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A Comparative Overview Of Select China Consumer Loan ABS

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Assessing The Evolving Third-Party Loan Origination Legal Risks For U.S. Consumer Loan ABS

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Navigating Tariffs' Credit Implications Across Asset Classes

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Private Credit Penetrates Asia-Pacific Securitization Markets


A Comparative Overview Of Select China Consumer Loan ABS

In light of increasing inquiries from investors and surging issuance volume of consumer loan asset-backed securities (ABS), S&P Global Ratings has compiled key asset characteristics and performance trends of certain frequent consumer loan ABS issuers. The information is based off publicly available data. This overview report aims to facilitate understanding of the fundamentals of the consumer loan ABS market in China, and is also meant to provide comparability for the sector.

Selected Originators And Transaction Series

Table 1 shows the number of the consumer loan ABS issuances from active consumer finance companies (CFCs) under the credit ABS scheme.

Table 1

Consumer finance ABS series name Anyihua Xingqing Haixin Dingyou
Issuer Mashang CFC Industrial CFC Haier CFC Henan Zhongyuan CFC
Total number of consumer loan ABS transactions* issued as of end-2023 13 10 2 6
*Under credit ABS scheme managed by the National Financial Regulatory Administration and the People's Bank of China. Source: Chinabond, compiled by S&P Global Ratings.

Dynamic Data Peer Comparison: 61-90 Days Past Due Ratio

As part of a regulatory push for transparency, originators provide historical static and dynamic performance data in the shelf-registration documents.

Based on historical dynamic data of selected originators that are active in the ABS market, we compiled the ratio of loans 61-90 days past due (see chart 1).

Chart 1

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Summary of Selected Transactions

Table 2

Summary of key pool characteristics
Originator/Series Mashang CFC/Anyihua Series Industrial CFC/Xingqing Series Haier CFC/Haixin Series Henan Zhongyuan CFC/Dingyou Series
Deal Anyihua 2023-6 Anyihua 2023-5 Xingqing 2023-2 Xingqing 2023-1 Haixin 2023-2 Haixin 2023-1 Dingyou 2023-4 Dingyou 2023-3
Trust Settlement Date 12/26/2023 11/8/2023 8/24/2023 7/20/2023 11/10/2023 7/21/2023 10/27/2023 8/23/2023
Issuance Size (RMB) 1,500,000,000 1,500,000,000 2,000,000,000 2,000,000,000 2,000,000,000 1,047,538,215 1,512,693,741 1,122,295,066
Revolving Pool (Yes/No) Yes Yes Yes Yes No No Yes Yes
Revolving period (months) 7 7 9 9 n.a. n.a. 8 9
Initial Loan Pool Statistics Summary
Total number of contracts 365,642 458,178 16,600 17,000 415,687 127,858 497,065 404,870
Total receivable balance of contracts (RMB) 1,500,000,000 1,500,000,000 2,000,000,000 2,000,000,000 2,000,000,000 1,047,538,215 1,512,693,741 1,122,295,066
Maximum receivables balance of contracts (RMB) 50,000 50,000 189,000 189,300 200,000 200,000 100,000 76,500
Average receivables balance of contracts (RMB) 4,100 3,300 120,500 117,600 4,800 8,200 3,000 2,800
Weighted-average interest rate (%) 23.8 23.8 19.7 19.8 23.1 21.6 21.5 15.9
Weighted-average contract term (months) 10.3 10.7 34 33.7 11.1 14 11.4 13.9
Weighted-average remaining term to maturity (months) 8.9 9.5 24.6 23.7 8.2 12.2 7.7 7
Weighted-average contract seasoning (months) 1.4 1.2 9.4 10 3 1.9 3.6 6.9
Loan Pool Characteristics (% Pool By Outstanding Principal Balance At Closing)
Repayment Method 
- Equal installment or equal principal 100.0% 100.0% 100.0% 100.0% 96.3% 97.2% 98.8% 99.2%
- IO loans (bullet or balloon) 0.0% 0.0% 0.0% 0.0% 3.7% 2.8% 1.2% 0.8%
Ranking Of Loan Purpose 
1 Consumer electronics 27.86% Consumer electronics 28.19% House decoration 56.00% House decoration 55.07% Others 58.21% Furniture 44.46% House decoration 30.65% Consumer electronics 44.46%
2 House decoration 25.19% House decoration 24.86% Furniture 19.14% Furniture 19.16% Furniture 20.39% Others 27.30% Consumer electronics 14.59% House decoration 15.72%
3 Healthcare 16.98% Healthcare 16.95% Tourism consumption 11.86% Tourism consumption 12.88% Home appliances 14.10% Home appliances 16.68% Tourism consumption 12.56% Healthcare 9.11%
Interest Rate Type 
Fixed Rate 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00%
Geographic Concentration
Top 1 Jiangsu 8.76% Jiangsu 9.01% Fujian 17.68% Fujian 18.42% Jiangsu 7.76% Shandong 10.54% Henan 20.36% Henan 13.48%
Top 2 Anhui 7.81% Anhui 7.82% Anhui 16.85% Anhui 16.80% Sichuan 7.63% Sichuan 7.29% Jiangsu 10.25% Jiangsu 7.82%
Top 3 Sichuan 7.08% Henan 6.86% Shanghai 14.85% Shanghai 14.87% Shandong 7.53% Jiangsu 6.62% Anhui 7.77% Anhui 7.14%
Source: Offering circular documents published on Chinabond, compiled by S&P Global Ratings.

