2023年资产证券化发展报告（附英文版）

时间： 2024-03-08 04:13     

摘   要

2023年我国资产证券化市场运行平稳，对加快盘活存量资产、优化金融资源配置、服务实体经济发挥了积极作用。本文回顾并梳理了2023年我国资产证券化市场的监管政策、运行情况、业务动向，并针对市场发展现状和面临的问题，提出了推动STC标准落地实施、着力推进信贷ABS市场健康繁荣发展、推进绿色ABS市场建设等政策建议。

关键词

资产证券化STC标准信贷ABS绿色ABS

2023年，我国资产证券化市场全年发行各类产品1.85万亿元，年末存量规模约为4.35万亿元。市场运行平稳，发行规模稍有下降，产品结构相对稳定，发行利率先降后升。应收账款资产支持证券（以下简称“应收账款ABS”）发行规模领跑，绿色资产支持证券（以下简称“绿色ABS”）成倍增长，基础资产类型持续丰富。政策推动租赁住房投资信托基金（以下简称“REITs”）市场规范发展，支持保险资管公司参与资产证券化业务，商业银行资本新规降低资产支持证券（以下简称“ABS”）资本占用，对加快盘活存量资产、优化金融资源配置、服务实体经济发挥了积极作用。

下一步，建议从制定行业配套规范、引入第三方认证和完善市场公共数据服务三个方面推动“简单、透明、可比”标准（以下简称“STC标准”）落地实施，着力推进信贷资产支持证券（以下简称“信贷ABS”）市场健康繁荣发展，推进绿色ABS市场建设。

监管动态

（一）规范商业银行ABS投资风险分类

2023年2月，原银保监会会同人民银行制定发布《商业银行金融资产风险分类办法》，为银行投资ABS产品的风险计量提供了依据，对于规范ABS投资极具意义，内容包括：商业银行对投资的资产管理产品或资产证券化产品进行风险分类时，应穿透至基础资产，按照基础资产风险状况进行风险分类。对于无法完全穿透至基础资产的产品，应按照可穿透的基础资产中风险分类最差的资产确定产品风险分类。对于以零售资产、不良资产为基础资产的信贷资产证券化产品，分层的信贷资产证券化产品以及其他经原银保监会认可的产品，商业银行应在综合评估最终债务人风险状况以及结构化产品特征的基础上，按照投资预计损益情况对产品进行风险分类。

（二）推进REITs各项业务规范高效开展

第一，做好基础设施领域REITs项目申报推荐。2023年3月，国家发展改革委印发《关于规范高效做好基础设施领域不动产投资信托基金（REITs）项目申报推荐工作的通知》，提出具体工作要求：一是认真做好项目前期培育；二是合理把握项目发行条件；三是切实提高申报推荐效率；四是充分发挥专家和专业机构的作用；五是用好回收资金促进有效投资；六是切实加强运营管理。

第二，推进基础设施领域REITs常态化发行工作。2023年3月，证监会发文提出，加快推进市场体系建设，研究支持增强消费能力、改善消费条件、创新消费场景的消费基础设施发行基础设施REITs；完善审核注册机制，优化审核注册流程，明确大类资产准入标准，完善发行、信息披露等基础制度；坚持规范与发展并重，突出以“管资产”为核心，构建全链条监管机制，促进市场主体归位尽责；凝聚各方合力，完善重点地区综合推动机制，统筹协调解决REITs涉及的各类问题，推动完善配套政策，抓紧推动REITs专项立法。

第三，完善REITs大类资产审核要点及信披要求。2023年5月，证监会指导证券交易所修订REITs审核关注事项指引，突出以“管资产”为核心，进一步优化REITs审核关注事项，强化信息披露要求，明确产业园区、收费公路两大类资产的审核和信息披露标准，提高成熟类型资产的推荐审核透明度，加快发行上市节奏，推动REITs市场高质量发展。

第四，拓宽基础设施领域REITs试点资产范围。2023年10月，证监会发布《关于修改〈公开募集基础设施证券投资基金指引（试行）〉第五十条的决定》，将公募REITs试点资产类型拓展至消费基础设施。

（三）支持保险资管公司开展资产证券化及REITS业务

2023年3月，证监会指导证券交易所制定《保险资产管理公司开展资产证券化业务指引》，支持公司治理健全、内控管理规范、资产管理经验丰富的优质保险资产管理公司参与开展资产证券化及不动产投资信托基金业务，进一步丰富参与机构形态，着力推动多层次REITs市场高质量发展。

（四）商业银行资本新规降低ABS资本占用

2023年11月，金融监管总局修订发布《商业银行资本管理办法》，进一步完善商业银行资本监管规则，推动银行强化风险管理水平，提升服务实体经济质效。涉及ABS主要变化包括：完善资产证券化产品的计量规则，针对同质性强、历史数据充分、质量较好的基础资产新增“简单、透明、可比”标准；短期限产品的优先档次资本计提优惠较显著；符合STC标准的证券将获得更多资本优惠等。

