-Feb
-
137
-
-
-
136
2003-Mar
-
132
-
-
-
131
2003-Apr
-
140
-
-
-
139
2003-May
-
146
-
-
-
146
2003-Jun
150
151
150
-
-
150
2003-Jul
-
-
148
-
-
150
2003-Aug
-
-
153
-
-
157
2003-Sep
-
-
155
-
-
160
2003-Oct
-
-
148
-
-
155
2003-Nov
-
-
149
-
-
158
2003-Dec
-
-
140
-
-
150
2004-Jan
-
-
143
-
-
155
2004-Feb
-
-
137
-
-
150
2004-Mar
-
-
137
-
-
152
2004-Apr
-
-
140
-
-
155
2004-May
-
-
138
-
-
155
2004-Jun
154
-
136
154
-
154
2004-Jul
-
-
-
159
-
158
2004-Aug
-
-
-
150
-
148
2004-Sep
-
-
-
151
-
148
2004-Oct
-
-
-
152
-
148
2004-Nov
-
-
-
152
-
147
2004-Dec
-
-
-
153
-
147
2005-Jan
-
-
-
159
-
152
2005-Feb
-
-
-
161
-
153
2005-Mar
-
-
-
161
-
152
2005-Apr
-
-
-
166
-
156
2005-May
-
-
-
175
-
164
2005-Jun
156
-
-
168
156
156
2005-Jul
-
-
-
-
158
158
2005-Aug
-
-
-
-
161
161
2005-Sep
-
-
-
-
161
161
2005-Oct
-
-
-
-
164
165
2005-Nov
-
-
-
-
164
164
2005-Dec
-
-
-
-
168
169
2006-Jan
-
-
-
-
166
167
2006-Feb
-
-
-
-
163
164
2006-Mar
-
-
-
-
158
159
2006-Apr
-
-
-
-
156
157
2006-May
-
-
-
-
157
159
2006-Jun
170
-
-
-
159
160

Data for Figure 10 - Corporate bonds

Date
Survey value
Survey date 2002-Jun: net flows (adj.)
Survey date 2003-Jun: net flows (adj.)
Survey date 2004-Jun: net flows (adj.)
Survey date 2005-Jun: net flows (adj.)
Survey date 2002-Jun: estimated position
2002-Jun
245
245
-
-
-
245
2002-Jul
-
245
-
-
-
252
2002-Aug
-
249
-
-
-
264
2002-Sep
-
252
-
-
-
274
2002-Oct
-
248
-
-
-
277
2002-Nov
-
250
-
-
-
286
2002-Dec
-
256
-
-
-
300
2003-Jan
-
257
-
-
-
309
2003-Feb
-
262
-
-
-
321
2003-Mar
-
262
-
-
-
329
2003-Apr
-
265
-
-
-
339
2003-May
-
273
-
-
-
356
2003-Jun
363
273
363
-
-
363
2003-Jul
-
-
350
-
-
366
2003-Aug
-
-
351
-
-
382
2003-Sep
-
-
361
-
-
409
2003-Oct
-
-
357
-
-
419
2003-Nov
-
-
357
-
-
434
2003-Dec
-
-
362
-
-
454
2004-Jan
-
-
366
-
-
474
2004-Feb
-
-
371
-
-
495
2004-Mar
-
-
377
-
-
517
2004-Apr
-
-
365
-
-
516
2004-May
-
-
363
-
-
526
2004-Jun
545
-
366
545
-
545
2004-Jul
-
-
-
552
-
557
2004-Aug
-
-
-
565
-
576
2004-Sep
-
-
-
572
-
589
2004-Oct
-
-
-
576
-
598
2004-Nov
-
-
-
571
-
598
2004-Dec
-
-
-
578
-
610
2005-Jan
-
-
-
582
-
620
2005-Feb
-
-
-
579
-
622
2005-Mar
-
-
-
572
-
619
2005-Apr
-
-
-
578
-
631
2005-May
-
-
-
584
-
642
2005-Jun
651
-
-
588
651
651
2005-Jul
-
-
-
-
644
652
2005-Aug
-
-
-
-
650
668
2005-Sep
-
-
-
-
643
668
2005-Oct
-
-
-
-
638
672
2005-Nov
-
-
-
-
641
683
2005-Dec
-
-
-
-
647
698
2006-Jan
-
-
-
-
644
704
2006-Feb
-
-
-
-
644
711
2006-Mar
-
-
-
-
635
709
2006-Apr
-
-
-
-
632
713
2006-May
-
-
-
-
630
719
2006-Jun
745
-
-
-
629
726

