资产证券化市场运行报告2024

2024年第1季度112.520.620.916.066.763.52023/2024年第一季度12.520.620.916.066.763.52023/2024年第一季度各市场发行规模占比（%）.信贷ABSABN.企业ABS注：内环为2023年，外环为2024年来源：CNABS、惠誉博华《惠誉博华银行间市场RMBS指数报告2024Q1》《惠誉博华银行间市场车贷ABS指数报告2024Q1》《惠誉博华银行间市场消费贷ABS指数报告2024Q1》《惠誉博华银行间市场NPAS指数报告2024Q1》《惠誉博华银行间市场个贷ABS超额利差报告2024Q1》《惠誉博华资产证券化市场运行报告2023Q4》郑飞+861056633816fei.zheng@傅绪林+861056633817xulin.fu@李林+861059570964jack.li@ 2024年第1季度市场发行情况各市场发行规模和总单数—信贷ABS发行规模ABN发行规模亿元—企业ABS发行规模发行总单数(右轴)12,00090060030008,0004,0000来源：CNABS、惠誉博华23Q1发行额24Q1发行额23Q123Q1发行额24Q1发行额23Q1发行单数(右轴)24Q1发行单数(右轴)4503001500亿元600RMBS车贷ABS消费贷ABS小微ABSNPAS来源：CNABS、惠誉博华403020100ABN2024年第一季度发行情况24Q1发行额24Q1发行额24Q1发行单数(右轴)200100020100来源：CNABS、惠誉博华企业ABS2024年第一季度发行情况亿元24Q1发行额24Q1发行单数(右轴)60040020007550250来源：CNABS、惠誉博华2024年第1季度2资产证券化市场发行金额创新低：2024年一季度，全市场共计发行资产证券化总发行金额3,043.0亿元，首季度发行金额自2021年以来逐年回落，今年一季度发行金额同比下降17.2%，其中信贷ABS下降49.8%，企业ABS下降13.0%，ABN同比增长8.1%。在三个市场的占比结构方面，企业ABS依然稳居首位，信贷ABS占比跌落至12.5%，为2021年以来最低水平。NPAS主导信贷ABS发行结构变化：一季度信贷ABS发行29单，较去年同期增加1单；发行金额379.6亿元，同比下降约50%。其中N除NPAS外，其他基础资产类型交易的发行规模及单数均不及上年同期。由于NPAS单笔交易ABN发行同比增长，趋势难言反转：一季度共发行ABN交易71单，发行金额634.8亿元，发行规模虽较上年同期增长8.1%，但尚远低于2021年以来的季度数据，ABN发行的下行趋势依企业ABS发行整体疲弱，个人消费金融类型居前且稳定：一季度企业ABS发行单数和发行金额分别为230单和2,028.6亿元，均呈现同比下降，发行整体情况也仅略好于2022年一季度。市场交易情况资产证券化产品二级市场成交情况亿元4,0003,0002,0001,0000信贷ABS成交金额信贷ABS季度换手率(右轴)ABN成交金额ABN季度换手率(右轴)企业ABS成交金额企业ABS季度换手率(右轴)30%15%0%-15%-30%19Q119Q320Q120Q321Q121Q322Q122Q323Q123Q324Q1注：季度换手率=季度成交金额/季度平均余额来源：上证债券信息网、深圳证券交易所、Wind、惠誉博华成交量趋势性萎缩，换手率表现分化：一季度，资产证券化二级市场总成交金额为2,761.0亿元，同比大幅下降80.8%，交易跌幅连续两个月超过80%。同时信贷ABS存续证券规模连续模出现大幅萎缩。信贷ABS的二级交易萎缩程度大于存续证券规模的下降幅度，因此换手率有所下降。ABN成交金额为1,101.0亿元，同比下降41.3%，ABN存续证券规模自2022年四季度开始下降，降幅逐季加深，本季度存化不大，换手率也高于其他两个市场。企业ABS成交金额1,461.9亿元，同比下降36.8%，虽2024年第1季度3RMBS%353025RMBS%35302520151050%35302520151050存续信贷ABS增信水平变化情况增信水平季度增幅分布%35302520151050%353025201510500%8%16%24%32%40%消费贷ABS0%8%16%24%32%40%48%56%>60%车贷ABS0%6%12%18%24%30%36%>40%小微ABS0%8%16%24%32%40%48%56%>60%注：横轴为增信水平季度增幅绝对值分组，其中RMBS、车贷ABS、消费贷ABS和小微ABS的组距分别为2%、2%、4%和4%；横轴标注为每组上限；纵轴为该分组证券个数占比。