証券化市場の動向調査 | 日本証券業協会

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November 30, 2017 J apan S ecurities D ealers A ssociation J apanese B ankers A ssociation

S ecuritization Market T rends S urvey R eport ( Issuance T rends in the F irst Half of F iscal 2017)

T his report is a summary of the results of the “S ecuritization Market T rends S urvey” (see J S DA ’s website at <http://www.jsda.or.jp/en/index.html>), conducted monthly by the J apan S ecurities D ealers A ssociation (J S D A ) and the J apanese B ankers A ssociation (J B A ), for the first half of fiscal 2017, the period from A pril 1,2017 to S eptember 30,2017.

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

I. Overall Issuance T rends for S ecuritization Products

L ooking at the issuance trends for securitization products in the first half of fiscal 2017, the amount declined year-on-year. T he total issuance amount was ¥ 2,261.2 billion, declining 2.6% from the first half of fiscal 2016,while the number of issues was 73, up 19.7% year-on-year. ( see C hart 1).

R eference: T he total issuance amount of corporate straight bonds during the first half of fiscal 2017 was ¥ 5,976.5 billion (provisional figure).

C hart 1. S ecuritization Product Issuance A mount and Number of Issues

2.3 2.9

3.4 4.8

4.6 5.2

3.43.4 2.3

1.4 1.6

1.3₁_.₂1.4 1.9

1.51.5

1.31.31.4 1.1

1.61.7 1.9

2.32.32.3 138

158 145

167

146 168

134 127

110 94

79 67

5453 48

4338 5253

74 6262

58 67₆₁

75 73 0 30 60 90 120 150 180

0 1 2 3 4 5 6

04/1H2H05/1H2H06/1H2H07/1H2H08/1H2H09/1H2H10/1H2H11/1H2H12/1H2H13/1H2H14/1H2H15/1H2H16/1H2H17/1H

（¥trillion) （issues）

Issuanceamount (leftscale)

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II. Issuance T rends by Underlying A ssets

L ooking at the securitization product issuance amount for the first half of fiscal 2017 by underl ying assets, the amount of “C D O,” “S hopping credits,” and “S ales receivables/C ommercial bills” increased, whereas in contrast, “R MB S ,” “L eases,” and “Others” decreased. (see C hart 2).

C har t 2. S ecuri t i z at i on P r oduct I ssuance A mount by U nderl y i ng A ssets

* Y oY change i n C M B S and C onsumer l oans i s shown as ”“ ” because t here wer e no i ssues i n t he same peri od l ast year. N ot e: F r om a sur v ey based on S ept ember 30,2016, we r ev i ewed some of t he underl y i ng asset s

cl assi fi cat i on. P l ease r efer t o t he "E xpl anat i on M at er i al s" i n t he at t achment for det ai l s.

Others

Foundationfunds,subordinated-loan,businesscashflow, medicalreceivables,andothers

Salesreceivables/Commercialbills Salesreceivables,commercialbills

Shoppingcredits Shoppingloans,creditcardloans,automobileloans

Consumerloans Consumerloans,bankcardloans

Leases Leasecredits

CDO

（CollateralizedDebtObligations）

Corporateloans,corporatebonds,creditdefaultswaps,andothers CMBS

（CommercialMortgage-backedSecurities）

Commercialrealestatecollateralizedloans,commercialrealestate RMBS

（ResidentialMortgage-backedSecurities）

Housingloansandloanstoindividualstobuildcommercialapartments RMBS CMBS CDO Leases

Consumer loans

Shopping credits

Sales receivables/

Commercial bills

Others Total Issuanceamount（\100million） 14,782 0 1,248 0 0 5,391 182 1,009 22,612

Yearonyearchange（\100million) －3,052 ＋0 ＋772 －604 ＋0 ＋2,265 ＋12 －6 －614 Yearonyearchange（%) －17.1 -(＊) ＋162.1 －100.0 -(＊) ＋72.5 ＋7.1 －0.6 －2.6 %　Ｃｏｍｐｏｓｉｔｉｏｎ 65.4 0.0 5.5 0.0 0.0 23.8 0.8 4.5 100.0 Ref.Numberofissues(presentperiod) 29 0 8 0 0 26 6 4 73 Yearonyearchange(number) ＋9 0 ＋3 －2 ＋0 ＋1 ＋0 ＋1 ＋12 Yearonyearchange（%) ＋45.0 -(＊) ＋60.0 －100.0 -(＊) ＋4.0 ＋0.0 ＋33.3 ＋19.7

0 1 2 3 4 5 6

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III. Issuance T rends by Product T ype

L ooking at the securitization product issuance amount (¥ 2,261.2 billion) by product type, the amount of “Bonds” was ¥ 1,228.4 billion (54.3% of the total), followed by “T rust beneficiary rights” with ¥ 900.5 billion (39.8%) (see C hart 3).