4.3  Estimating positions for foreign official investors

The same approach to generating between-survey position estimates and forecasts by country can be applied to generate position estimates for holdings of U.S. securities by foreign official institutions. Official investors hold an increasing share of asset-backed securities (especially ABS agency securities), and thus their net transactions should be subject to the same ABS repayment flows.17 On the other hand, measured official holdings in a new survey typically exceed those expected from summing transactions since the previous survey, even after accounting for valuation changes. This result often occurs because chains of intermediaries can obscure both the type and the country of the foreign holder in the reported transactions data.18 Figure 11 shows the survey-consistent measures of foreign official holdings of each of the four types of U.S. securities as well as the forecasted value for June 2006. The effect of official net purchases through foreign private intermediaries is especially apparent for official holdings of Treasury and agency bonds since 2002. Although the forecasted values still understate the measured official holdings in June 2006, they do so by less than the "naïve" estimates.

Figure 11.  Forecast of holdings of U.S. long-term securities by foreign officials, June 2006

Data for Figure 11 immediately follows.

Forecast from June 2005 constructed from adjusted monthly net transactions, valuation adjustments, and moving average of scaled gaps.

Data for Figure 11 - Treasury bonds

Date
Survey value
Survey date 2002-Jun: net flows (adj.)
Survey date 2003-Jun: net flows (adj.)
Survey date 2004-Jun: net flows (adj.)
Survey date 2005-Jun: net flows (adj.)
Survey date 2002-Jun: estimated position
2002-Jun
557
557
-
-
-
557
2002-Jul
-
562
-
-
-
563
2002-Aug
-
572
-
-
-
574
2002-Sep
-
581
-
-
-
585
2002-Oct
-
573
-
-
-
577
2002-Nov
-
577
-
-
-
582
2002-Dec
-
596
-
-
-
602
2003-Jan
-
594
-
-
-
601
2003-Feb
-
606
-
-
-
614
2003-Mar
-
601
-
-
-
610
2003-Apr
-
600
-
-
-
610
2003-May
-
629
-
-
-
640
2003-Jun
650
638
650
-
-
650
2003-Jul
-
-
631
-
-
640
2003-Aug
-
-
628
-
-
645
2003-Sep
-
-
655
-
-
681
2003-Oct
-
-
666
-
-
701
2003-Nov
-
-
683
-
-
727
2003-Dec
-
-
695
-
-
749
2004-Jan
-
-
725
-
-
788
2004-Feb
-
-
750
-
-
823
2004-Mar
-
-
788
-
-
871
2004-Apr
-
-
782
-
-
873
2004-May
-
-
784
-
-
884
2004-Jun
910
-
801
910
-
910
2004-Jul
-
-
-
922
-
924
2004-Aug
-
-
-
953
-
957
2004-Sep
-
-
-
963
-
969
2004-Oct
-
-
-
983
-
990
2004-Nov
-
-
-
987
-
997
2004-Dec
-
-
-
1000
-
1012
2005-Jan
-
-
-
1011
-
1025
2005-Feb
-
-
-
1012
-
1027
2005-Mar
-
-
-
991
-
1008
2005-Apr
-
-
-
1018
-
1037
2005-May
-
-
-
1034
-
1056
2005-Jun
1078
-
-
1055
1078
1078
2005-Jul
-
-
-
-
1064
1067
2005-Aug
-
-
-
-
1081
1087
2005-Sep
-
-
-
-
1062
1071
2005-Oct
-
-
-
-
1056
1067
2005-Nov
-
-
-
-
1062
1076
2005-Dec
-
-
-
-
1074
1092
2006-Jan
-
-
-
-
1074
1093
2006-Feb
-
-
-
-
1085
1108
2006-Mar
-
-
-
-
1062
1087
2006-Apr
-
-
-
-
1066
1094
2006-May
-
-
-
-
1050
1080
2006-Jun
1212
-
-
-
1046
1079

