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Found originally via Patrick.net
http://www.federalreserve.gov/pubs/i...39/ifdp939.pdf
A mention of 20% net losses is also in the report, but of course the final tally may be much much higher given the present state of US housing.
http://www.federalreserve.gov/pubs/i...39/ifdp939.pdf
To measure gross foreign exposure, we must separate it into two components.
The first is foreign holdings of ABS and primary assets issued by U.S. entities. The second is foreign holdings of ABS issued by foreign entities.
To capture foreign holdings of ABS issued by U.S. residents, we use data from the “Report on Foreign Portfolio Holdings of U.S. Securities as of June 30, 2007” (Department of the Treasury, 2008). In the diagram above, these correspond to the liabilities of the U.S. originator and U.S. entity D1 vis-ŕ-vis foreign entities F1 and F2, respectively. Holdings of the primary assets are based on monthly Treasury International Capital (TIC) reports. Table 1 summarizes our exposure estimates, and table 2 provides the details on these estimates. As of June 2007, our estimate for this first component is $1.2 trillion, as shown in line 10 of table 2 (middle column).
The first is foreign holdings of ABS and primary assets issued by U.S. entities. The second is foreign holdings of ABS issued by foreign entities.
To capture foreign holdings of ABS issued by U.S. residents, we use data from the “Report on Foreign Portfolio Holdings of U.S. Securities as of June 30, 2007” (Department of the Treasury, 2008). In the diagram above, these correspond to the liabilities of the U.S. originator and U.S. entity D1 vis-ŕ-vis foreign entities F1 and F2, respectively. Holdings of the primary assets are based on monthly Treasury International Capital (TIC) reports. Table 1 summarizes our exposure estimates, and table 2 provides the details on these estimates. As of June 2007, our estimate for this first component is $1.2 trillion, as shown in line 10 of table 2 (middle column).
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To capture foreign holdings of ABS issued by other foreign entities (that is, the assets of F3 in the diagram), we first determine the total amount of foreign-issued ABS (which could be held by U.S. or foreign entities), and then subtract the portion that is held by U.S. residents. In table 2, this number can be obtained by adding lines 11 and 14, then subtracting line 17. The result is roughly $1.4 trillion.7
To capture foreign holdings of ABS issued by other foreign entities (that is, the assets of F3 in the diagram), we first determine the total amount of foreign-issued ABS (which could be held by U.S. or foreign entities), and then subtract the portion that is held by U.S. residents. In table 2, this number can be obtained by adding lines 11 and 14, then subtracting line 17. The result is roughly $1.4 trillion.7
Netting out both of these claims from foreign holdings of U.S.-issued ABS and primary assets, we estimate that net foreign exposure (line 24) was roughly $0.8 trillion as of June 2007.