May 31, 2016 Japan Securities Dealers Association Japanese Bankers Association
Securitization Market Trends Survey Report (Issuance Trends in the Second 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 second half of fiscal 2015, the period from October 1, 2015 to March 31, 2016.
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 second half of fiscal 2015, both the amount and number of issues increased year on year. The total issuance amount was ¥1,912.6 billion, increasing 23.2% from the second half of fiscal 2014, while the number of issues was 67, up 8.1% year on year. This amount was the largest since the second half of fiscal 2008 (see Chart 1).
Reference: The total issuance amount of corporate straight bonds during the second half of fiscal 2015 was ¥3,491.0 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 1.9 138 158 145 167 146 168 134 127 110 94 79 67
54 53 48
43 38 52 53 74 62 62 58 67 0 30 60 90 120 150 180 0 1 2 3 4 5 6
04/1H 2H 05/1H 2H 06/1H 2H 07/1H 2H 08/1H 2H 09/1H 2H 10/1H 2H 11/1H 2H 12/1H 2H 13/1H 2H 14/1H 2H 15/1H 2H
（¥trillion) （issues）
Number of issues
(right scale)
Issuance amount
II. Issuance Trends by Underlying Assets
Looking at the securitization product issuance amount for the second half of fiscal 2015 by
underlying assets, the amount of “RMBS,” “CDO,” “Consumer loans,” “Shopping credits” and “Sales receivables/Commercial bills” increased, whereas in contrast, “CMBS,” “Leases” and “Others” decreased. Above all, the issuance amount of “RMBS” was the largest since the second half of fiscal 2011 (see Chart 2).
Chart 2. Securitization Product Issuance Amount by Underlying Assets
※YoY change in CDO 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
Issuance amount（\100 million） 13,472 152 268 168 90 4,587 373 16 19,126
Year on year change（\100 million) ＋3,321 ▲122 ＋268 ▲739 ＋25 ＋845 ＋34 ▲32 3,601
Year on year change（%) ＋32.7 ▲44.4 - (※) ▲81.5 ＋38.5 ＋22.6 ＋10.0 ▲67.3 ＋23.2 % Ｃｏｍｐｏｓｉｔｉｏｎ 70.4 0.8 1.4 0.9 0.5 24.0 2.0 0.1 100.0
Ref. Number of issues(present period) 19 2 5 2 1 28 8 2 67
〃 （previous period） 21 2 1 1 1 21 8 3 58
〃 （same period of last year） 21 2 0 5 1 23 7 3 62
0 1 2 3 4 5 6
04/1H 2H 05/1H 2H 06/1H 2H 07/1H 2H 08/1H 2H 09/1H 2H 10/1H 2H 11/1H 2H 12/1H 2H 13/1H 2H 14/1H 2H 15/1H 2H （¥trillion）
Others Foundation funds, subordinated-loan, business cash flow,
medical receivables, and others
Sales receivables/Commercial bills Sales receivables, commercial bills
III. Issuance Trends by Product Type
Looking at the securitization product issuance amount (¥1,912.6 billion) by product type, the amount of “Bonds” was ¥1,351.0 billion (54.1% of the total), followed by “Trust beneficiary rights” with ¥794.6 billion (41.5%) (see Chart 3).
Chart 3. Securitization Product Issuance Amount by Product Type
IV. Issuance Trends by Repayment Method
Looking at the securitization issuance amount (¥1,912.6 billion) by repayment method, the amount of “Pass-through repayments” was ¥1,690.2 billion (88.4% of the total) (see Chart 4).
