Group 1: Product Expiration Overview - In 2024, a total of 260 credit ABS products will expire, with NPL and RMBS products accounting for 89 and 78 products respectively, together representing nearly two-thirds of all expiring products[4] - The top five initiating institutions for expiring products include China Construction Bank, Bank of China, Ping An Bank, China Merchants Bank, and Minsheng Bank, with a focus on RMBS and NPL products[5] Group 2: Product Duration Analysis - Among the 260 expiring products, 237 have had their subordinate securities redeemed, while 23 products, all NPLs, have not been redeemed[9] - RMBS products have an average duration of 5.47 years, with the longest at 9.10 years, while other products like Auto ABS and consumer loan ABS have durations mainly concentrated between 1-2 years[11] Group 3: Product Liquidation Methods - Out of the 260 products, 226 have been liquidated, leaving 34 products unliquidated, which includes 12 normal loan ABS and 22 NPL products[12] - The predominant liquidation methods are warehouse repurchase and original distribution, accounting for over 98% of liquidated products[12] Group 4: Subordinate Securities Placement and Yield Analysis - Of the 260 products, 127 had subordinate securities placed externally, representing nearly 50% of the total[14] - The average yield for subordinate securities in normal loan ABS is significantly lower, typically in the 6-7% range, while NPL products have an average yield of 24.65%[17]

Summary of Key Points from the Conference Call Industry Overview - The conference call primarily discusses the structured credit market, focusing on asset-backed securities (ABS), collateralized loan obligations (CLOs), and commercial mortgage-backed securities (CMBS) [2][3][6][8]. Core Insights and Arguments 1. **Issuance Slowdown**: The structured credit market is expected to experience a significant slowdown in issuance, as indicated by a drop in ABS-15G filings, which serve as a proxy for deal volume [2][27]. 2. **CLO Market Dynamics**: While CLO creation has remained stable, it is anticipated that the primary CLO market will slow down as new issue spreads align with secondary market spreads [3][35]. 3. **Used Car Prices Impact**: An increase in used car prices, which rose by 10%, is projected to reduce auto ABS severities by 2-2.5%, providing some insulation for auto ABS mezzanine bonds during a recession [6][21]. 4. **Rising Default Rates**: Higher leveraged loan default rates are expected, with forecasts suggesting that the share of CCC-rated loans in CLO portfolios could rise from 6.6% to 9.1% if default rates reach 8% [15][17]. 5. **CMBX Downgrade**: The CMBX 17 BBB- rating has been downgraded to neutral from overweight due to concerns about the correlation between growth and rates, which may not stabilize as previously thought [6][8]. 6. **Investment Strategy**: Investors are advised to shift towards higher-quality SA/SB BBB bonds, which, despite appearing expensive, offer a defensive position against market volatility [12][16]. 7. **Tariff Impacts**: The automotive sector is facing potential price increases due to tariffs, which could raise new vehicle prices by approximately 15%, affecting auto ABS investors [21][22]. Additional Important Insights 1. **Market Volatility**: The structured credit market is currently turbulent, with a notable decline in ABS-15G filings, particularly in esoteric and equipment ABS [27][29]. 2. **CLO Pricing Discrepancies**: There is a divergence between primary and secondary CLO spreads, suggesting that current new issue pricing may not reflect true market conditions [35][38]. 3. **Defensive Positioning**: The recommendation for investors is to focus on secondary market opportunities, particularly for CLOs managed by experienced managers, to mitigate risks associated with rising default rates and market volatility [35][41]. 4. **Forecasts for Structured Products**: The report includes forecasts for structured product spreads and housing measures, indicating a cautious outlook for the market in the coming years [43][44]. This summary encapsulates the critical points discussed in the conference call, highlighting the current challenges and strategic recommendations for investors in the structured credit market.