November 30, 2015 Japan Securities Dealers Association Japanese Bankers Association
Securitization Market Trends Survey Report (Issuance Trends in the First Half of Fiscal 2015)
This report is a summary of the results of the “Securitization Market Trends Survey” (see JSDA’s website at <http://www.jsda.or.jp/en/index.html>), conducted monthly by the Japan Securities Dealers Association (JSDA) and the Japanese Bankers Association (JBA), for the first half of fiscal 2015, the period from April 1, 2015 to September 30, 2015.
In addition, please refer to an attached sheet for the numerical data used in a chart.
I. Overall Issuance Trends for Securitization Products
Looking at the issuance trends for securitization products in the first half of 2015, the amount of issues increased year on year. Total issuance amount was ¥1,696.6 billion, increasing 54.8% from the first half of fiscal 2014, while the number of issues was 58, down 6.5% year on year (Chart 1).
Ref.: The total issuance amount of corporate straight bonds during the first half of fiscal 2015 was ¥3,450.2 billion (provisional figure).
Chart 1. Securitization Product Issuance Amount and Number of Issues
2.3
2.9 3.4
4.8 4.6 5.2
3.4 3.4 2.3
1.4 1.6 1.3 1.2 1.4 1.9 1.5 1.5 1.3 1.3 1.4 1.1 1.6 1.7 138 158 145 167 146 168 134 127 110 94 79 67
54 53 48
43 38 52 53 74 62 62 58 0 30 60 90 120 150 180 0 1 2 3 4 5 6 04/1H04/2H05/1H05/2H06/1H06/2H07/1H07/2H08/1H08/2H09/1H09/2H10/1H10/2H11/1H11/2H12/1H12/2H13/1H13/2H14/1H14/2H15/1H
¥trillion) issues
Number of issues
(right scale) Issuance amount
II. Issuance Trends by Underlying Assets
Looking at the securitization product issuance amount for the first half of fiscal 2015 by underlying assets, the all amount except “Others” increased. Above all, the amount of “RMBS” was ¥504 billion and accounted for most of the total of year on year change (see Chart 2).
Chart 2. Securitization Product Issuance Amount by Underlying Assets
※YoY change in CMBS, Leases and Consumer loans is shown as “—“ because there were no issues in the same period last year
RMBS CMBS CDO Leases Consumer loans
Shopping credits
Sales receivables/
Commercial bills
Others Total
I \ 13,275 287 135 128 323 1,929 362 527 16,966
Y \ ＋ ＋ ＋ ＋ ＋ ＋ ＋ ▲ ＋
Y % ＋ ※ ＋ ※ ※ ＋ ＋ ▲ ＋
% Ｃ ｉ ｉ 78.2 1.7 0.8 0.8 1.9 11.4 2.1 3.1 100.0
Ref. Number of issues(present period) 21 2 1 1 1 21 8 3 58
〃 21 2 0 5 1 23 7 3 62
〃 20 0 3 0 0 18 17 4 62
0 1 2 3 4 5 6
04/1H04/2H05/1H05/2H06/1H06/2H07/1H07/2H08/1H08/2H09/1H09/2H10/1H10/2H11/1H11/2H12/1H12/2H13/1H13/2H14/1H14/2H15/1H ¥trillion)
Others Foundation funds, subordinated-loan, business cash flow, medical receivables, and others
Sales receivables/Commercial bills Sales receivables, commercial bills
Shopping credits Shopping loans, credit card loans, automobile loans
Consumer loans Consumer loans, bank card loans
Leases Lease credits
CDO O
Corporate loans, corporate bonds, credit default swaps, and others
CMBS M
Commercial real estate collateralized loans, commercial real estate
RMBS M
III. Issuance Trends by Product Type
Looking at the securitization product issuance amount (¥1,696.6 billion) by product type, “Bonds” accounted for 55.1% (¥935.1 billion), followed by “Trust beneficiary rights” with 42.6% (¥723.4 billion) (see Chart 3).
Chart 3. Securitization Product Issuance Amount by Product Type
IV. Issuance Trends by Repayment Method
Looking at the securitization issuance amount (¥1,696.6 billion) by repayment method, “Pass-through repayments” accounted for 85.9% (¥1,457.8 billion) of the total (see Chart 4).
