資產證券化市場運行報告2023Q4

2023年第4季度119.517.019.318.761.763.72022/2023年第四季度各市場發(fā)行規(guī)模占比（%19.517.019.318.761.763.72022/2023年第四季度各市場發(fā)行規(guī)模占比（%）.信貸ABSABN.企業(yè)ABS注：內環(huán)為2022年，外環(huán)為2023年來源：CNABS、惠譽博華《惠譽博華銀行間市場RMBS指數(shù)報告2023Q4》《惠譽博華銀行間市場車貸ABS指數(shù)報告2023Q4》《惠譽博華銀行間市場消費貸ABS指數(shù)報告2023Q4》《惠譽博華銀行間市場個貸ABS超額利差報告2023Q4》傅緒林+861056633817xulin.fu@李盡染+861056633811louis.li@李林+861059570964jack.li@ 2023年第4季度市場發(fā)行情況各市場發(fā)行規(guī)模和總單數(shù)億元信貸ABS發(fā)行規(guī)模企業(yè)ABS發(fā)行規(guī)模ABN發(fā)行規(guī)模發(fā)行總單數(shù)(右軸)12,0008,0004,00009006003000來源：CNABS、惠譽博華22Q4發(fā)行額23Q4發(fā)行額22Q4發(fā)行單數(shù)22Q4發(fā)行額23Q4發(fā)行額22Q4發(fā)行單數(shù)(右軸)23Q4發(fā)行單數(shù)(右軸)4503001500億元600RMBS車貸ABS消費貸ABS小微ABSNPAS來源：CNABS、惠譽博華403020100ABN億元40030020010002023年第四季度發(fā)行情況23Q4發(fā)行額23Q4發(fā)行單數(shù)(右軸)403020100來源：CNABS、惠譽博華企業(yè)ABS2023年第四季度發(fā)行情況億元23Q4發(fā)行額23Q4發(fā)行單數(shù)(右軸)80060040020001007550250來源：CNABS、惠譽博華2023年第4季度2資產證券化市場發(fā)行金額止跌反彈：2023年四季度，全市場共計發(fā)行資產證券化總發(fā)行金額5,420.2億元，分別同比上漲3.9%和1.1%。發(fā)行金額的反彈主要源于信貸ABS市延續(xù)下滑，但同比降幅已明顯收窄；企業(yè)ABS發(fā)行單數(shù)同比至61.7%，但仍居首位，信貸ABS占比升至19.5%，ABN占比下滑至18.7%。信貸ABS交易53單，較去年同期增加5單；發(fā)行金額合計1,057.9億元，較去年同期增長32單，發(fā)行金額達139.3億元，分別同比增長28.0%和6.1%；小微ABS交易共發(fā)行5單，發(fā)397.8億元，同比下降11.4%；個人消費貸ABS發(fā)行金額同比下降39.7%；銀行間市場ABN發(fā)行單數(shù)及發(fā)行金額延續(xù)下滑，但降幅明顯收窄：四季度共發(fā)行ABN交易88窄。從細分產品類型來看，四季度類Reits交易發(fā)行規(guī)模大幅增長至207.2億元，占本季度ABN總發(fā)行規(guī)模的20.4%；以應收賬款和供應鏈作為基礎資產的交易發(fā)行規(guī)模為118.7億元和268.2億元，分別占本季度ABN總發(fā)行規(guī)模的26.4%和11.7%；融資租賃ABN交易和補貼款ABN的發(fā)行規(guī)模繼續(xù)萎縮，分別環(huán)比下降25.9%和43.9%。企業(yè)ABS發(fā)行規(guī)模繼續(xù)回落，發(fā)行單數(shù)小幅上漲：四季度企業(yè)ABS交易發(fā)行單數(shù)和發(fā)行金額分別為341單和3,346.7億元，分別同比上漲4.6%和同比下降2.0%。企業(yè)ABS市場基礎資產類型豐富，且不同類型交易發(fā)行集中度相對較低。