Summary of capital structure

According to our observation, notes subordination and excess spread provide primary credit enhancement for Chinese consumer loan ABS transactions. Overcollateralization is rarely found in recent deals.

Table 3

Originator /Series Mashang CFC/Anyihua Series Industrial CFC/Xingqing Series Haier CFC/Haixin Series Henan Zhongyuan CFC/Dingyou Series
Deal Anyihua 2023-6 Anyihua 2023-5 Xingqing 2023-2 Xingqing 2023-1 Haixin 2023-2 Haixin 2023-1 Dingyou 2023-4 Dingyou 2023-3
Tranches
Amount (Mil. RMB) % of total Issuance Amount (Mil. RMB) % of total Issuance Amount (Mil. RMB) % of total Issuance Amount (Mil. RMB) % of total Issuance Amount (Mil. RMB) % of total Issuance Amount (Mil. RMB) % of total Issuance Amount (Mil. RMB) % of total Issuance Amount (Mil. RMB) % of total Issuance
A1 450.0 30.0 1,125.0 75.0 540.0 27.0 550.0 27.5 1,480.0 74.0 762.0 72.7 1,110.0 73.4 807.5 72.0
A2 660.0 44.0 0.0 n.a. 990.0 49.5 1,000.0 50.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
B 165.0 11.0 150.0 10.0 150.0 7.5 150.0 7.5 110.0 5.5 60.0 5.7 90.0 6.0 57.0 5.1
C 0.0 n.a. 0.0 n.a. 120.0 6.0 0.0 0.0 0.0 0.0 0.0 0.0 128.0 8.5 0.0 0.0
D 0.0 n.a. 0.0 n.a. 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0 0.0
Sub 225.0 15.0 225.0 15.0 200.0 10.0 300.0 15.0 410.0 20.5 225.5 21.5 184.7 12.2 257.8 23.0
Total 1,500.0 100.0 1,500.0 100.0 2,000.0 100.0 2,000.0 100.0 2,000.0 100.0 1,047.5 100.0 1,512.7 100.0 1,122.3 100.0
Subordination (%)
A1 26 25 23.5 22.5 26 27.26 26.62 28.05
A2 26 n.a. 23.5 22.5 n.a. n.a. n.a. n.a.
B 15 15 16 15 20.5 21.53 20.67 22.97
C n.a. n.a. 10 n.a. n.a. n.a. 12.21 n.a.
D n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a.
Sub n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a.
Coupon(%)
A1 2.95 3 2.32 2.42 2.8 2.6 2.95 2.85
A2 3 n.a. 2.4 2.46 n.a. n.a. n.a. n.a.
B 3.5 3.5 2.67 2.75 2.9 2.9 3.10 3
C n.a. n.a. 3.35 n.a. n.a. n.a. 4.50 n.a.
D n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a.
Sub n.a. n.a. n.a. n.a. n.a. n.a. n.a. n.a.
Weighted average 2.59 2.60 2.22 2.10 2.23 2.06 2.73 2.20
n.a.--Not applicable. Sources: Offering circular and pricing documents published on Chinabond, compiled by S&P Global Ratings.

Performance Trend By Originator

To obtain more color on performance trends, we have also compiled some of the key data from the disclosed shelf-registration reports, as depicted in the following tables and charts. These include:

  • Available static pool data disclosed by originators and the number of quarterly vintages with a payout ratio of at least 80%.
  • Deemed default rate (DDR): In our credit risk analysis on consumer loans, we normally assume all loans overdue more than 90 days would default. Thus, we use the ratio of cumulative percentage of loans in arrears by 91-120 days to the initial pool balance as the deemed default proxy.
  • Annual vintage performance: The cumulative default experience of the originator's consumer loan portfolio by year of origination, based on our assumption of deemed default proxy.
  • Dynamic pool performance.

