November 30, 2016

Japan Securities Dealers AssociationJapanese Bankers Association

Securitization Market Trends Survey Report(Issuance Trends in the First Half of Fiscal 2016)
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 first half of fiscal 2016, theperiod from April 1, 2016 to September 30, 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 first half of fiscal 2016, both theamount and number of issues increased year-on-year. The total issuance amount was ¥2,322.6 billion,increasing 36.9% from the first half of fiscal 2015, while the number of issues was 61, up 5.2%
year-on-year. Since the first half of fiscal 2008, the issuance amount exceeded ¥2 trillion for the firsttime in eight years (see Chart 1).
Reference: The total issuance amount of corporate straight bonds during the first half of fiscal 2016was ¥6,603.8 billion (provisional figure).
Chart 1. Securitization Product Issuance Amount and Number of Issues（¥trillion)
6
1 58

1 68

1 67

1 45（issues）
180

1 46
Number of issues

5150

1 38
1 34(right scale)

1 27
Issuance amount

1 104120(left scale)

94
390
79
74
5 .2
67

67 61

4 .862 62
4.6
58

54 53 48

52 53

23 .4

60

43 38

3 .4 3 .4

2.9
2 .3

2.3

2 .3

11 .9
1 .4 1 .6

1 .3 1 .2 1 .4

30

1 .7 1 .9
1.6

1 .5 1 .5 1 .3 1.3 1 .41 .1

0004/1H 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－1－II. Issuance Trends by Underlying Assets
Looking at the securitization product issuance amount for the first half of fiscal 2016 by underlying
assets, the amount of “RMBS,” “CDO,” “Leases,” “Shopping credits” and “Others” increased, whereas
in contrast, “Consumer loans,” and “Sales receivables/Commercial bills” decreased. Above all, theissuance amount of “RMBS” continued to increase from the second half of 2014 (see Chart 2).
Chart 2. Securitization Product Issuance Amount by Underlying Assets

Issuance amount（\100 million）
Year on year change（\100 million)
Year on year change（%)% Ｃｏｍｐｏｓｉｔｉｏｎ
Ref. Number of issues(present period)〃（previous period）〃 （same period of last year）

RMBS

CMBS

CDO

Leases17,834＋4,272＋31.5
76.8
20
20
2300－（※）
0.00
10476＋341＋252.9
2.0551604＋476＋372.2
2.6
221Salesreceivables/
Commercialbills
3,126170＋1,197－192＋62.1－53.0
13.50.7256288218

Consumer Shoppingcredits
loans
0－323
－100.00.0011※YoY change in CMBS is shown as “—“ because there were no issues in the same period last year

Others

1,015
＋488
＋92.7
4.4
32
3

Total

23,226＋6,260＋36.9
100.0616758

Note: From this survey, we reviewed some of the underlying assets classification. Please refer to the"Explanation Materials" in the attachment for details.

（¥trillion）
6543

2

1004/1H 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 16/1HOthers

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

LeasesLease credits

CDO
CMBS
RMBS

（Collateralized Debt Obligations）
Corporate loans, corporate bonds, credit default swaps, and others（Commercial Mortgage-backed Securities）
Commercial real estate collateralized loans, commercial real estate（Residential Mortgage-backed Securities）
Housing loans and loans to individuals to build commercial apartments－2－III. Issuance Trends by Product Type
Looking at the securitization product issuance amount (¥2,322.6 billion) by product type, the amountof “Bonds” was ¥1,487.5 billion (64.0% of the total), followed by “Trust beneficiary rights” with
¥794.9 billion (34.2%) (see Chart 3).
Chart 3. Securitization Product Issuance Amount by Product Type（¥trillion）
6Others
5BondsTrust beneficiary rights
4321004/1H 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 16/1HIV. Issuance Trends by Repayment Method
Looking at the securitization issuance amount (¥2,322.6 billion) by repayment method, the amountof “Pass-through repayments” was ¥1,942.0 billion (83.6 % of the total) (see Chart 4).
Chart 4. Securitization Product Issuance Amount by Repayment Method（¥trillion）
6Not noted
5Installment repayments
Lump sum repayments at maturity
4Pass-through repayments
321004/1H 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－3－V. Issuance Trends by Planned/Average Term to Maturity
Looking at the securitization issuance amount (¥2,322.6 billion) by planned/average term to maturity,
the amount of “Not noted” was ¥2,059.8 billion (88.7% of the total), followed by “5 years to 7 years”
with ¥100.0 billion (4.3%) (see Chart 5).
Chart 5. Securitization Product Issuance Amount by Planned/Average Term to Maturity（¥trillion）
6Not noted
57 years or more
5 years to 7 years
43 years to 5 years
1 year to 3 years

3Under 1 year
21004/1H 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 16/1HVI. Issuance Trends by Credit Rating
Looking at the securitization issuance amount (¥2,322.6 billion) by credit rating, the amount of“AAA” was ¥1,961.0 billion (84.4% of the total), followed by “A” with ¥211.6 billion (9.1%) (seeChart 6).
Chart 6. Securitization Product Issuance Amount by Credit Rating（¥trillion）
6

Not noted
Short-term rating
5ＣＣＣＢ
4

ＢＢ
ＢＢＢＡ

3

ＡＡ
ＡＡＡ
21004/1H 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－4－＜supplementary information＞（ⅰ）RMBS Issuance Trends by Originator
Looking at the RMBS issuance amount (¥1,783.4 billion) by originator, the amount of “Japan
Housing Finance Agency” (JHF) was ¥1,350.2 billion (75.7 % of the total), followed by “Others” with
¥272.7 billion (15.3%) (see Chart ⅰ).

Chart ⅰ. RMBS Issuance Amount by Originator（¥trillion）
4Others
Nonbanks

3

Regional banks
Commercial /trust banks
Japan Housing Finance Agency

210Note: FY2012 1st Half and later, describing the breakdown of "Others" in the attachment.

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（ⅱ）RMBS Issuance Trends by Product Type
Looking at the RMBS issuance amount (¥1,783.4 billion) by product type, the amount of “Bonds”
was ¥1,350.2 billion (75.7% of the total), followed by “Trust beneficiary rights” with ¥431.3 billion(24.2%) (see Chart ⅱ).

Chart ⅱ. RMBS Issuance Amount by Product Type（¥trillion）
4Others
Bonds

3
Trust beneficiary rights

21004/1H 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－5－（ⅲ）RMBS Issuance Trends by Repayment Method
Looking at the RMBS issuance amount (¥1,783.4 billion) by repayment method, all repayments were
“Pass-through repayments” (see Chart ⅲ).

Chart ⅲ. RMBS Issuance Amount by Repayment Method（¥trillion）
4

Not noted
Installment repayments
3Lump sum repayments at maturity
Pass-through repayments
21004/1H 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（ⅳ）Launch Spread at Issuance (JHF Monthly MBS)The launch spread (spread between the coupon rate of “JHF Monthly MBS” and the yield of themost recently priced 10-year reference JGB) for “JHF Monthly MBS” contracted from April 2016 toAugust 2016 (see Chart ⅳ).

Chart ⅳ. JHF Monthly RMBS Launch Spread（％）
0.6

0.5

0.4

0.3
└12 / 2H ┘└13 / 1H ┘└13 / 2H ┘└14 / 1H ┘└14 / 2H ┘└15 / 1H ┘└15 / 2H ┘└16 / 1H ┘－6－