来源：受托机构报告、CNABS、惠誉博华早于预期到期时间偿还完毕情况，季度内证券表现均信用支持有所增加。本季度，RMBS存续证券的增信增幅主要集中在0%-8%，少量证券增信增幅能超过30%。车贷ABS季度增信增幅主要分布于4%-10%，消费贷ABS则主要分布于0%-将在持续购买期结束后得以改善。小微ABS增信水平的季度增幅集中于0%-12%，且于靠前部截至2024年4月底银行间市场信贷ABS存续证券增信水平及变化情况见附录。市场动态2024-03-292024-03-292024-03-292024年第1季度402%002%0附录：2024年4月底银行间市场信贷ABS存续证券CE值及变化情况证券简称本季度CE季度变化证券简称本季度CE季度变化证券简称本季度CE季度变化证券简称本季度CE季度变化RMBS19和家4A219和家4B19和家4C19工元宜居8A219惠益10A319建元11A219惠益11A319惠益12A320融享1A220和家1A220和家1B20和家1C20浦鑫安居1A220建元1A220建元1A320邮元家和1优先20杭盈1A220建元2B20建元3A220建元3A320融享2A220建元4A220旭越1A220杭盈2A220建元5A220建元5A320建元6A220建元6A320招银和家2A120招银和家2A220招银和家3A120招银和家3A220招银和家4A120招银和家4A220建元7A220建元8A220兴元1A220杭盈3A220海元1A220招银和家5A120招银和家5A220建元9A220建元9A320鑫宁1A220建元10A220建元11A220豫鼎1A220中盈万家1A220中盈万家1A320建元12A320招银和家6A120招银和家6A220中盈万家2A220中盈万家2A320建元13A220创盈徽元1A220建元14A320浦鑫安居2A220浦鑫安居2A320莞鑫1A220建元15A220杭盈4A220招银和家8A120招银和家8A220招银和家7A161.4%55.5% 32.7% 85.2%45.7% 89.3%48.2%46.4% 62.4% 60.3%49.3% 31.6%45.4% 71.3% 71.3%46.5% 60.6%90.2% 71.6% 71.6%45.7% 74.7% 65.7% 61.1%51.5%51.5%56.9%56.9% 20.7% 20.7% 21.1% 21.1% 25.1% 25.1%59.7% 74.4%41.1%52.5%42.3% 30.7% 30.7% 82.6% 82.6%53.6% 79.7% 63.0% 37.8%41.0%41.0% 79.8% 26.0% 26.0% 28.3% 28.3%100.0% 86.6% 85.5% 30.1% 30.1%50.3%94.3%52.2% 28.2%28.2%29.5%6.0% 5.4% 3.4%28.7% 2.5%19.7% 3.0% 2.8% 4.9% 6.7% 5.5% 3.6% 3.1%13.1%13.1% 3.4% 4.4% 6.5%18.2%18.2% 3.5%20.2% 4.4% 4.8% 9.7% 9.7%13.9%13.9% 1.1% 1.1% 1.1% 1.1% 1.4% 1.4%14.6%20.6% 3.3% 3.6% 4.9% 1.6% 1.6%23.9%23.9% 2.3%23.1%15.9% 2.0% 8.6% 8.6%26.4% 1.6% 1.6% 2.4% 2.4%30.9% 4.6% 6.1% 2.4% 2.4%10.5% 7.0% 3.8% 1.6%1.6%1.8%20招银和家7A220蓉居1A220常安居1A220招银和家9A120招银和家9A221信融宜居1A221农盈汇寓1A221农盈汇寓1A321中盈万家1A221中盈万家1A321融享1A221建元3A221兴渝1A221杭盈1A221惠益1A221中盈万家2A221中盈万家2A321鑫宁1优先21兴元1A321惠益2A221招银和家1A221招银和家1A321招银和家1A421建元5A221惠益3A221邮元家和1优先21建元6A221建元6A321京诚1A221浦鑫1A221安鑫1A221安鑫1A321蓉居1A221建元7A221海元1优先21杭盈2A221中盈万家3A221中