Series analyzer for LM263063603.Q

Rest of the world; U.S. mortgage-backed securities and other U.S. asset-backed bonds; asset

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Data Source

Series begins in 2002:Q2. Second quarter levels 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' levels calculated using an interpolated ratio of the level of structured bonds to the level 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 the level 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 the level 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 levels remain consistent with their benchmark data sources. Quarterly levels are calculated as the previous quarter's level, plus the unadjusted transactions, plus the capital gain. Data for the most recent ten years show no significant seasonality.

Last edited on: 03/04/2019
Shown on: L.213 Line 46
Derived from:
FOF CodeDescription
+ FL263063603.QRest of the world; U.S. mortgage-backed securities and other U.S. asset-backed bonds; asset