Are mortgage-backed or other asset-backed securities included in the TIC data?
Yes, foreign holdings of mortgage-backed and other asset-backed securities are included in the annual surveys of foreign holdings of U.S. securities, and transactions in asset-backed securities are included in the TIC data on transactions in long-term securities. Table 4 of the recent Survey report “Foreign Portfolio Holdings of U.S. Securities as of June 2006” indicates that at that time, about 39 percent of the long-term U.S. government agency securities held by foreigners were asset-backed securities. Of long-term corporate debt securities held by foreigners, about 29 percent were asset-backed securities. Table 8 of the June 2006 survey report provides, for the first time, additional detail on the split between foreign holdings of corporate mortgage-backed securities and other corporate asset-backed securities.
