Key Takeaways
- The 30-plus-day delinquencies for auto asset-backed securities (ABS) rose to 0.17%, while the severe delinquency rate remained stable at 0.06% in January.
- The three-month median of coupons on the most senior tranches of recently closed auto ABS fell to 2.82%, along with the latest cut in loan prime rate (LPR).
- The weighted average 90-plus-day delinquency ratio of our rated residential mortgage-backed securities (RMBS) in China inched up to 0.52% in January from 0.50% in December.
China Auto ABS And RMBS Tracker is a monthly report that tracks the performance of the China auto ABS and RMBS rated by S&P Global Ratings.
Auto ABS
Delinquency ratios showed some divergence but largely stable
- The weighted average 30-plus-day delinquency ratio of our rated auto ABS transactions rose to 0.17% in January, from 0.15% in December.
- Severe delinquency rate (90-plus-day) remained stable at 0.06% in January.
- The transactions in our rated portfolio have shown some divergence in delinquencies as we have started to include transactions with distinct pool attributes.
- The attributes include vehicles backing the loans not from car makers associated with originators. The increased credit risk has been mitigated by higher credit enhancement.
- We expect the delinquency ratios to continue to edge upward before leveling off as more transactions with distinct pool features are included in our rated portfolio.
- Other than the above, the credit quality of the underlying pools of our rated transactions stayed solid.
Table 1
30-Plus-Day And 90-Plus-Day Delinquency Rate Composite | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jan-21 | Feb-21 | Mar-21 | Apr-21 | May-21 | Jun-21 | Jul-21 | Aug-21 | Sep-21 | Oct-21 | Nov-21 | Dec-21 | Jan-22 | 12-month moving average | Average in 2021 | |
30+ DPD (%) | 0.09 | 0.10 | 0.09 | 0.09 | 0.10 | 0.10 | 0.11 | 0.13 | 0.14 | 0.15 | 0.14 | 0.15 | 0.17 | 0.12 | 0.12 |
90+ DPD (%) | 0.03 | 0.03 | 0.03 | 0.03 | 0.03 | 0.03 | 0.03 | 0.03 | 0.04 | 0.04 | 0.04 | 0.06 | 0.06 | 0.04 | 0.04 |
Chart 1
Coupons trended downward along LPR cut
- After a five basis-point (bps) cut in the one-year LPR in December 2021, the People's Bank of China (PBoC) further lowered the one-year LPR to 3.7% and five-year LPR to 4.6% in January 2022.
- Along with the LPR cut, coupons on the most senior tranches of auto ABS closed in January trended downwards, all below 3%.
- The three-month median of the coupons tracked decreased to 2.82% for November-January, from 2.95% for September-November.
- We expect coupon rates to remain largely stable in the near term mainly because of improved liquidity conditions, driven by the central bank's support for economic growth and stable financing costs.
Chart 2
RMBS
Delinquency rates are within expectation
- The weighted average 30-plus-day delinquency ratio of our rated RMBS transactions rose marginally to 0.62% in January from 0.59% in December.
- The weighted average 90-plus-day delinquency ratio also increased to 0.52% from 0.50%.
- The slight drop of delinquency rates in December was mainly due to the inclusion of a newly rated deal, which increased the denominator.
- The asset performance remains stable and within our expectation, evident from a stable weighted average 61-90 days past due ratio.
Table 2
Delinquency Rate Composite | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Jan-21 | Feb-21 | Mar-21 | Apr-21 | May-21 | Jun-21 | Jul-21 | Aug-21 | Sep-21 | Oct-21 | Nov-21 | Dec-21 | Jan-22 | 12-month moving average | Average in 2021 | |
61-90 DPD (%) | 0.03 | 0.03 | 0.05 | 0.05 | 0.03 | 0.05 | 0.04 | 0.04 | 0.03 | 0.04 | 0.04 | 0.02 | 0.05 | 0.04 | 0.04 |
30+ DPD (%) | 0.56 | 0.59 | 0.62 | 0.64 | 0.59 | 0.61 | 0.64 | 0.65 | 0.69 | 0.61 | 0.62 | 0.59 | 0.62 | 0.62 | 0.62 |
90+ DPD (%) | 0.47 | 0.47 | 0.49 | 0.52 | 0.48 | 0.49 | 0.53 | 0.55 | 0.57 | 0.50 | 0.52 | 0.50 | 0.52 | 0.51 | 0.51 |
Chart 3
Annual Review* In January 2022
Transaction Name | Date | |||
---|---|---|---|---|
Bavarian Sky China 2021-1 | 1/24/2022 | |||
*In an annual review, S&P Global Ratings reviews current credit ratings against the latest issuers/issues performance data as well as any recent market developments. Annual reviews may, depending on their outcome, result in a referral of a credit rating for a committee review, which may result in a credit rating action. The above list is not an indication of whether or not a credit rating action is likely in the near future. | ||||
The key elements underlying the credit rating can be found in the issuer's latest related publication. Additionally, for each issuer/issues listed above, S&P Global Rating's regulatory disclosures (PCRs) can be accessed on the relevant page on www.spglobal.com/ratings by clicking on Regulatory Disclosures underneath the current credit ratings. |
Related Research
- China Securitization Performance Watch 4Q 2021: Sector Trends Start To Diverge Amid Emerging Uncertainties, Feb. 15, 2022
- China Structured Finance Outlook 2022: Securitization Issuance Will Likely Stay Soft, Feb. 7, 2022
- China Securitization: How Strained Property Developers Might Affect Existing RMBS, Jan. 20, 2022
- Credit FAQ: What's Behind Our First Rating On Credit Card ABS In China, Nov. 30, 2021
- A Primer On China's Auto Loan Asset-Backed Securities, Oct. 21, 2021
- China RMBS Shielded From Evergrande Events, Oct. 7, 2021
- A Primer On China's Residential Mortgage-Backed Securities Market, June 24, 2020
This report does not constitute a rating action.
Primary Credit Analysts: | KY Stephanie Wong, Hong Kong +852 2533 3529; ky.stephanie.wong@spglobal.com |
Yilin Lou, Hong Kong +852 2533 3524; yilin.lou@spglobal.com | |
Secondary Contact: | Jerry Fang, Hong Kong + 852 2533 3518; jerry.fang@spglobal.com |
Research Assistants: | Carol Hu, Hong Kong |
Melanie Tsui, Hong Kong |
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