A few days ago, the “Asset Securitization Development Report for the First Half of 2020” jointly released by ChinaBond R&D Center and Dongfang Jincheng showed that in the first half of 2020, my country issued a total of 936.323 billion yuan of standardized asset securitization products, a year-on-year decrease of 1%; at the end of June, The market stock was 4330.792 billion yuan, a year-on-year increase of 26%.
The report shows that the issuance of three types of standardized products is differentiated. In recent years, retail loans such as personal housing mortgage loans have become the main assets of credit asset-backed securities (credit ABS). Affected by the epidemic, the rate of generation of bank credit assets such as personal mortgage loans, credit card loans, and consumer loans declined in the first quarter, resulting in the outflow of existing assets. Insufficient demand for balance sheet, credit ABS issuance has slowed down significantly; while in the environment of strong corporate financing needs and low-interest rates, corporate asset-backed securities (corporate ABS) and asset-backed notes (ABN) with non-financial companies as the initiators continued to expand.
Specifically, in the first half of the year, the issuance of credit ABS was 207.724 billion yuan, a year-on-year decrease of 42%, accounting for 22% of the total issuance; the stock was 1,964.683 billion yuan, a year-on-year increase of 22%, accounting for 45% of the total market. Corporate ABS issued 560.915 billion yuan, a year-on-year increase of 19%, accounting for 60% of the total issuance; the stock was 1,883.867 billion yuan, a year-on-year increase of 22%, accounting for 44% of the total market. ABN issued 167.684 billion yuan, a year-on-year increase of 40%, accounting for 18% of the total issuance; the stock was 482.242 billion yuan, a year-on-year increase of 73%, accounting for 11% of the total market.
Judging from the issuance rate of asset securitization products, in the first half of 2020, the issuance rate of asset securitization products showed a fluctuating downward trend as a whole. According to the report, among them, the highest issuance rate of credit ABS priority A securities is 4.2%, the lowest issuance rate is 1.65%, the average issuance interest rate is 2.89%, and the cumulative decline in the first half of the year is 89 bp; the highest issuance rate of priority B securities is 5.35%. , the minimum issuance rate is 2.40%, the average issuance rate is 3.50%, and the cumulative decline in the first half of the year is 67 bp.
In the secondary market, in the first half of this year, the liquidity of the asset securitization secondary market increased slightly compared with the same period in 2019. Taking the credit ABS under the custody of CCDC as an example, the settlement volume of spot bonds in the first half of the year was 197.320 billion yuan, a year-on-year increase of 40.82%; the turnover rate was 10.26%, a year-on-year increase of 1.53 percentage points, reflecting the year-on-year increase in transaction activity. Compared with the overall turnover rate of 113.17% of CCDC’s custodial bonds in the first half of the year, the liquidity level of asset securitization products is still significantly low.
It is worth noting that in the first half of this year, asset securitization innovations continued. First of all, the issuance of “epidemic prevention and control ABS” to help anti-epidemic financing. After the outbreak of the new crown epidemic, with policy support and market promotion, many raised funds were invested in the issuance of ABS products related to epidemic prevention and control, which played a positive role in supporting epidemic prevention and control work, helping enterprises to resume work in an orderly manner, and ensuring the smooth operation of production and operation. . According to statistics, in the first half of the year, a total of 42 “epidemic prevention and control ABS” were issued, with a total scale of 72.1 billion yuan.
Second, the “ChinaBond-Personal Housing Mortgage Asset-Backed Securities Index” was released. “ChinaBond-Personal Housing Mortgage Asset-Backed Securities Index” belongs to the ChinaBond General Index family. The index constituent bonds are composed of personal housing mortgage loan asset-backed securities that are publicly issued and circulated in China. The index of the investment income and price trend of asset-backed securities (RMBS) can be used as the performance benchmark and underlying index for investing in such bonds.
