2024年银行间个人住房抵押贷款资产支持证券（RMBS）市场运行回顾与2025年展望

Core Insights - In 2024, the RMBS market experienced significant early repayment peaks, particularly in January, March, and October, leading to a substantial net outflow in financing and a near halving of the outstanding product scale [1][2] - The early repayment rate for commercial bank RMBS was notably volatile, creating reinvestment risks for investors and reducing trading activity in the secondary market, while public fund holdings in RMBS continued to decline [1][2] - The weighted interest rate of RMBS underlying assets continued to decline due to the drop in LPR and the reduction of existing housing loan rates, although the overall overdue rate remained low [1][2] RMBS Early Repayment and Stock Situation - The early repayment rate for commercial bank RMBS was 43.61% in January and 75.97% in March 2024, with a slight increase to 28.21% in the following month, while housing provident fund RMBS showed stable repayment patterns [2][3] - Factors influencing early repayment included rising risk aversion among residents and widening interest rate spreads between existing and new housing loans [6][8] - By the end of 2024, the number of outstanding commercial bank RMBS products decreased to 207, with a total balance of 201.87 billion, a year-on-year decline of 55.14% [14][17] Secondary Market Trading and Public Fund Holdings - The secondary market for RMBS saw a significant decline in trading activity, with transaction numbers and amounts dropping by 85.60% and 75.88% respectively in 2024 [20][23] - The number of public funds holding RMBS products decreased from 88 to 36, with the market value dropping from 127.36 billion to 25.16 billion, indicating a continuous decline in interest [23][25] - Despite the overall decrease in secondary market activity, the proportion of transactions involving subordinate securities increased significantly, accounting for 65.77% of total transaction amounts [28] Characteristics and Overdue Performance of RMBS Products - As of the end of 2024, the RMBS products maintained a "small and diversified" characteristic, with a total asset pool balance of 2481.10 billion for commercial bank RMBS [33][36] - The cumulative overdue rate remained low, with large state-owned commercial banks showing stable performance, while urban commercial banks exhibited significant differentiation in overdue rates [40][46] - The overdue rates for commercial bank RMBS increased due to a substantial decline in the principal balance, reaching peaks of 0.2217% and 0.1412% for 31-60 days and 61-90 days overdue rates respectively [55][60] Outlook for 2025 - The RMBS market is expected to see limited issuance growth in 2025 as the real estate market is still in the early stages of recovery, with early repayment rates anticipated to return to reasonable levels following the central bank's interest rate adjustments [62][64] - The credit performance of RMBS underlying assets is expected to remain optimistic, despite a slight increase in overdue rates due to the decline in principal balances [64]