C har t 3. S ecuri t i z at i on P r oduct I ssuance A mount by P r oduct T y pe

IV . Issuance T rends by R epayment Method

L ooking at the securitization issuance amount (¥ 2,261.2 billion) by repayment method, the amount of “Pass-through repayments” was ¥ 1,897.7 billion (83.9 % of the total) (see C hart 4).

C hart 4. S ecuritization Product Issuance A mount by R epayment 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 16/ 1H 2H 17/ 1H

（¥trillion）

0 1 2 3 4 5 6

（¥trillion）

Notnoted

Installmentrepayments

Lumpsumrepaymentsatmaturity Pass-throughrepayments

Others Bonds

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V . Issuance T rends by Pl anned/A verage T erm to Maturity

L ooking at the securitization issuance amount (¥ 2,261.2 billion) by planned/average term to maturity, the most popular term, except for “Not noted”, was “1 year to 3 years ” with ¥ 222.8 billion (9.9% of the total) (see C hart 5).

C hart 5. S ecuritization Product Issuance A mount by Planned/A verage T erm to Maturity

V I. Issuance T rends by C redit R ating

L ooking at the securitization issuance amount (¥ 2,261.2 billion) by credit rating, the amount of “A A A ” was ¥ 1,888.6 billion (83.5% of the total) ( see C hart 6).

C hart 6. S ecuritization Product Issuance A mount by C redit R ating

0 1 2 3 4 5 6

（¥trillion）

0 1 2 3 4 5 6

（¥trillion）

Notnoted Short-termrating ＣＣＣ

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＜supplementary information＞

（ⅰ）R MB S Issuance T rends by Originator

L ooking at the R MB S issuance amount (¥ 1,478.2 billion) by originator, the amount of “J apan Housing F inance A gency” (J HF ) was ¥ 1,068.1 billion (72.3% of the total), followed by “Others” with ¥ 218.6 billion (14.8%) and “C ommercial / trust banks” with ¥ 175.3 billion (11.9%) (see C hartⅰ).

C hartⅰ. R MB S Issuance A mount by Originator

（ⅱ）R MB S Issuance T rends by Product T ype

L ooking at the R MB S issuance amount (¥ 1,478.2 billion) by product type, the amount of “B onds” was ¥ 1,068.1 billion (72.3% of the total), followed by “T rust beneficiary rights” with ¥ 355.6 billion (24.1%) (see C hartⅱ).

C hartⅱ. R MB S Issuance A mount by Product T ype 0

1 2 3 4

（¥trillion）

0 1 2 3 4

（¥trillion）

Others

Nonbanks

Regionalbanks

Commercial/trustbanks

JapanHousingFinanceAgency

N ot e: A br eak dow n of ”O t her s” i s pr ov i ded t he A ppendi x .（F Y 2012 1st H al f）and l at er.

Others Bonds

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（ⅲ）R MB S Issuance T rends by R epayment Method

L ooking at the R MB S issuance amount (¥ 1,478.2 billion) by repayment method, all repayments were “Pass-through repayments” (see C hartⅲ).

C hartⅲ. R MB S Issuance A mount by R epayment Method

（ⅳ）L aunch S pread at Issuance (J HF Monthly MB S )

T he launch spread (spread between the coupon rate of “J HF Monthly MB S ” and the yield of the most recentl y priced 10-year reference J GB) for “J HF Monthly MB S ” contracted at J uly 2017 and thereafter remained flat ( see C hart ⅳ).

C hart ⅳ. J HF Monthly R MB S L aunch S pread

0.3

0.4

0.5

0.6

└13/ 1H ┘└13/ 2H ┘└14/ 1H ┘└14/ 2H ┘└15/ 1H ┘└15/ 2H ┘└16/ 1H ┘└16/ 2H ┘└17/ 1H ┘

（％） 0 1 2 3 4

（¥trillion）

Notnoted

Installmentrepayments