發(fā)行金額前三的產品類型分別為應收賬款ABS、融資租賃ABS和個人消費金融ABS，發(fā)行金額分別為722.3億元、592.2億元和465.4市場交易情況資產證券化產品二級市場成交情況億元4,0003,0002,0001,0000信貸ABS成交金額信貸ABS季度換手率(右軸)ABN成交金額ABN季度換手率(右軸)企業(yè)ABS成交金額企業(yè)ABS季度換手率(右軸)19Q119Q320Q120Q321Q121Q322Q122Q323Q123Q330%15%0%-15%-30%注：季度換手率=季度成交金額/季度平均余額來源：上證債券信息網、深圳證券交易所、Wind、惠譽博華全市場成交量持續(xù)萎縮，ABN二級市場相對活躍：2023年四季度資產證券化二級市場總成交四季度信貸ABS成交金額為454.1億元，同比跌幅擴大至82.4%，主要受車貸ABS和RMBS交易量減少的影響；企業(yè)ABS成交金額1,739.2億元，同比下降33.2%；ABN成交金額為1,531.8億元，同比下降19.4%，但環(huán)比上漲12.6%，由于ABN季度平均余額有所下降，2023年第4季度3存續(xù)信貸ABS增信水平變化情況增信水平季度增幅分布%35302520151050%35302520151050RMBS0%6%12%18%24%消費貸ABS30%>33%0%8%16%24%32%40%>44%%35302520151050%35302520151050車貸ABS0%4%8%12%16%20%24%>28%小微ABS0%8%16%24%32%40%>44%注：橫軸為增信水平季度增幅絕對值分組，其中RMBS、車貸ABS、消費貸ABS和小微ABS的組距分別為3%、2%、4%和4%；橫軸標注為每組上限；縱軸為該分組證券個數(shù)占比。來源：受托機構報告、CNABS、惠譽博華四季度信貸ABS市場整體增信水平良好：信貸ABS優(yōu)先級證券整體獲得的信用支持有所增加，存續(xù)證券表現(xiàn)均無異常波動。本季度部分RMBS交易證券增信水平主要集中在0%-9%；車貸ABS增信水平季度增幅集中分布于4%-12%，但個別處于持續(xù)購買期的交易增信水平有輕微下降，預計該情況在持續(xù)購買期結束后將得到改善；消費貸ABS和小微ABS增信水平季分別部分集中于0%-20%和0%-12%，另外在高于44%的區(qū)間亦有較多分布，本季度部分樣本截至2024年1月底銀行間市場信貸ABS存續(xù)證券增信水平及變化情況見附錄。市場動態(tài)商業(yè)銀行資本新規(guī)正式實施，ABS風險權重計提優(yōu)勢提升規(guī)中引入“簡單，透明，可比”標準（后文簡稱STC標準符合STC標準的資產證券化交易前銀行間信貸ABS市場中零售類ABS與STC標準較為契合，如基礎資產為個人住房抵押貸款、準中的絕大部分要求。商業(yè)銀行資本新規(guī)的正式實施將降低優(yōu)先銀行間信貸ABS存量規(guī)模占比1.897.6來源：CNABS、惠譽博華AAAsfAA+sfAAsfA-sfAsfBBB+sfBBBsf2023年第4季度440030020010004003002001000股份制銀行城市商業(yè)銀行農村中小銀行政策性銀行消費金融公司銀行資本的消耗，有利于提升商業(yè)銀行投資意愿，或將在需求端底增加297戶。已開立不良貸款轉讓業(yè)務機構賬戶數(shù)量2024年2月(戶)2024年2月(戶)來源：銀登中心、惠譽博華2023年銀登中心不良貸款轉讓成交規(guī)模5183350109795184注：圖中數(shù)字單位為億元。來源：銀登中心、惠譽博華2023年第4季度5附錄：2024年1月底銀行間市場信貸ABS存續(xù)證券CE值及變化情況證券簡稱本季度CE季度變化證券簡稱本季度CE季度變化證券簡稱本季度CE季度變化證券簡稱本季度CE季度變化RMBS19惠益9A319中盈萬家4A246.4%54.8%3.4%6.2%20興元1A220工元宜居3A237.8%74.4%2.2%10.6%21招銀和家1A221招銀和家1A328.9%28.9%1.6%1.6%14郵元1B49.4%3.5%15企富1B94.2%6.3%19中盈萬家4A354.8%6.2%20杭盈3A248.9%3.6%21招銀和家1A428.9%1.6%16家美1A389.3%5.4%19融享3A262.0%6.0%20海元1A137.5%4.2%21建元5A258.