银行间市场消费贷款ABS次级档研究

Market Overview - The issuance scale of consumer loan ABS products has steadily increased, reaching a total issuance of 96 products and a cumulative scale of CNY 1,923 billion by the end of 2023[15] - In 2023, 24 products were issued by 10 initiating institutions, with a total issuance scale of CNY 410 billion, representing a growth of 35.59% compared to the previous year[15] Securitization Characteristics - The average remaining term of the underlying asset pools for the issued consumer loan ABS products is generally within 30 months, indicating a high early repayment rate[9] - Among the 68 cleared consumer loan ABS products, 70.83% have completed liquidation, with a total liquidation scale of CNY 1,394.52 billion[12] Issuance and Liquidation Structure - The majority of consumer loan ABS products are issued by consumer finance companies, accounting for 69 products with a total issuance of CNY 1,159 billion, while commercial banks issued 27 products totaling CNY 764 billion[18] - The liquidation methods include repurchase and original distribution, with repurchase accounting for 49.86% and original distribution for 50.14% of the total liquidation scale[14] Risk and Return Analysis - The average expected term for the subordinate securities at issuance was 29.31 months, with an average actual term of 13.10 months, reflecting the flexibility of personal consumer loan repayments[46] - The internal rate of return (IRR) for subordinate securities ranges from 5.25% to 15.01%, with an average of 8.43% for externally placed products[54] Default Rates - The cumulative default rate for asset pools of consumer finance companies is concentrated above 3%, which is significantly higher than that of commercial banks[33] - The average cumulative default rate for products cleared through repurchase is 2.45%, with a maximum of 5.45%[58]