Funding Agreement-Backed Securities (FABS)

The data presented in this EFA project provide additional detail on funding agreement-backed securities (FABS). FABS are securities that are backed by a funding agreement, which is a deposit-type contract, issued by life insurance companies, that promises a stream of predictable fixed payments over a specified period of time. As described in Holmquist and Perozek (2016), the Financial Accounts of the United States report the aggregate amount of outstanding FABS at a quarterly frequency. This EFA project expands upon the Financial Accounts data by providing daily data for different types of FABS that vary by maturity at issue and embedded optionality. In particular, the EFA provides daily data on the three main types of FABS issues: FABN with fixed terms of more than 397 days, FABN with fixed terms less than or equal to 397 days, and FABN with embedded put options such as XFABN. In addition, the EFA provides quarterly data on FABCP and FABR. The more granular data presented in this EFA project help to provide a clearer picture of developments in this important funding market.

Historical Data

Daily amount outstanding of funding agreement-backed securities by maturity: CSV | Data Dictionary

Documentation

Staff calculations are based on data collected from Bloomberg Finance LP, and Moody’s ABCP Program Index. Data on funding agreement-backed securities are available beginning with August 1997. FABCP daily estimates are equal to previous quarter-end levels.

References

Foley-Fisher, Nathan C., Borghan Narajabad, and Stephane H. Verani (2015). “Self-fulfilling Runs: Evidence from the U.S. Life Insurance Industry,” Finance and Economics Discussion Series 2015-032. Board of Governors of the Federal Reserve System (U.S).

Holmquist, Elizabeth B., and Maria G. Perozek (2016). “Funding Agreement-Backed Securities in the Financial Accounts of the United States” FEDS Notes. Washington: Board of Governors of the Federal Reserve System, March 3, 2016.

Foley-Fisher, Nathan C., Ralf R. Meisenzahl, Borghan Narajabad, Maria G. Perozek, and Stephane H. Verani (2016). “Funding Agreement-Backed Securities in the Enhanced Financial Accounts” FEDS Notes. Washington: Board of Governors of the Federal Reserve System, August 5, 2016

Last Update: March 22, 2024