6%20.1%16家美1B73.1%4.5%19農盈4A252.7%5.1%20海元1A237.5%4.2%21工元樂居2A255.7%6.4%16和家1A375.6%5.6%19農盈4A352.7%5.1%20招銀和家5A129.0%1.4%21惠益3A240.3%2.7%16建元2A396.6%23.3%19和家3A267.7%7.5%20招銀和家5A229.0%1.4%21郵元家和1優(yōu)先34.5%2.7%16企富1A272.2%5.9%19和家3B56.8%6.3%20建元9A258.7%21.8%21建元6A248.5%15.3%16建元3A281.9%12.1%19和家3C38.8%4.4%20建元9A358.7%21.8%21建元6A348.5%15.3%16中盈3B95.1%10.6%19浦鑫安居1A243.3%3.4%20鑫寧1A251.3%5.3%21京誠1A230.8%2.4%16建元4優(yōu)先78.8%12.1%19建元9A379.6%26.7%20建元10A256.5%18.6%21浦鑫1A230.2%1.9%17杭盈1優(yōu)先91.3%9.0%19工元安居4A260.3%8.4%20工元樂居1A262.9%8.9%21安鑫1A237.5%2.6%17中盈2A298.5%13.2%19工元安居5A259.5%7.5%20工元樂居2A265.0%8.9%21安鑫1A337.5%2.6%17興元1A279.3%7.0%19建元10A384.1%28.9%20工元樂居3A267.9%9.8%21蓉居1A240.0%3.5%17居融1B72.4%3.9%19中盈萬家5A243.8%4.7%20建元11A247.1%17.2%21建元7A251.9%18.9%17龍居1B92.7%8.9%19中盈萬家5A343.8%4.7%20建元11A347.1%17.2%21建元7A351.9%18.9%17建元8A257.4%20.2%19工元宜居6A262.9%7.9%20工元樂居4A266.2%8.9%21海元1優(yōu)先54.9%13.4%17中盈3A294.3%11.9%19工元宜居7A258.2%9.7%20豫鼎1A235.8%2.0%21杭盈2A242.9%2.1%17建元9A295.7%44.1%19郵元家和1優(yōu)先40.6%3.2%20中盈萬家1A232.4%3.1%21中盈萬家3A231.9%3.4%18中盈1A270.3%6.3%19旭越1A263.0%6.9%20中盈萬家1A332.4%3.1%21中盈萬家3A331.9%3.4%18家美1A258.8%5.2%19杭盈3A247.8%2.8%20建元12A253.4%20.1%21郵元家和2優(yōu)先34.1%2.3%18建元9A395.6%39.7%19安鑫2A348.3%3.8%20建元12A353.4%20.1%21工元樂居3A255.4%6.6%18中盈2A372.8%7.3%19和家4A255.4%5.7%20招銀和家6A124.5%1.4%21建元8A278.6%31.1%18興元3A258.8%4.5%19和家4B50.1%5.1%20招銀和家6A224.5%1.4%21建元8A378.6%31.1%18農盈5A293.4%10.9%19和家4C29.3%3.1%20中盈萬家2A225.9%2.0%21建元8B52.8%20.9%18交盈1A286.3%12.5%19工元宜居8A256.5%6.3%20中盈萬家2A325.9%2.0%21招銀和家2A221.9%1.3%18交盈2A252.1%4.4%19惠益10A343.2%2.6%20建元13A269.1%23.5%21招銀和家2A321.9%1.3%18廣元1A272.3%6.3%19建元11A269.6%26.4%20創(chuàng)盈徽元1A281.9%44.7%21建元9A272.6%32.9%18中盈萬家1A392.4%14.3%19惠益11A345.2%2.8%20建元14A379.4%29.6%21工元樂居4A261.0%7.3%18興元4A260.6%4.6%19惠益1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