Chart 4. Securitization Product Issuance Amount by Repayment Method
0 1 2 3
4
5 6
04/1H 04/2H 05/1H 05/2H 06/1H 06/2H 07/1H 07/2H 08/1H 08/2H 09/1H 09/2H 10/1H 10/2H 11/1H 11/2H 12/1H 12/2H 13/1H 13/2H 14/1H 14/2H 15/1H
Others
Bonds
Trust beneficiary rights
0 1 2 3 4
5
6
04/1H 04/2H 05/1H 05/2H 06/1H 06/2H 07/1H 07/2H 08/1H 08/2H 09/1H 09/2H 10/1H 10/2H 11/1H 11/2H 12/1H 12/2H 13/1H 13/2H 14/1H 14/2H 15/1H
Not noted
Installment repayments
Lump sum repayments at maturity
V. Issuance Trends by Planned/Average Term to Maturity
Looking at the securitization issuance amount (¥1,696.6 billion) by planned/average term to maturity, “Not noted” accounted for 94.4% (¥1,600.8 billion), followed by “3 years to 5 years ” with 3.0% (¥50.9 billion) (see Chart 5).
Chart 5. Securitization Product Issuance Amount by Planned/Average Term to Maturity
VI. Issuance Trends by Credit Rating
Looking at the securitization issuance amount (¥1,696.6 billion) by credit rating, “AAA” accounted for 80.3% (¥1,361.8 billion), followed by “A” with 9.6% (¥163.2 billion) (see Chart 6).
Chart 6. Securitization Product Issuance Amount by Credit Rating
0 1 2 3 4 5 6
04/1H 04/2H 05/1H 05/2H 06/1H 06/2H 07/1H 07/2H 08/1H 08/2H 09/1H 09/2H 10/1H 10/2H 11/1H 11/2H 12/1H 12/2H 13/1H 13/2H 14/1H 14/2H 15/1H 0
1 2 3 4 5 6
04/1H 04/2H 05/1H 05/2H 06/1H 06/2H 07/1H 07/2H 08/1H 08/2H 09/1H 09/2H 10/1H 10/2H 11/1H 11/2H 12/1H 12/2H 13/1H 13/2H 14/1H 14/2H 15/1H
Not noted
7 years or more
5 years to 7 years
3 years to 5 years
1 year to 3 years
Under 1 year
Not noted
Short-term rating
CCC
B
BB
BBB
A
AA
＜supplementary information＞
RMBS Issuance Trends by Originator
Looking at the RMBS issuance amount (¥1,327.5 billion) by originator,” Japan Housing Finance Agency” (JHF) accounted for 65.3% (¥866.7 billion), followed by “Others” with 28.1% (¥373.5 billion) (see Chart ).
Chart . RMBS Issuance Amount by Originator
RMBS Issuance Trends by Product Type
Looking at the RMBS issuance amount (¥1,327.5 billion) by product type, “Bonds” accounted for 65.3% (¥866.7 billion), followed by “Trust beneficiary rights” with 34.7% (¥460.8 billion) (see Chart
).
Chart . RMBS Issuance Amount by Product Type
0 1 2 3 4
04/1H 04/2H 05/1H 05/2H 06/1H 06/2H 07/1H 07/2H 08/1H 08/2H 09/1H 09/2H 10/1H 10/2H 11/1H 11/2H 12/1H 12/2H 13/1H 13/2H 14/1H 14/2H 15/1H Others
Bonds
Trust beneficiary rights
0 1 2 3 4
04/1H 04/2H 05/1H 05/2H 06/1H 06/2H 07/1H 07/2H 08/1H 08/2H 09/1H 09/2H 10/1H 10/2H 11/1H 11/2H 12/1H 12/2H 13/1H 13/2H 14/1H 14/2H 15/1H Others
Nonbanks
Regional banks
Commercial /trust banks
Japan Housing Finance Agency
Note; The breakdown of "Others" described to "Appendix".
RMBS Issuance Trends by Repayment Method
Looking at the RMBS issuance amount (¥1,327.5 billion) by repayment method, all repayments were “Pass-through repayments” (see Chart ).
Chart . RMBS Issuance Amount by Repayment Method
Launch Spread at Issuance (JHF Monthly MBS)
The launch spread (the spread between the coupon rate of “JHF Monthly MBS” and the yield of 10-year reference JGB which is most recently priced) for “JHF Monthly MBS” widened during July 2015 to September 2015 (see Chart ).
Chart . JHF Monthly RMBS Launch Spread
0.2 0.3 0.4 0.5 0.6
└ 12/2H ┘└ 13/1H ┘└ 13/2H ┘└ 14/1H ┘└ 14/2H ┘└ 15/1H ┘
％
0 1 2 3 4
04/1H 04/2H 05/1H 05/2H 06/1H 06/2H 07/1H 07/2H 08/1H 08/2H 09/1H 09/2H 10/1H 10/2H 11/1H 11/2H 12/1H 12/2H 13/1H 13/2H 14/1H 14/2H 15/1H Not noted
Installment repayments
Lump sum repayments at maturity
