US Securitization Report, First Half 2016

Part 1: Securitization Market Trends

Securitization issuance, including agency and non-agency mortgage-backed securities (MBS) and asset-backed securities (ABS), totaled $919.5 billion in the first half of 2016, a 10.4 percent decline from the first half of 2015 ($1.0 trillion).

Outstanding volume rose slightly to $10.18 trillion, an increase of 0.3 percent y-o-y, driven entirely by agency MBS and CMO volumes, while non-agency outstanding volume fell 1.0 percent y-o-y and 10.4 percent, respectively, for non-agency ABS and MBS.

Average daily trading volume was $208.1 billion in the first half of 2016, a decline of 0.8 percent y-o-y, with non-agency volumes falling to a greater extent than agency MBS. Non-agency MBS and ABS volumes fell 21.5 percent and 17.3 per-cent, respectively, y-o-y, compared to agency MBS declines of 0.3 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
  • Securitization Deriviatves
  • Credit Risk Retention
  • 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 in the first half of 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.


SIFMA Securitization Group (SSG)

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

SIFMA Research

  • Assistant Vice President: Sharon Sung