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China Securitization: Auto ABS And RMBS Tracker April 2023


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China Securitization: Auto ABS And RMBS Tracker April 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

Early delinquency ratios stabilize.
  • The weighted average 30-plus-day delinquency ratio of auto asset-backed securities (ABS) transactions that we rate came down to 0.31% in April from 0.40% in March. This was mainly due to the paydown of a deal with distinct pool attributes, and stabilization in early delinquency ratios.
  • The severe delinquency rate (90 plus days) also dropped to 0.18% in April from 0.26% in March.
  • 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 ratios of our rated pools ranged from 0.02%-5.48% in April.
  • 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 0.15% and 0.06%, respectively. These transactions with broader customer bases had higher credit enhancement provided at deal close to address foreseen credit risks.
  • Early delinquency ratios (31-60 days in arrears and 61-90 days in arrears) have been falling since January and February, after the removal of pandemic-related restrictions by the end of 2022. This stabilizing trend has now slowly emerged in the late delinquency ratio, as shown in the lowered 90-plus-day delinquency ratio in April. While some transactions may still need more time to work out their accumulated severe delinquent loans, the credit quality supporting auto ABS transactions that we rate will likely remain solid and generally stable as China's economic recovery continues following the pandemic.

Table 1

30-Plus-Day And 90-Plus-Day Delinquency Rate Composite
Apr-22 May-22 Jun-22 Jul-22 Aug-22 Sep-22 Oct-22 Nov-22 Dec-22 Jan-23 Feb-23 Mar-23 Apr-23 12-month moving average Average in 2022
30+ DPD (%) 0.25 0.30 0.24 0.26 0.29 0.29 0.33 0.34 0.39 0.47 0.46 0.40 0.31 0.34 0.27
90+ DPD (%) 0.11 0.14 0.12 0.14 0.16 0.16 0.18 0.20 0.23 0.25 0.26 0.26 0.18 0.19 0.14
DPD--Days past due.

Chart 1


Upward momentum in coupon rates stalls.
  • One-year and the five-year loan prime rates (LPR) have remained unchanged at 4.30% and 3.65%, respectively, since September 2022.
  • The three-month median of auto-loan ABS coupon rates dropped slightly to 2.55% for February-April 2023, from 2.59% for January-March, in contrast with with the previous rising trend seen since August-October 2022.
  • The recent shift in coupon movements as of April could be in part due to liquidity unleashed after the People's Bank of China lowered the reserve requirement ratio by 25 basis points in late March.

Chart 2



Stabilization signals emerge in delinquency ratios.
  • The weighted average 30-plus-day delinquency ratio of residential mortgage-backed securities (RMBS) transactions that we rate increased to 1.28% in April from 1.23% in March.
  • The weighted average 90-plus-day delinquency ratio also continued rising to 1.12% from 1.07% 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.
  • We have seen some signs of stabilization in asset performance. The weighted average ratio of 61-90 days past due remained at 0.06% in April, relatively stable after peaking in January. Meanwhile, the rise in severe delinquency rates has been driven more by the paydown of the underlying pools than the increase in severe delinquent amounts, per our estimate.
  • China property is set for another year of softening. Conditions are coming close to normal in richer, upper-tier cities. However, S&P Global Ratings believes that weaknesses in China's tier-three and four cities will keep the property recovery on an "L-shaped" path (see "China Property Watch: Peripheral Pain" published May 22, 2023).

Table 2

Delinquency Rate Composite
Apr-22 May-22 Jun-22 Jul-22 Aug-22 Sep-22 Oct-22 Nov-22 Dec-22 Jan-23 Feb-23 Mar-23 Apr-23 12-month moving average Average in 2022
61-90 DPD (%) 0.06 0.05 0.06 0.04 0.05 0.05 0.05 0.07 0.06 0.08 0.05 0.06 0.06 0.06 0.05
30+ DPD (%) 0.74 0.80 0.83 0.85 0.90 0.94 1.01 1.07 1.13 1.15 1.20 1.23 1.28 1.03 0.85
90+ DPD (%) 0.60 0.65 0.68 0.73 0.77 0.80 0.85 0.88 0.95 0.99 1.03 1.07 1.12 0.88 0.71
DPD--Days past due.

Chart 3


Annual Review* In March-April 2023

Transaction Name Date
Silver Arrow China 2022-1 Retail Auto Loan Asset Backed Notes Trust 3/14/2023
Jianyuan 2020-2 Residential Mortgage Backed Securities 3/29/2023
Jianyuan 2020-12 Residential Mortgage Backed Securities 3/29/2023
Jianyuan 2021-8 Residential Mortgage Backed Securities 3/29/2023
*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:Melanie Tsui, Hong Kong +852 2532 8087;
Carol Hu, Hong Kong + 852-2912-3066;
Secondary Contacts:Jerry Fang, Hong Kong + 852 2533 3518;
Yilin Lou, Hong Kong +852 2533 3524;

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