証券化市場の残高調査 | 日本証券業協会

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300 400 500 600 700 800

0 2 4 6 8 10 12 14 16 18 20

Sept.2012 Mar.2013 Sept.2013 Mar.2014 Sept.2014 Mar.2015 Sept.2015 Mar.2016 Sept.2016 Mar.2017

Nu mber of issues (right scale) B alance of amount

(left scale)

¥ i i (issues)

May 31, 2017

Japan Securities Dealers Association

Securitization Market Balances Survey Report

(March 31, 2017)

This report compiles together the outstanding balances data of Japanese securitization products

from two sources. The first source is the balances data of the securitization products covered by “Securitization Market Trends Survey.” The second source is the residential mortgage-backed securities (RMBS, comprised of “JHF Monthly MBS” and “S-series MBS”) balances data of the

Japan Housing Finance Agency (JHF).

In addition, please refer to an attached sheet for the numerical data used in a chart.

1. Outline of Survey Results

The outstanding balance of the securitization product market continued to increase, totaled

¥17,938.7 billion, up ¥334.2 billion, up 1.9%, from the previous survey (September 30, 2016).

This figure reflects the recent increasing of the securitization products’ issuance amount.

Chart 1. Balance of Securitization Product Market

2. Balances by underlying asset

The outstanding balance of “RMBS” (comprised of “JHF RMBS” and “excluding JHF RMBS”)

continued to increase, totaled ¥15,690.9 billion and accounted for 87.5% of the total outstanding

balance. (The outstanding balance of “JHF RMBS” amounted to ¥12,124.4 billion and accounted for

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300 400 500 600 700 800 0.0 2.0 4.0 6.0 8.0 10.0 12.0 14.0 16.0 18.0 20.0

¥ i i (issues)

Balance of amount (left scale)

Number of issues (right scale)

Number of issues excluding J HF RMBS

(right scale)

The amount of “Shopping credits” continued to maintain a high level second only to RMBS and

totaled ¥1,193.1 billion, accounting for 6.7% of the total.

Chart 2-1. Balances by Product Category

(Units: ¥100million, issues, %)

Chart 2-2. Balances by Product Category

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 i O ig i

Corporate loans, corporate bonds, credit default swaps, and others

CMBS i M gg ii

Commercial real estate collateralized loans, commercial real estate RMBS

(excluding JHF RMBS) RMBS

(JHF RMBS)

i i M gg ii

Housing loans and loans to individuals to build commercial apartments

JHF RMBS excluding

JHF RMBS

Balance of amount

\ ii

179,387 121,244 35,665 14 3,748 1,069 351 11,931 87 5,278

Change from the Previous

\ ii

＋, ＋, －－＋－－＋, －－

%

＋. ＋. －. －. ＋ . － . － . ＋ . － . －.

% 　ｉｉ 100.0 67.6 19.9 0.0 2.1 0.6 0.2 6.7 0.0 2.9

Ref. Number of applicable

issues(present period) 686 200 270 2 32 15 6 134 3 24

Survey(number) ＋＋＋＋＋－－＋－＋

%

＋. ＋. ＋. ＋. ＋ . － . － . ＋ . － . ＋.

Sales receivables /Commercial bills Others Total

Ｍ

ＭＯ Leases

Consumer loans

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Chart 2-3. Balances by Product Category (excluding JHF RMBS)

0.0 1.0

2.0

3.0 4.0

5.0

Sept.2012 Mar.2013 Sept.2013 Mar.2014 Sept.2014 Mar.2015 Sept.2015 Mar.2016 Sept.2016 Mar.2017 RMBS(excluding JHF RMBS)

0.0 0.5 1.0

Sept.2012 Mar.2013 Sept.2013 Mar.2014 Sept.2014 Mar.2015 Sept.2015 Mar.2016 Sept.2016 Mar.2017 CMBS

