Part 1: Securitization Market Trends

Securitization issuance, including agency and non-agency mortgage-backed securities (MBS) and asset-backed securities (ABS), totaled $2.2 trillion in 2016, a 9.3 percent increase from 2015 ($2.0 trillion). The increase was driven entirely by the increase in agency issuance; non-agency ABS and MBS issuance volumes fell by 11.7 percent and 94 percent, respectively, from 2015. Agency volumes for 2016 rose 15.8 percent in 2016.

Outstanding volume rose slightly to $10.25 trillion, an increase of 1.3 percent y-o-y, driven entirely by agency MBS and CMO volumes, while non-agency outstanding volume fell 2.2 percent y-o-y and 10.1 percent, respectively, for non-agency ABS and MBS.

Average daily trading volume was $209.9 billion in 2016, an increase of 6.7 percent y-o-y, with non-agency trading volumes increasing to a greater extent than agency MBS. Non-agency MBS and ABS volumes rose 13.1 percent and 22.1 percent, respectively, y-o-y, compared to agency MBS increases of 6.4 percent y-o-y.

Part 2: Governmental and Regulatory Policy Issues

Covered in the report:

• Evolution of the GSEs
• Secondary Trading Under the Volcker Rule for Securitizations, ETPs, and Covered Bonds
• Regulation AB
• Securitization Deriviatves
• Credit Risk Retention
• FINRA
• Capital and Prudential Matters
• Amicus Briefs
• Marketplace Lending
• SIFMA Events

About the Report

The U.S Securitization Report offers a consolidated review of the U.S securitization markets for the full year 2016. The report is comprised of two sections. The first section captures various securitization market trends, statistics and market activity. The second section contains summaries of various governmental and regulatory policy issues that impacted the securitization markets, as well as SIFMA’s advocacy efforts regarding those issues.

Credits

SIFMA Securitization Group (SSG)

• Managing Director, Head of SSG: Chris Killian
• Vice President: Joseph Cox

SIFMA Research

• Managing Director, Head of Research: Kyle Brandon
• Assistant Vice President: Sharon Sung