Mashang CFC

Data period No. of quarterly vintages with payout ratio no less than 80% (sample quarters)
Jan 2016 – Aug 2023 28

Vintage* Static Pool DDR§ (%)
2016Q1 3.27
2016Q2 8.68
2016Q3 8.70
2016Q4 6.57
2016 Weighted Average 7.69
2017Q1 5.18
2017Q2 6.83
2017Q3 6.18
2017Q4 5.76
2017 Weighted Average 5.98
2018Q1 5.36
2018Q2 4.02
2018Q3 3.65
2018Q4 3.12
2018 Weighted Average 3.78
2019Q1 2.70
2019Q2 3.04
2019Q3 3.38
2019Q4 3.00
2019 Weighted Average 3.08
2020Q1 3.80
2020Q2 2.19
2020Q3 2.02
2020Q4 2.12
2020 Weighted Average 2.43
2021Q1 2.37
2021Q2 2.95
2021Q3 2.82
2021Q4 2.11
2021 Weighted Average 2.57
2022Q1 1.91
2022Q2 2.00
2022Q3 2.09
2022Q4 1.74
2022 Weighted Average 1.94
Sample quarters WA 2.53
*The payout ratio of the listed quarterly vintages is no less than 80%. §DDR is the ratio of cumulative percentage of loans in arrears by 91-120 days to the initial pool balance, without any gross up or projection. Sources: Shelf-registration documents published on Chinabond and additional data provided by Mashang CFC for our rated transactions, compiled by S&P Global Ratings.

Chart 2

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Chart 3

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Industrial CFC

Data period No. of quarterly vintages with payout ratio no less than 80% (sample quarters)
Sep 2017 – Jun 2022 12

Vintage* Static Pool DDR§ (%)
2017Q3 3.85
2017Q4 3.54
2017 Weighted Average 3.67
2018Q1 5.36
2018Q2 4.02
2018Q3 3.65
2018Q4 3.12
2018 Weighted Average 3.85
2019Q1 2.70
2019Q2 3.04
2019Q3 3.38
2019Q4 3.00
2019 Weighted Average 3.07
2020Q1 3.80
2020Q2 2.19
2020 Weighted Average 3.01
Sample quarters WA 4.82
*The payout ratio of the listed quarterly vintages is no less than 80%. In the shelf-registration document, the originator has only disclosed data of monthly vintages originated in March, June, September, and December of each year. §DDR is the ratio of cumulative percentage of loans in arrears by 91-120 days to initial pool balance, without any gross up or projection. Source: Shelf-registration documents published on Chinabond, compiled by S&P Global Ratings.

Chart 4

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Chart 5

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Haier CFC

Data period No. of quarterly vintages with payout ratio no less than 80% (sample quarters)
Jan 2019 – Jul 2023 16

Vintage* Static Pool DDR§ (%)
2019Q1 1.32
2019Q2 1.11
2019Q3 2.91
2019Q4 2.26
2019 Weighted Average 2.06
2020Q1 2.14
2020Q2 2.00
2020Q3 1.89
2020Q4 1.63
2020 Weighted Average 1.90
2021Q1 2.83
2021Q2 5.19
2021Q3 6.83
2021Q4 5.21
2021 Weighted Average 5.34
2022Q1 3.75
2022Q2 3.78
2022Q3 3.69
2022Q4 2.09
2022 Weighted Average 3.08
Sample quarters WA 3.42
*The payout ratio of the listed quarterly vintages is no less than 80%. §DDR is the ratio of cumulative percentage of loans in arrears by 91-120 days to the initial pool balance, without any gross up or projection. Source: Shelf-registration documents published on Chinabond, compiled by S&P Global Ratings.

Chart 6

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Chart 7

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Zhongyuan CFC

Data period No. of quarterly vintages with payout ratio no less than 80% (sample quarters)
Nov 2017 – Mar 2023 19

Vintage* Static Pool DDR§ (%)
2017Q4 4.20
2017 Weighted Average 4.20
2018Q1 3.66
2018Q2 4.46
2018Q3 5.45
2018Q4 2.88
2018 Weighted Average 4.34
2019Q1 3.03
2019Q2 4.30
2019Q3 6.67
2019Q4 5.92
2019 Weighted Average 5.30
2020Q1 4.16
2020Q2 3.06
2020Q3 3.56
2020Q4 3.08
2020 Weighted Average 3.46
2021Q1 3.42
2021Q2 3.21
2021Q3 2.70
2021Q4 3.12
2021 Weighted Average 3.06
2022Q1 2.87
2022Q2 1.02
Sample quarters WA 1.67
*The payout ratio of the listed quarterly vintages is no less than 80%. §DDR is the ratio of cumulative percentage of loans in arrears by 91-120 days to initial pool balance, without any gross up or projection. Source: Shelf-registration documents published on Chinabond, compiled by S&P Global Ratings.

Chart 8

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Chart 9

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Related Research

This report does not constitute a rating action.

Primary Credit Analyst:Carol Hu, Hong Kong + 852-2912-3066;
carol.hu@spglobal.com
Secondary Contacts:Yilin Lou, Hong Kong +852 2533 3524;
yilin.lou@spglobal.com
Andrea Lin, Hong Kong + 852 2532 8072;
andrea.lin@spglobal.com
Jerry Fang, Hong Kong + 852 2533 3518;
jerry.fang@spglobal.com

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