0.0 0.1 0.2

0.3 0.4 0.5

Sept.2012 Mar.2013 Sept.2013 Mar.2014 Sept.2014 Mar.2015 Sept.2015 Mar.2016 Sept.2016 Mar.2017 CDO

0.0

0.1

0.2 0.3

Sept.2012 Mar.2013 Sept.2013 Mar.2014 Sept.2014 Mar.2015 Sept.2015 Mar.2016 Sept.2016 Mar.2017 Le ases

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Continuation of Chart 2-3. Balances by Product Category (excluding JHF RMBS) (¥trillion)

0.0 0.1 0.2

Sept.2012 Mar.2013 Sept.2013 Mar.2014 Sept.2014 Mar.2015 Sept.2015 Mar.2016 Sept.2016 Mar.2017 Consumer loans

0.0 0.5

1.0 1.5

Shopping credits

0.00

0.02

0.04

0.06 0.08

Sept.2012 Mar.2013 Sept.2013 Mar.2014 Sept.2014 Mar.2015 Sept.2015 Mar.2016 Sept.2016 Mar.2017 Sales receivables/Commercial bills

0.0 0.2 0.4 0.6 0.8 1.0

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3. Balances by Product Type

The outstanding balance of “Bonds” (comprised of “JHF RMBS” and “excluding JHF RMBS”)

continued to increase, totaled ¥13,182.3 billion and accounted for 73.5% of the total outstanding

balance.

Chart 3-1. Balances by Issuance Category

Chart 3-2. Balances by Issuance Category

10.4 10.6 10.8 10.9 11.0 11.0 11.2 11.7 12.0 12.1 1.8 1.6 1.5 1.5 1.5 1.5 1.3

1.2 1.1 1.1 5.4 _4.9 _4.7 _4.4

4.0 4.2 4.2 4.3 4.3

4.5 0.3

0.3 _0.3 _0.4

0.3 0.4 0.4

0.4 0.3

0.3

0 2 4 6 8 10 12 14 16 18 20

Others

Trust beneficiary rights

RMBS

(excluding JHF RMBS)

RMBS (JHF RMBS) (¥trillion)

(Units: \100 million, %)

JHF RMBS excluding JHF RMBS Balance of amount

\ i i

179,387 44,549 121,244 10,579 3,016

\ i i

＋ , ＋ , ＋ , －＋

%

＋ . ＋ . ＋ . － . ＋ .

Note: "Others" include asset backed loans (ABL) and equity instruments, etc.

Total Trust

beneficiary rights

Bonds

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＜Notes for the Survey＞

1. Issuance dates

(i) JHF RMBS

All existing JHF RMBS (including Government Housing Loan Corporation Mortgage-backed

Securities) are covered by this survey.

(ii) Securitization products other than JHF RMBS

Securitization products reported by the “Securitization Market Trends Survey”1 (issues made

since April 2004).

2. Coverage

(i) Reporting is voluntary.

(ii) Issues securitized through programs including asset-backed commercial paper are not covered.

(iii) Issues that used the derivative format or loan format2 are covered when more than one tranches

of either securities or trust beneficiary rights are included in the issues. (If only the loan format is

used, the issue is not covered.)

3. Others

(i) In the case of securitization products with trust beneficiary rights as their underlying assets, in

principle, only the reported securitized products are covered; the underlying trust beneficiary rights

are outside the scope of coverage.

(ii) Products that have reached their final legal maturity date are deemed to have no balance.

(iii) In the case of securitization products issued during the base month for reporting, issuance

amounts are considered as balances in basic date.

(iv) We reviewed some of the underlying assets classification from a survey based on September 30,

2016. Please refer to the "Explanation Materials" in the attachment for details.

Note 1: The survey was conducted by Bank of Japan from May 2004 to March 2006 and has been conducted by the

Japan Securities Dealers Association (JSDA) and the Japanese Bankers Association (JBA) since April 2006.