Chart 4. Securitization Product Issuance Amount by Repayment Method 0
1 2 3 4 5 6
04/1H 2H 05/1H 2H 06/1H 2H 07/1H 2H 08/1H 2H 09/1H 2H 10/1H 2H 11/1H 2H 12/1H 2H 13/1H 2H 14/1H 2H 15/1H 2H
（¥trillion）
Others
Bonds
Trust beneficiary rights
0 1 2 3 4 5 6
04/1H 2H 05/1H 2H 06/1H 2H 07/1H 2H 08/1H 2H 09/1H 2H 10/1H 2H 11/1H 2H 12/1H 2H 13/1H 2H 14/1H 2H 15/1H 2H
（¥trillion）
Not noted
Installment repayments
Lump sum repayments at maturity
V. Issuance Trends by Planned/Average Term to Maturity
Looking at the securitization issuance amount (¥1,912.6 billion) by planned/average term to maturity, the amount of “Not noted” was ¥1,824.0 billion (95.4% of the total), followed by “1 years to 3 years” with ¥73.1 billion (3.8%) (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 (¥1,912.6 billion) by credit rating, the amount of “AAA” was ¥1,681.1 billion (87.9% of the total), followed by “A” with ¥142.5 billion (7.5%) (see Chart 6).
Chart 6. Securitization Product Issuance Amount by Credit Rating 0
1 2 3 4 5 6
04/1H 2H 05/1H 2H 06/1H 2H 07/1H 2H 08/1H 2H 09/1H 2H 10/1H 2H 11/1H 2H 12/1H 2H 13/1H 2H 14/1H 2H 15/1H 2H
（¥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
3 4 5 6
（¥trillion）
Not noted Short-term rating
＜supplementary information＞
（ⅰ）RMBS Issuance Trends by Originator
Looking at the RMBS issuance amount (¥1,347.2 billion) by originator, the amount of “Japan Housing Finance Agency” (JHF) was ¥1,008.6 billion (74.9% of the total), followed by “Others” with ¥264.1 billion (19.6%) (see Chart ⅰ).
Chart ⅰ. RMBS Issuance Amount by Originator
（ⅱ）RMBS Issuance Trends by Product Type
Looking at the RMBS issuance amount (¥1,347.2 billion) by product type, the amount of “Bonds” was ¥1,008.6 billion (74.9% of the total), followed by “Trust beneficiary rights” with ¥338.6 billion (25.1%) (see Chart ⅱ).
Chart ⅱ. RMBS Issuance Amount by Product Type
0 1 2 3 4
04/1H 2H 05/1H 2H 06/1H 2H 07/1H 2H 08/1H 2H 09/1H 2H 10/1H 2H 11/1H 2H 12/1H 2H 13/1H 2H 14/1H 2H 15/1H 2H （¥trillion）
0 1 2 3 4
04/1H 2H 05/1H 2H 06/1H 2H 07/1H 2H 08/1H 2H 09/1H 2H 10/1H 2H 11/1H 2H 12/1H 2H 13/1H 2H 14/1H 2H 15/1H 2H
（¥trillion）
Others
Nonbanks
Regional banks
Commercial /trust banks
Japan Housing Finance Agency
Others
Bonds
Trust beneficiary rights
（ⅲ）RMBS Issuance Trends by Repayment Method
Looking at the RMBS issuance amount (¥1,347.2 billion) by repayment method, all repayments were “Pass-through repayments” (see Chart ⅲ).
Chart ⅲ. RMBS Issuance Amount by Repayment Method
（ⅳ）Launch Spread at Issuance (JHF Monthly MBS)
The launch spread (the spread between the coupon rate of “JHF Monthly MBS” and the yield of the most recently priced 10-year reference JGB) for “JHF Monthly MBS” remained at around 0.55% during October 2015 to February 2016, while contracted in March 2016 (see Chart ⅳ).
Chart ⅳ. JHF Monthly RMBS Launch Spread
0 1 2 3 4
04/1H 2H 05/1H 2H 06/1H 2H 07/1H 2H 08/1H 2H 09/1H 2H 10/1H 2H 11/1H 2H 12/1H 2H 13/1H 2H 14/1H 2H 15/1H 2H
（¥trillion）
Not noted
Installment repayments
Lump sum repayments at maturity
Pass-through repayments