Data for Figure 11 - Agency bonds

Date
Survey value
Survey date 2002-Jun: net flows (adj.)
Survey date 2003-Jun: net flows (adj.)
Survey date 2004-Jun: net flows (adj.)
Survey date 2005-Jun: net flows (adj.)
Survey date 2002-Jun: estimated position
2002-Jun
134
134
-
-
-
134
2002-Jul
-
138
-
-
-
140
2002-Aug
-
144
-
-
-
146
2002-Sep
-
149
-
-
-
152
2002-Oct
-
149
-
-
-
153
2002-Nov
-
148
-
-
-
153
2002-Dec
-
153
-
-
-
160
2003-Jan
-
157
-
-
-
165
2003-Feb
-
163
-
-
-
172
2003-Mar
-
163
-
-
-
173
2003-Apr
-
164
-
-
-
176
2003-May
-
167
-
-
-
179
2003-Jun
180
166
180
-
-
180
2003-Jul
-
-
173
-
-
175
2003-Aug
-
-
174
-
-
178
2003-Sep
-
-
179
-
-
185
2003-Oct
-
-
179
-
-
187
2003-Nov
-
-
180
-
-
190
2003-Dec
-
-
185
-
-
197
2004-Jan
-
-
189
-
-
203
2004-Feb
-
-
194
-
-
210
2004-Mar
-
-
197
-
-
215
2004-Apr
-
-
193
-
-
213
2004-May
-
-
189
-
-
210
2004-Jun
211
-
188
211
-
211
2004-Jul
-
-
-
214
-
222
2004-Aug
-
-
-
219
-
235
2004-Sep
-
-
-
220
-
244
2004-Oct
-
-
-
220
-
251
2004-Nov
-
-
-
220
-
259
2004-Dec
-
-
-
221
-
267
2005-Jan
-
-
-
227
-
281
2005-Feb
-
-
-
228
-
289
2005-Mar
-
-
-
227
-
295
2005-Apr
-
-
-
226
-
303
2005-May
-
-
-
230
-
315
2005-Jun
324
-
-
232
324
324
2005-Jul
-
-
-
-
323
327
2005-Aug
-
-
-
-
323
331
2005-Sep
-
-
-
-
320
331
2005-Oct
-
-
-
-
318
333
2005-Nov
-
-
-
-
320
338
2005-Dec
-
-
-
-
322
344
2006-Jan
-
-
-
-
329
354
2006-Feb
-
-
-
-
331
359
2006-Mar
-
-
-
-
330
362
2006-Apr
-
-
-
-
333
369
2006-May
-
-
-
-
339
378
2006-Jun
473
-
-
-
343
385

Data for Figure 11 - Corporate bonds

Date
Survey value
Survey date 2002-Jun: net flows (adj.)
Survey date 2003-Jun: net flows (adj.)
Survey date 2004-Jun: net flows (adj.)
Survey date 2005-Jun: net flows (adj.)
Survey date 2002-Jun: estimated position
2002-Jun
18
18
-
-
-
18
2002-Jul
-
19
-
-
-
18
2002-Aug
-
20
-
-
-
19
2002-Sep
-
20
-
-
-
19
2002-Oct
-
20
-
-
-
19
2002-Nov
-
21
-
-
-
20
2002-Dec
-
21
-
-
-
20
2003-Jan
-
22
-
-
-
20
2003-Feb
-
22
-
-
-
21
2003-Mar
-
23
-
-
-
21
2003-Apr
-
23
-
-
-
21
2003-May
-
24
-
-
-
21
2003-Jun
21
24
21
-
-
21
2003-Jul
-
-
21
-
-
22
2003-Aug
-
-
21
-
-
23
2003-Sep
-
-
22
-
-
25
2003-Oct
-
-
22
-
-
27
2003-Nov
-
-
23
-
-
29
2003-Dec
-
-
24
-
-
31
2004-Jan
-
-
25
-
-
33
2004-Feb
-
-
25
-
-
35
2004-Mar
-
-
27
-
-
37
2004-Apr
-
-
26
-
-
38
2004-May
-
-
27
-
-
39
2004-Jun
41
-
27
41
-
41
2004-Jul
-
-
-
43
-
43
2004-Aug
-
-
-
44
-
45
2004-Sep
-
-
-
46
-
46
2004-Oct
-
-
-
47
-
48
2004-Nov
-
-
-
48
-
49
2004-Dec
-
-
-
50
-
52
2005-Jan
-
-
-
52
-
53
2005-Feb
-
-
-
53
-
55
2005-Mar
-
-
-
52
-
54
2005-Apr
-
-
-
53
-
55
2005-May
-