May 31, 2013 Japan Securities Dealers Association Japanese Bankers Association
Securitization Market Trends Survey Report —Issuance Trends in the Fiscal 2012—
The following report is a summary of the results of the “Securitization Market Trends Survey” (see JSDA’s website at <http:www.jsda.co.jp>), conducted monthly by the Japan Securities Dealers Association (JSDA) and the Japanese Bankers Association (JBA), for the fiscal 2012, the period from April 1, 2012 to March 31, 2013. For chart data, please see the appendix “Chart Data at a Glance.”
I. Overall Issuance Trends for Securitization Products
Looking at the issuance trends for securitization products in the fiscal 2012, both amount and number of issues declined year on year. Total issuance amount was ¥2,864.1billion, declining 16% from the fiscal 2011, while the number of issues was 90, down 1% year on year, and the lowest figure since the survey started (Chart 1).
Chart 1. Securitization Product Issuance Amount and Number of Issues
Ref.: The total issuance amount of corporate straight bonds
The fiscal 2012 (provisional figure) (¥trillion)
5.3
8.2
9.8
6.8
3.7
2.9 2.6 3.4 2.9
296
312 314 261
204
146
107
91
90
0 40 80 120 160 200 240 280 320
0 2 4 6 8 10 12
FY2004 FY2005 FY2006 FY2007 FY2008 FY2009 FY2010 FY2011 FY2012
（¥trillion) （issues）
Issuance amount
(left scale) Number of issues(right scale)
FY2004 FY2005 FY2006 FY2007 FY2008 FY2009 FY2010 FY2011 FY2012
II. Issuance Trends by Underlying Assets
Looking at the securitization product issuance amount for the fiscal 2012 by underlying assets, the amount of shopping credits increased for the first time in four years, and receivables/commercial bills increased for three consecutive year. In contrast, RMBS, CMBS, leases, consumer loans, and others
decreased. There were no CDO issues (see Chart 2).
Chart 2. Securitization Product Issuance Amount by Underlying Assets
Reference: The specific types of underlying assets for each securitization product category are as follows. RMBS (Residential Mortgage Backed Securities): Housing loans and loans to individuals to build
commercial apartments
CMBS (Commercial Mortgage Backed Securities): Commercial real estate collateralized loans, commercial real estate
CDO (Collateralized Debt Obligations): Corporate loans, corporate bonds, credit default swaps, and others Leases: Lease credits
Consumer loans: Consumer loans, bank card loans
Shopping credits: Shopping loans, credit card loans, automobile loans Sales receivables/Commercial bills: Sales receivables, commercial bills
RMBS CMBS CDO Leases Consumer
loans
Shopping credits
Sales receivables/
Commercial bills
Others Total
Issu an c e amo u n t（ \ 1 0 0 millio n ） 20,888 293 0 699 650 3,186 897 2,028 28,641
Ye ar o n ye ar c h an ge （ \ 1 0 0 millio n ) ▲4 ,9 1 7 ▲1 ,5 5 7 ▲1 2 5 ▲2 7 0 ▲2 0 ＋1,552 ＋1 8 8 ▲2 7 3 ▲5 ,4 2 2
Ye ar o n ye ar c h an ge （ % ) ▲1 9 ▲84 ▲100 ▲28 ▲3 ＋95 ＋2 6 ▲12 ▲16
% Ｃｏｍｐｏｓ ｉｔｉｏｎ 73 1 0 2 2 11 3 7 100
Ref. Number of issues 27 2 0 3 3 21 30 4 90
0 1 2 3 4 5 6 7 8 9 10
FY2004 FY2005 FY2006 FY2007 FY2008 FY2009 FY2010 FY2011 FY2012 （¥trillion)
Others
Sales receivables/Commercial bills
Shopping credits
Consumer loans
Leases
CDO
CMBS
RMBS Issuance Trends (i) By Originator
Looking at the RMBS issuance amount (¥2,088.8 billion) by originator, the Japan Housing Finance Agency (JHF) accounted for 85% (¥1,771.7 billion) of the total (Chart 3).
