Board of Governors of the Federal Reserve System

Series begins in 2002:Q2. Second quarter stocks outstanding benchmarked to data on holdings of asset-backed corporate bond securities by all foreigners, compiled by the FR Board, IF division from data in the Survey of Foreign Portfolio Investment in the U.S. From 2002:Q2 to 2009:Q1, other quarters' stocks outstanding calculated using an interpolated ratio of the stocks outstanding of structured bonds to the stocks outstanding of all rest of the world corporate bond holdings (FOF series FL263063005.q). From 2002:Q2 to 2004:Q4, the unadjusted transactions are the change in stocks outstanding and capital gains are zero. From 2005:Q1 to 2009:Q1, capital gains are calculated using a index of the value of U.S. ABS provided by the FR Board, IF division. The unadjusted transactions are the change in stocks outstanding less the capital gains. From 2009:Q2 forward, unadjusted transactions are benchmarked to data on foreign net purchases of U.S. asset-backed private-label/corporate bonds adjusted for estimated ABS prepayments for foreign held U.S. ABS from TIC . Capital gains are calculated using the valuation index mentioned above, adjusted such that the unadjusted transactions and second quarter stocks outstanding remain consistent with their benchmark data sources. Quarterly stocks outstanding are calculated as the previous quarter's stocks outstanding, plus the unadjusted transactions, plus the capital gain. Data for the most recent ten years show no significant seasonality.