盈万家3A321邮元家和2优先21建元8B21招银和家2A221招银和家2A321建元9A221交盈1A221建元10A421招银和家4A221招银和家4A321招银和家4A421建元12A421交盈2A221兴元2A221兴元2A321招银和家3A221招银和家3A321惠益4A221建元13A221建元14A221中盈万家4A221中盈万家4A421中盈万家5A421建元15A421旭越1A221农盈汇寓2A221农盈汇寓2A321惠益5A229.5%51.2%54.5%34.8%34.8%55.1%28.3%28.3%44.4%44.4%29.6%82.7%51.2%58.1%42.4%43.6%43.6%43.5%29.8%41.7%30.9%30.9%30.9%82.0%43.2%37.1%68.8%68.8%33.5%32.5%40.2%40.2%43.4%74.7%85.2%45.3%39.5%39.5%36.3%80.6%23.0%23.0%95.9%21.1%89.4%20.6%20.6%20.6%76.7%21.1%25.9%25.9%19.3%19.3%45.7%94.7%74.1%40.0%40.0%57.2%80.6%44.0%29.3%29.3%34.1%1.8% 4.4% 3.9% 2.1% 2.1% 4.3% 1.9% 1.9%11.0%11.0% 1.6% 5.0% 3.1% 4.1% 3.0%10.2%10.2% 1.7% 1.9% 2.8% 2.0% 2.0% 2.0%23.4% 2.9% 2.6%20.3%20.3% 2.7% 2.3% 2.7% 2.7% 3.4%22.8%30.3% 2.4% 7.7% 7.7% 2.2%27.8% 1.1% 1.1%23.3% 1.6% 5.6% 1.4% 1.4% 1.4%22.1% 1.5% 1.5% 1.5% 1.5% 1.5% 3.3%30.5%18.2%13.5%13.5%17.4%19.5% 1.9% 1.9%1.9%2.2%21浦鑫2A221浦鑫2A321农盈汇寓3A221农盈汇寓3A321龙居安盈1A222邮元家和1优先22中盈万家1A222中盈万家1A322中盈万家1A429.9%29.9%29.6%29.6%24.8%37.6%33.8%33.8%33.8%2.2%2.2%2.0%2.0%1.9%2.8%6.9%6.9%6.9%14邮元1B16家美1A316家美1B16和家1A316企富1A216建元3A216建元4优先17兴元1A217龙居1B17建元8A218中盈1A218家美1A218中盈2A318兴元3A218交盈2A218广元1A218兴元4A218交盈3A219中盈万家1A319农盈1A219融享1A219兴元1A319交盈1A219农盈2A219农盈2A319九通1A219杭盈1A219交盈2A219惠益3A219惠益4A219惠益5A219杭盈2A219和家1A419鑫宁1A219兴元2A319浦鑫1A219和家2A219惠益6A219惠益7A219融享2A219建元8A319中盈万家3A319惠益8A219惠益9A319中盈万家4A219中盈万家4A319融享3A219农盈4A219农盈4A319和家3A219和家3B19和家3C19浦鑫安居1A219建元9A319工元安居4A219工元安居5A219建元10A319中盈万家5A219中盈万家5A319工元宜居7A219邮元家和1优先19旭越1A219杭盈3A219安鑫2A352.4%93.7%76.8%81.8%78.2%90.3%87.5%87.2%99.3%75.4%80.0%64.1%84.4%62.5%56.9%78.4%65.2%50.2%97.9%76.7%88.0%54.7%50.3%57.8%57.8%78.0%78.6%51.4%83.8%70.4%57.4%54.8%37.5%77.9%51.4%53.9%38.4%57.9%63.6%68.7%96.3%69.0%78.9%49.3%66.3%66.3%67.6%57.8%57.8%75.6%63.5%43.4%47.0%85.0%96.7%98.8%90.7%53.5%53.5%88.4%43.8%67.3%51.0%52.2%3.0% 4.4% 3.7% 6.2% 6.0% 8.4% 8.8% 7.8% 6.7%17.9% 9.8% 5.3%11.6% 3.6% 4.7% 6.2% 4.6% 4.0%17.8% 6.8% 