November 30, 2012 Japan Securities Dealers Association Japanese Bankers Association
Securitization Market Trends Survey Report —Issuance Trends in the First Half of Fiscal 2012—
The following report is a summary of the results of the “Securitization Market Trends Survey” (see JSDA’s website at <http:www.jsda.co.jp>), conducted monthly by the Japan Securities Dealers Association (JSDA) and the Japanese Bankers Association (JBA), for the first half of fiscal 2012, the period from April 1, 2012 to September 30, 2012. For chart data, please see the appendix “Chart Data at a Glance.”
I. Overall Issuance Trends for Securitization Products
Looking at the issuance trends for securitization products in the first half of 2012, both amount and number of issues declined year on year. Total issuance amount was ¥1,538.5 billion, declining 20% from the first half of fiscal 2011, while the number of issues was 38, down 21% year on year, and the lowest figure since the survey started (Chart 1).
Ref.: The total issuance amount of corporate straight bonds during the first half of fiscal 2012 was ¥4,033.9 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 1.5 138 158 145 167 146 168 134 127 110 94 79 67 54 53 48 43 38 0 20 40 60 80 100 120 140 160 180 0 1 2 3 4 5 6 7 8
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 Issuance amount
(left scale)
Number of issues (right scale)
Issues
II. Issuance Trends by Underlying Assets
Looking at the securitization product issuance amount for the first half of fiscal 2012 by underlying assets, the amount of consumer loans, shopping credits, and sales receivables/commercial bills increased. In contrast, RMBS, CMBS, leases, and others decreased. There were no CDO issues (see Chart 2).
Chart 2. Securitization Product Issuance Amount by Underlying Assets
* YoY change in consumer loans is shown as “—“ because there were no issues in the same period last year.
Reference: The specific types of underlying assets for each securitization product category are as follows.
RMBS (Residential Mortgage Backed Securities): Housing loans and loans to individuals to build
commercial apartments
CMBS (Commercial Mortgage Backed Securities): Commercial real estate collateralized loans, commercial
real estate
CDO (Collateralized Debt Obligations): Corporate loans, corporate bonds, credit default swaps, and others
Leases: Lease credits
Consumer loans: Consumer loans, bank card loans
Shopping credits: Shopping loans, credit card loans, automobile loans
Sales receivables/Commercial bills: Sales receivables, commercial bills
Others: Fund receivables, business cash flow, medical fee receivables, and others 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
¥ trillion
Others
Sales receivables/Commercial bills
Shopping credits
Consumer loans
Leases
CDO
CMBS
RMBS
T
I ¥ , , ,
Y y ¥ ▲ , ▲ ▲ ▲ ＋ ＋ ＋ ▲ ▲ ,
Y y % ▲ ▲ ▲ ▲ － ※ ＋ ＋ ▲ ▲
%
RMBS Issuance Trends (i) By Originator
Looking at the RMBS issuance amount (¥1,114.8 billion) by originator, the Japan Housing Finance Agency (JHF) accounted for 83% (¥925.4 billion) of the total (Chart 3).
Chart 3. RMBS Issuance Amount by Originator
(ii) Product Type
Looking at the RMBS issuance amount (¥1,114.8 billion) by product type, public and corporate bonds accounted for 86% (¥954.9 billion) of the total (see Chart 4).
Chart 4. 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
¥ trillion
Others
Nonbanks
Regional banks
Commercial /trust banks
Japan Housing Finance Agency
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
¥ trillion
Others
Bonds
(iii) Repayment Method
Looking at the RMBS issuance amount (¥1,114.8 billion) by repayment method, all repayments were pass-through repayments (see Chart 5).
Chart 5. RMBS Issuance Amount by Repayment Method
(iv) Spread at Issuance
The launch spread (difference between the RMBS coupon rate and Japanese government bond yield at time of fixing issuing conditions) for JHF RMBS (monthly issuance bonds) contracted during the first half of fiscal 2012 (see Chart 6).
Chart 6. JHF RMBS Launch Spread 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
¥ trillion
Not noted
Installment repayments
Lump sum repayments at maturity
Pass-through repayments
0.1 0.2 0.3 0.4 0.5 0.6 0.7 0.8
└ 10 / 1H ┘ └ 10 / 2H ┘ └ 11 / 1H ┘ └ 11 / 2H ┘ └ 12 / 1H ┘
III. Issuance Trends by Product Type
Looking at the securitization product issuance amount (¥1,538.5 billion) by product type, bonds accounted for 75% (¥1,154.9 billion), followed by trust beneficiary rights with 22% (¥332.6 billion) (see Chart 7).
Chart 7. Securitization Product Issuance Amount by Product Type
IV. Issuance Trends by Repayment Method
Looking at the securitization issuance amount (¥1,538.5 billion) by repayment method, pass-through repayments accounted for 77% (¥1,183.0 billion), followed by lump-sum repayments at maturity with 15% (¥237.6 billion) (see Chart 8).
Chart 8. 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
¥ trillion
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
¥ trillion
Others
Bonds
Trust beneficiary rights
Not noted
Installment repayments
V. Issuance Trends by Planned/Average Term to Maturity
Looking at the securitization issuance amount (¥1,538.5 billion) by planned/average term to maturity, “Not noted” accounted for 80% (¥1,234.9 billion), followed by “5 years to 7 years” with 13% (¥200.0 billion) (see Chart 9).
Chart 9. Securitization Product Issuance Amount by Planned/Average Term to Maturity
VI. Issuance Trends by Credit Rating
Looking at the securitization issuance amount (¥1,538.5 billion) by credit rating, AAA accounted for 82% (¥1,255.6 billion (see Chart 10).
Chart 10. 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
¥ trillion
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
¥ 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
Not noted
Short-term rating
CCC
B
BB
BBB
A
AA
