Part 1: Securitization Market Trends

Securitization issuance, including agency and non-agency mortgage-backed securities (MBS) and asset-backed securities (ABS), totaled $1.2 trillion in the first half of 2017, a decline of 13.3 percent from 2H’16 ($1.4 trillion) but an increase of 17.4 percent from 1H’16 ($1.0 trillion). The increase was driven by the increase in ABS issuance, particularly CLO refinancings. Non-agency ABS and MBS issuance volumes rose by 91.3 percent and 28.0 percent, respectively, in 1H’17 from 1H’16, while agency volumes for 1H’17 fell 0.2 percent from 1H’16.

Outstanding volume rose slightly to $10.5 trillion, an increase of 2.8 percent y-o-y, driven entirely by agency MBS and CMO volumes, while non-agency outstanding volume fell 2.7 percent y-o-y and 11.0 percent, respectively, for non-agency ABS and MBS.

Average daily trading volume was $209.3 billion in 1H’17, an increase of 0.6 percent y-o-y, with non-agency trading ABS offsetting the decline in non-agency MBS trading volumes. Agency MBS and non-agency ABS volumes rose 0.6 percent and 21.5 percent, respectively, in 1H’17 from 1H’16, while non-agency MBS declined of 9.3 percent.

Part 2: Governmental and Regulatory Policy Issues

Covered in the report:

• Treasury Report on Financial Regulation
• Evolution of the GSEs
• Regulation AB
• Credit Risk Retention
• FINRA
• Capital / Prudential matters
• Marketplace Lending / Fintech Issues