7.4% 3.5% 4.3% 4.8% 4.8% 5.2% 6.2% 3.7% 9.4% 8.2% 4.6% 4.6% 2.7% 4.7% 3.4% 3.9% 2.9% 4.6% 5.3% 4.3% 7.9%16.6% 7.2% 2.9%11.5%11.5% 5.6% 5.1% 5.1% 7.9% 6.7% 4.7% 3.7% 5.4%36.4%39.3% 6.5% 9.6% 9.6%30.2% 3.2% 4.3%3.2%3.8%车贷-ABS21德宝天元3优先华驭13优先21屹腾5B22融腾1B22德宝天元1优先22速利银丰1优先22融腾2B22唯盈1优先22丰耀1优先22屹腾1优先22融腾3A222福元2A222德宝天元2优先22汇聚达1B22睿程2优先22融腾4A222融腾4B22吉时代3A222速利银丰2优先22长盈3优先22盛世融迪4优先22唯盈2A222福元3A2华驭14优先22丰耀2优先22汇聚达2A222汇聚达2B22长盈4优先22吉时代5A222盛世融迪5优先23融腾1A223融腾1B23长盈1优先23融腾2A223融腾2B23欣荣1A123欣荣1A223吉时代1A223福元1A223速利银丰1优先23汇聚达1A223德宝天元1优先23盛世融迪1优先23融腾3A223长盈2优先23汇聚达2A123汇聚达2A223盛世融迪2优先23长金1优先23吉时代2A123吉时代2A223长盈3优先23融腾4A123融腾4A223融腾4B90.3%32.2%60.9%99.3%58.9%42.7%79.0%52.2%77.7%83.5%98.0%72.9%32.3%76.2%94.2%66.3%38.0%79.3%28.7%67.2%93.5%67.9%61.5%25.5%35.0%76.3%57.7%52.6%50.1%65.4%46.7%25.0%49.2%35.5%19.6%66.6%66.6%42.9%31.9%12.9%45.1%14.1%14.1%36.4%55.8%63.5%28.0%28.0%34.1%37.2%31.1%31.1%27.6%34.4%34.4%17.5%30.8% 4.2%11.1%32.2%17.8%12.5%23.4%16.0%21.7%14.8%24.6%16.1% 8.3%20.7%34.1%14.9% 8.9%21.9% 4.8%17.2%32.3%21.2%17.5% 0.6% 8.1%19.6%15.2%13.3%12.3%18.6%10.4% 5.7%12.3% 6.2% 3.6%15.1%15.1%10.2% 7.2%0.0%8.9%8.8%14.6%18.1% 6.7% 6.7% 8.4% 8.8% 6.4% 6.4%5.2%6.3%6.3%3.3%2024年第1季度5证券简称本季度CE季度变化证券简称本季度CE季度变化证券简称本季度CE季度变化证券简称本季度CE季度变化23瑞泽天驰1优先50.5%11.1%23吉时代5A119.8%3.7%23常星3B21.9%5.9%23常兴业5A149.6%18.8%23福元2A123.1%4.4%23吉时代5A219.8%3.7%23常星3C14.0%3.9%23常兴业5A249.6%18.8%23福元2A223.1%4.4%24三翊1优先79.7%47.7%23城一代1A38.4%7.9%23常兴业5B38.0%14.4%23丰耀1优先16.6%2.7%24长盈1优先12.4%1.2%23城一代1B30.0%6.4%23常兴业5C16.2%6.3%23屹隆1优先26.4%4.7%24速利银丰1优先13.5%-0.2%23杭邦1优先36.4%10.8%23常兴业6A36.9%8.7%23盛世融迪3优先26.4%5.6%24汇聚融1A125.6%2.6%23常星4A26.7%6.1%23常兴业6B28.7%6.8%23长盈4优先23睿程1优先23速利银丰2优先21.6%16.0%13.4%3.8%0.1%-0.1%24汇聚融1A225.6%2.6%23常星4B23常星4C23中赢1A20.1%12.7%55.7%4.8%3.2%13.1%23常兴业6C23吉湘1B23吉湘1C12.3%83.7%40.8%3.0%55.9%29.8%消费贷-ABS22安顺1C63.9%15.5%23欣荣2优先35.3%6.6%22永动3A84.9%57.2%23中赢1B42.8%9.8%23飞驰建普4A87.2%65.9%23长金2优先31.8%7.1%22永动3B73.7%49.6