资产证券化：批量调整存量房贷利率对RMBS产品影响分析

Group 1: Interest Rate Adjustments - The People's Bank of China announced on September 29, 2024, to guide commercial banks in batch adjustments of existing mortgage loan rates, with an expected average reduction of 0.5 percentage points[2] - The average interest rate for new mortgage loans is expected to be adjusted to LPR minus 30 basis points, approximately 3.55%[5] - As of June 2024, the balance of personal housing loans was 37.79 trillion yuan, a year-on-year decrease of 2.1%[2] Group 2: RMBS Product Impact - The batch adjustment of mortgage rates is anticipated to lead to a decline in excess spread for existing RMBS products, with over half potentially showing negative excess spread if the weighted average rate drops to 3.55%[1] - As of August 2024, 37 RMBS products had negative excess spreads, with 33 of these products having negative spreads within 100 basis points[5] - The early repayment rate of RMBS products has been high, influenced by the adjustment of mortgage rates and residents' willingness to reduce leverage[3] Group 3: Credit Support and Risk - The credit support for priority securities remains strong, with 61 products having credit support exceeding 30% despite the decline in excess spread[5] - Some RMBS products have asset pool balances lower than the securities balance, necessitating close monitoring of the impact on subordinate securities' principal and returns[5]