The Treasury has added detail to its monthly report on purchases of mortgage bonds by foreign investors, but it doesn't go far enough, market participants say.

Since September, the Treasury Department has released the total purchases and sales of mortgage bonds guaranteed by Fannie Mae (FNM) and Freddie Mac (FRE) by this group of key investors.

While this is a change from its previous practice of lumping together all of the mortgage bond and debt securities under the label "agency securities," it still doesn't provide the level of clarity the market seeks.

"We would like to see numbers by country," said Art Frank, mortgage strategist with Deutsche Bank.

Frank said the Treasury started providing this additional detail in the September report after persistent requests from market participants. But a lack of detail on the countries where buyers reside and the types of bonds purchased - whether issued Ginnie Mae or Fannie and Freddie bonds - makes the change less noteworthy.

The request for more detailed information comes at a time when the market is preparing for the Federal Reserve to gradually exit from its role as the dominant buyer of these bonds. In that context, participants have tried to determine potential future buyers who can at least partially make up the Fed's share of the market.

Foreign investors, especially Asian central banks and sovereign funds, used to hoard large quantities of mortgage bonds before the credit crunch. However, since 2008, these investors have turned sellers instead of buyers.

The latest data, for instance, showed that foreign investors sold $41.7 billion in July, the most recent month for which data are available. That is quite a bit less than the $51.5 billion sold in June.

While this is a positive sign, it is offset by news that overseas buyers bought only $53 billion of mortgage bonds in July, one-fifth lower than the previous month's tally of $66.4 billion.

In any case, the lack of clarity on whether these purchases were of Fannie and Freddie guaranteed bonds, or Ginnie bonds, frustrates market participants.

It's a useful breakdown of numbers, since anecdotally participants believe that foreign investors are hoarding up on Ginnie bonds, but selling their Fannie and Freddie holdings.

-By Prabha Natarajan, Dow Jones Newswires; 212-416-2468; prabha.natarajan@dowjones.com