Chart 3. RMBS Issuance Amount by Originator
(ii) Product Type
Looking at the RMBS issuance amount (¥2,088.8 billion) by product type, public and corporate bonds accounted for 87% (¥1,826.7 billion) of the total (see Chart 4).
Chart 4. RMBS Issuance Amount by Product Type
0 1 2 3 4 5 6
FY2004 FY2005 FY2006 FY2007 FY2008 FY2009 FY2010 FY2011 FY2012
（¥trillion)
Others
Nonbanks
Regional banks
Commercial /trust banks
Japan Housing Finance Agency
0 1 2 3 4 5 6
FY2004 FY2005 FY2006 FY2007 FY2008 FY2009 FY2010 FY2011 FY2012
（¥trillion)
Others
Bonds
(iii) Repayment Method
Looking at the RMBS issuance amount (¥2,088.8 billion) by repayment method, all repayments were pass-through repayments (see Chart 5).
Chart 5. RMBS Issuance Amount by Repayment Method
(iv) Spread at Issuance
The launch spread (difference between the RMBS coupon rate and Japanese government bond yield at time of fixing issuing conditions) for JHF RMBS (monthly issuance bonds) contracted to November 2012, expanded to February 2013 and contracted in March.(see Chart 6).
Chart 6. JHF RMBS Launch Spread
*The S Series (The previous housing loan corporation securitized house loan) have not been issued 0
1 2 3 4 5 6
FY2004 FY2005 FY2006 FY2007 FY2008 FY2009 FY2010 FY2011 FY2012
（¥trillion)
Not noted
Installment repayments
Lump sum repayments at maturity
Pass-through repayments
0.2 0.3 0.4 0.5 0.6 0.7 0.8 0.9 1.0 1.1 1.2 1.3
└FY 2004 ┘└FY 2005 ┘└FY 2006 ┘└FY 2007 ┘└FY 2008┘└FY 2009┘└FY 2010 ┘└FY 2011 ┘└FY 2012 ┘ （％）
S Series※
III. Issuance Trends by Product Type
Looking at the securitization product issuance amount (¥2,864.1 billion) by product type, bonds accounted for 71% (¥2,026.7 billion), followed by trust beneficiary rights with 24% (¥ 697.0billion) (see Chart 7).
Chart 7. Securitization Product Issuance Amount by Product Type
IV. Issuance Trends by Repayment Method
Looking at the securitization issuance amount (¥2,864.1 billion) by repayment method, pass-through repayments accounted for 82% (¥2,351.8 billion) (see Chart 8).
Chart 8. Securitization Product Issuance Amount by Repayment Method
0 1 2 3 4 5 6 7 8 9 10
FY2004 FY2005 FY2006 FY2007 FY2008 FY2009 FY2010 FY2011 FY2012 （¥trillion)
Not noted
Installment repayments
Lump sum repayments at maturity
Pass-through repayments 0
1 2 3 4 5 6 7 8 9 10
FY2004 FY2005 FY2006 FY2007 FY2008 FY2009 FY2010 FY2011 FY2012
（¥trillion)
Others
Bonds
V. Issuance Trends by Planned/Average Term to Maturity
Looking at the securitization issuance amount (¥2,864.1 billion) by planned/average term to maturity, “Not noted” accounted for 86% (¥2,466.9 billion), followed by “5 years to 7 years” with 7% (¥200.0 billion) and “1 year to 3 years” with 6% (¥168.6 billion) (see Chart 9).
Chart 9. Securitization Product Issuance Amount by Planned/Average Term to Maturity
VI. Issuance Trends by Credit Rating
Looking at the securitization issuance amount (¥2,864.1 billion) by credit rating, AAA accounted for 87% (¥2,481.0 billion) (see Chart 10).
Chart 10. Securitization Product Issuance Amount by Credit Rating
0 1 2 3 4 5 6 7 8 9 10
FY2004 FY2005 FY2006 FY2007 FY2008 FY2009 FY2010 FY2011 FY2012 （¥trillion)
Not noted
7 years or more
5 years to 7 years
3 years to 5 years
1 year to 3 years
Under 1 year
1 2 3 4 5 6 7 8 9 10
（¥trillion)
Not noted
Short-term rating
CCC
B
BB
BBB
A
AA
