証券化市場の動向調査 | 日本証券業協会

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－1－ May 31, 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 S econd Half of F iscal 2016)

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 second half of fiscal 2016, the period from October 1, 2016 to March 31, 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 second half of fiscal 2016, both the amount and number of issues increased year-on-year. T he total issuance amount was ¥ 2,259.5 billion, increasing 18.1% from the second half of fiscal 2015, while the number of issues was 75, up 11.9% year-on-year. T he issuance amount exceeded ¥ 2 trillion as in the first half of fiscal 2016 (see C hart 1).

R eference: T he total issuance amount of corporate straight bonds during the second half of fiscal 2016 was ¥ 4,809.1 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

2.32.3 138

158 145

167

146 168

134 127

110 94

79 67

5453 48

4338

5253 74

6262 58 67 61 75 0 30 60 90 120 150 180

0 1 2 3 4 5 6

04/1H2H05/1H2H06/1H2H07/1H2H08/1H2H09/1H2H10/1H2H11/1H2H12/1H2H13/1H2H14/1H2H15/1H2H16/1H2H （¥trillion) （issues）

Numberofissues (rightscale) Issuanceamount

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II. Issuance T rends by Underlying A ssets

L ooking at the securitization product issuance amount for the second half of fiscal 2016 by underlying assets, the amount of “R MB S ,” “C D O,” and “S hopping credits” increased, whereas in contrast, “C MB S ,” “L eases,” “C onsumer loans,” “S ales receivables/C ommercial bills” and “Others” decreased. A bove all, the issuance amount of “R MB S ” and “Shopping credits” increased by more than 100.0 billion (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

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 0

1 2 3 4 5 6

04/1H2H05/1H2H06/1H2H07/1H2H08/1H2H09/1H2H10/1H2H11/1H2H12/1H2H13/1H2H14/1H2H15/1H2H16/1H2H （¥trillion）

RMBS CMBS CDO Leases

Consumer loans

Shopping credits

Sales receivables/ Commercial

bills

Others Total

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－3－ III. Issuance T rends by Product T ype

L ooking at the securitization product issuance amount (¥ 2,259.5 billion) by product type, the amount of “Bonds” was ¥ 1,238.9 billion (54.8% of the total), followed by “T rust beneficiary rights” with ¥ 923.5 billion (40.9%) (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 (¥ 2,259.5 billion) by repayment method, the amount of “Pass-through repayments” was ¥ 2,040.0 billion (90.3 % 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 （¥trillion）

Notnoted

Installmentrepayments

Lumpsumrepaymentsatmaturity Pass-throughrepayments

0 1 2 3 4 5 6

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 (¥ 2,259.5 billion) by planned/average term to maturity, the most popular term, except for “Not noted”, was “1 year to 3 years ” with ¥ 226.1 billion (10.0% 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 (¥ 2,259.5 billion) by credit rating, the amount of “A A A ” was ¥ 1,973.8 billion (87.4% 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

Notnoted Short-termrating ＣＣＣ

ＢＢＢＢＢＢＡＡＡＡＡＡ

0 1 2 3 4 5 6

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－5－＜supplementary information＞

（ⅰ）R MB S Issuance T rends by Originator

L ooking at the R MB S issuance amount (¥ 1,542.3 billion) by originator, the amount of “J apan Housing F inance A gency” (J HF ) was ¥ 1,177.8 billion (76.4 % of the total), followed by “Others” with ¥ 220.7 billion (14.3%) and “C ommercial / trust banks” with ¥ 143.8 billion (9.3%) (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 (¥ 1,542.3 billion) by product type, the amount of “B onds” was ¥ 1,177.8 billion (76.4% of the total), followed by “T rust beneficiary rights” with ¥ 340.0 billion (22.0%) (see C hartⅱ).

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

1 2 3 4

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.

0 1 2 3 4

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 (¥ 1,542.3 billion) by repayment method, all repayments, except for “Not noted”, were “Pass-through repayments” with ¥ 1,535.2 billion (99.5%) (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 from October 2016 to J anuary 2017 and thereafter remained flat (see C hart ⅳ).

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

0 1 2 3 4

Notnoted

Installmentrepayments

Lumpsumrepaymentsatmaturity Pass-throughrepayments

0.3

0.4

0.5

0.6

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