Once again, the first non-performing individual housing mortgage-backed securities CRMW was issued. On June 29, CITIC Securities successfully issued a credit risk mitigation certificate with a total scale of 875 million yuan in the inter-bank market (hereinafter referred to as “CRMW”), is the first CRMW in the market targeting non-performing residential-backed securities, and the largest mortgage CRMW created in the inter-bank market so far.
For further promoting the development of the asset securitization market, the report puts forward four recommendations:
One is to mobilize the enthusiasm of commercial banks and stimulate the vitality of the credit ABS market. It is recommended to consider granting risk retention exemption to high-quality credit ABS products (such as RMBS) with highly dispersed underlying assets and low default risk or appropriately reduce the risk weight of the subordinated portion held by the originating bank to increase the willingness to issue assets. Under the premise of controllable risks, consider increasing policy support for commercial banks to carry out non-performing loan ABS business, continue to expand the scope of pilot projects, cultivate multi-level qualified investors, and timely promote the transformation of non-performing loan ABS business from pilot to normal. It is recommended to promote the market maker mechanism, improve the convenience of credit ABS as collateral for inter-bank tripartite repurchase, and enhance the mutual recognition of credit ABS pledged repurchase, thereby improving the liquidity of the secondary market and forming positive feedback on the primary market.
The second is to promote the penetration registration of basic assets and improve the standardization level of information disclosure. The report proposes to refer to the information disclosure standards of mature asset securitization markets such as the United States, learn from the practice of the domestic credit asset circulation market, and promote the penetrating registration of securitization underlying assets one by one, to improve the transparency of information disclosure of domestic asset securitization products, and better To protect the interests of investors, timely monitor and prevent market risks. It is recommended to coordinate existing resources, promote the standardization of asset securitization product information disclosure form templates, realize standardized, electronic disclosure and machine-readable, facilitate investors and third-party valuation agencies to identify and obtain field information, and provide information for risk assessment and investment. Decision-making provides scientific reference.
The third is to gradually unify regulatory standards and promote the interconnection of trading markets. my country’s asset securitization market covers multiple trading venues with different regulatory systems, which can easily lead to regulatory arbitrage and pricing distortions. The report recommends unified regulatory requirements for access policies, risk measurement, and information disclosure for similar asset securitization products to eliminate regulatory differences and promote standardized development, especially for bank credit, small loans, Internet loans, and other credit ABS products. Registration, unified information disclosure requirements. Consider referring to the practice of “Ping An Bank No. 1 Small Consumer Loan ABS” [In 2014, “Ping An Bank No. 1 Small Consumer Loan Asset-Backed Securities” was listed on the Shanghai Stock Exchange, and the Central Clearing Company was connected to the Shanghai Stock Exchange for registration, custody, and settlement. It is an asset Beneficial attempt to interconnect the securitization market], and follow the laws of market development and international trends, explore and promote the overall integration of custody and settlement infrastructure, to accelerate the interconnection of the asset securitization inter-bank market and the exchange market, and reduce the drawbacks of market segmentation.
The fourth is to promote the coordinated development of circulation and securitization and strengthen the standardization of the circulation market. International experience shows that securitization and circulation are complementary channels for revitalizing credit assets. Asset securitization is suitable for a single small-scale, highly homogeneous retail loan, and credit asset transfer is suitable for a single large-amount, highly personalized corporate loan. The report proposes to simultaneously develop the circulation of credit assets and the securitization of credit assets, give full play to the comparative advantages of the two types of businesses, form a rational division of labor, and improve the efficiency and professional level of credit asset activation. In the process of developing the circulation market, it is necessary to strengthen the standardization construction. By the requirements of the “Guiding Opinions on Regulating the Asset Management Business of Financial Institutions”, “Standardized Determination Rules for Debt Assets” and other regulatory documents, standardized credit asset circulation products should be created to further expand investment. To improve the scope of information disclosure and fair pricing mechanism, and improve market liquidity.
