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China Securitization: Auto ABS And RMBS Tracker February 2023


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China Securitization: Auto ABS And RMBS Tracker February 2023

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 continue to see divergence, performance volatilities could remain elevated.
  • The weighted average 30-plus-day delinquency ratio of auto asset-backed securities (ABS) transactions that we rate dropped slightly to 0.46% in February from 0.47% in January. This was mainly due to the inclusion a newly rated deal.
  • The severe delinquency rate (90 plus days) crept up slightly to 0.26% in February, up by 1 basis point from January.
  • Delinquencies continued to diverge in the transaction portfolio that we rate, because we have included deals with broader customer bases. For example, the 30-plus-day delinquency ratio of our rated pools ranged from 0.02%-6.04% in February.
  • When the transactions with broader customer bases are excluded, the weighted average 30-plus-day and 90-plus-day delinquency ratios remained relatively low at 0.18% and 0.07%, respectively. These transactions with broader customer bases had higher credit enhancement provided at deal close to address foreseen credit risks.
  • In our view, an economy recovery following the pandemic will help asset performance improve in the medium-term. We have seen improvement in 31-60 days arrears and 61-90 days arrears for a majority of our rated auto ABS transactions in February. However, transactions with broader customer bases may continue to diverge in terms of asset performance, since they are more susceptible to market volatility amid uncertain economic conditions. In general, we believe volatility in delinquency rates could remain elevated for another month or two.

Table 1

30-Plus-Day And 90-Plus-Day Delinquency Rate Composite
Feb-22 Mar-22 Apr-22 May-22 Jun-22 Jul-22 Aug-22 Sep-22 Oct-22 Nov-22 Dec-22 Jan-23 Feb-23 12-month moving average Average in 2022
30+ DPD (%) 0.21 0.21 0.25 0.30 0.24 0.26 0.29 0.29 0.33 0.34 0.39 0.47 0.46 0.32 0.27
90+ DPD (%) 0.08 0.09 0.11 0.14 0.12 0.14 0.16 0.16 0.18 0.20 0.23 0.25 0.26 0.17 0.14
DPD--Days past due.

Chart 1


Upward momentum in coupon rates slows.
  • The one-year and the five-year loan prime rates (LPR) have remained unchanged at 4.30% and 3.65%, respectively, since September 2022.
  • Market liquidity tightened marginally in February, primarily due to seasonal factors and increased financing needs fueled by China's reopening.
  • The three-month median of auto-loan ABS coupon rates inched up to 2.48% for December-February, from 2.45% for November-January.
  • Despite the recent uptick, we believe that the upward trend in coupon rates will likely stall in the near future. This could be because of the liquidity unleashed following the decision by People's Bank of China to lower the reserve requirement ratio by 25 basis points in late March.

Chart 2



Volatility in delinquency rates could remain elevated
  • The weighted average 30-plus-day delinquency ratio of residential mortgage-backed securities (RMBS) transactions that we rate increased to 1.20% in February from 1.15% in January.
  • The weighted average 90-plus-day delinquency ratio also continued rising to 1.03% from 0.99% over the same period.
  • In general, the aforementioned arrear ratios tend to trend upward gradually over time if no new transaction is included. This is largely because the underlying pools continue to pay down, while severe delinquent loans take time to work out.
  • The weighted average ratio of 61-90 days past due declined to 0.05% in February, from 0.08% in January. Volatility in delinquency rates could remain elevated for another month or two because of the lagging impact from COVID-19.
  • The Chinese government has rolled out a number of supportive measures to ease liquidity pressure on property developers and to lift restrictions on home purchases. The full effects of these measures remain to be seen amid some signs of recovering homebuyer confidence.

Table 2

Delinquency Rate Composite
Feb-22 Mar-22 Apr-22 May-22 Jun-22 Jul-22 Aug-22 Sep-22 Oct-22 Nov-22 Dec-22 Jan-23 Feb-23 12-month moving average Average in 2022
61-90 DPD (%) 0.03 0.04 0.06 0.05 0.06 0.04 0.05 0.05 0.05 0.07 0.06 0.08 0.05 0.05 0.05
30+ DPD (%) 0.65 0.70 0.74 0.80 0.83 0.85 0.90 0.94 1.01 1.07 1.13 1.15 1.20 0.94 0.85
90+ DPD (%) 0.55 0.57 0.60 0.65 0.68 0.73 0.77 0.80 0.85 0.88 0.95 0.99 1.03 0.79 0.71
DPD--Days past due.

Chart 3


Annual Review* In February 2023

Transaction Name Date
Autopia China 2022-2 Retail Auto Mortgage Loan Securitization Trust 2/10/2023
Driver China eleven Trust 2/24/2023
*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 by clicking on Regulatory Disclosures underneath the current credit ratings.

Related Research

This report does not constitute a rating action.

Primary Credit Analysts:Carol Hu, Hong Kong + 852-2912-3066;
Melanie Tsui, Hong Kong +852 2532 8087;
Secondary Contacts:Jerry Fang, Hong Kong + 852 2533 3518;
Yilin Lou, Hong Kong +852 2533 3524;

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