惠誉博华银行间市场个贷ABS指数报告2025Q1_9页_1mb

Summary: FitchBohua Bank Market Individual Loan ABS Index Report

The FitchBohua Bank Market Individual Loan ABS Index Report provides an overview of bank market infrastructure loan (ABS) indices for auto loans and consumer loans as of the first quarter of 2025. The report analyzes key metrics such as default rates (M2 and M3逾期率), CPR (Conditional Prepayment Rate), and asset pool balances.

For Auto Loan ABS, the M2 and M3 default rates saw a slight increase toward the end of the quarter, though the rates remained relatively low. The M2 default rate at quarter-end was 0.48%, with the M2/M3逾期率 index showing a slow but modest upward shift. The CPR remained stable, with consistent levels across most transactions, though some fluctuations were observed due to early repayment. The report also maps the cumulative default rate curves for auto loan ABS transactions based on year of issuance. Institutions such as Industrial and Commercial Bank of China (ICBC), China Agriculture Bank, Auto Finance (AFC), and Beijing Modern AFC were identified as major sponsors. In the broader market, bank loan growth returned to normal in 2024, with new loans financing newly-built properties exceeding historical levels, partially due to government policies aimed at stabilizing the real estate market. Although the growth of short-term resident loans was weak, long-term loans showed some recovery.

For Consumer Loan ABS, the default rates decreased compared to the previous quarter,
with the M2 default rate at 0.50% and the M3 rate at 0.49%. However, institutional changes due to new samples entering the pool led to an increase ine: the asset balancd, which helped moderate the default rates. The cumulative default rate curve evolved smoothly in recent years, though the report notes that low-balance samples in earlier years may skew the curve, compromising the accuracy of the tail risk. The overall default content and recovery levels align with historical patterns.

The report stresses the careful compilation of the indices, which are calculated using a weighted average of assets. A key criteria of index selection benefited the sponsor's characteristics and market representation. The default rates and repayment status in the indices are developed to reflect the actual asset performance.

In conclusion, auto loan and consumer loan ABS continue to perform well

with low default rates and stable indices, backed by broader loan growth and institutional demand explanations provided by sponsors such as FitchBohua. The detailed data in the appendices offers further insights into individual ABS transactions and their performance.
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