（五）支持中央企业发行绿色资产支持证券

2023年11月，证监会和国务院国资委联合发布《关于支持中央企业发行绿色债券的通知》，提出进一步提升资本市场服务绿色低碳发展能力，支持中央企业发行绿色债券（含绿色资产支持证券）融资，协同推进降碳、减污、扩绿、增长，带动支持民营经济绿色低碳发展，促进经济社会全面绿色转型。通知明确指出，支持中央企业开展绿色领域基础设施REITs试点；支持新能源、清洁能源、生态环保等领域基础设施项目发行REITs，拓宽增量资金来源，完善绿色融资支持。

（六）规范并支持企业资产证券化市场业务

为进一步推动银行间企业资产支持证券市场标准化、规范化发展，夯实制度基础，银行间市场交易商协会先后于2023年3月发布《银行间债券市场企业资产证券化业务规则》及《银行间债券市场企业资产证券化业务信息披露指引》，于6月发布《关于进一步发挥银行间企业资产证券化市场功能  增强服务实体经济发展质效的通知》。8月，银行间市场交易商协会发布《关于进一步加大债务融资工具支持力度促进民营经济健康发展的通知》，鼓励以支持民营和中小微企业融资所形成的应收账款、融资租赁债权、不动产、微小企业贷款等作为基础资产发行资产支持票据（ABN）、资产支持商业票据（ABCP）、不动产信托资产支持票据（类REITs）等证券化产品，提升民营企业融资可得性。支持科技型民营企业以知识产权质押贷款、许可使用费、融资租赁及供应链等多种模式开展证券化融资，为民营企业提供多元化金融服务。鼓励以上海票据交易所供应链票据作为基础资产发行资产证券化产品。

市场运行情况

（一）发行规模稍有下降，产品结构相对稳定

2023年全年共发行资产证券化产品18481.4亿元，同比下降7%（见图1）；年末市场存量为43516.85亿元，同比下降17%（见图2）。

其中，信贷ABS发行3485.19亿元，同比下降2%，占发行总量的19%；年末存量为18026.25亿元，同比下降26%，占市场总量的41%。企业资产支持证券（以下简称“企业ABS”）发行11784.10亿元，同比增长2%，占发行总量的64%；年末存量为19981.55亿元，同比下降2%，占市场总量的46%。非金融企业资产支持票据（以下简称“ABN”）发行3212.15亿元，同比下降31%，占发行总量的17%；年末存量为5509.05亿元，同比下降29%，占市场总量的13%。

信贷ABS中，个人汽车抵押贷款ABS连续两年成为发行规模最大的品种，全年发行1799.77亿元，同比下降18%，占信贷ABS发行量的52%；微小企业贷款ABS发行749.72亿元，占信贷ABS发行量的21%；不良贷款ABS发行466.01亿元，同比增长46%，占信贷ABS发行量的13%；个人消费性贷款ABS发行409.69亿元，同比增长36%，占信贷ABS发行量的12%；信用卡贷款ABS发行60亿元，同比增长13%，占比约为2%。住房抵押贷款支持证券（以下简称“RMBS”）发行规模已缩减至零。

企业ABS中，应收账款ABS和租赁资产ABS为发行规模最大的两个品种，发行量分别为2913.60亿元和2614.87亿元，占比分别为25%和22%；供应链账款ABS发行量为1388.54亿元，占比为12%；小额贷款的发行量为929.04亿元，占比为8%；商业住房抵押贷款支持证券（以下简称“CMBS”）和个人消费贷款ABS的发行规模分别为847.40亿元和769.51亿元，占比均约为7%；类REITs发行占比约为6%；保理融资债权ABS、保单质押贷款ABS、基础设施收费ABS以及特定非金款项ABS发行占比均约为2%；微小企业债权ABS、棚改/保障房ABS、PPP项目ABS以及信托受益权ABS的发行占比均在1%左右；其他产品1发行量合计占比约为1%。

（二）发行利率全年先降后升

2023年资产证券化产品发行利率前三季度震荡下行，第四季度有所抬升。

其中，信贷ABS优先A档证券最高发行利率为4.15%，最低发行利率为1.96%，平均发行利率为2.61%，全年累计下行10BP；优先B档证券最高发行利率为4.50%，最低发行利率为2.10%，平均发行利率为3.18%，全年累计上行20BP（见图3）。

企业ABS优先A档证券最高发行利率为7.50%，最低发行利率为2.35%，平均发行利率为3.34%，全年累计上行16BP；优先B档证券最高发行利率为13.00%，最低发行利率为2.59%，平均发行利率为3.79%，全年累计下行56BP（见图4）。

ABN优先A档证券最高发行利率为6.35%，最低发行利率为2.09%，平均发行利率为3.11%，全年累计上行3BP；优先B档证券最高发行利率为10.00%，最低发行利率为2.40%，平均发行利率为3.74%，全年累计下行31BP（见图5）。

按照基础资产类型划分，消费金融ABS发行利率前三季度震荡下行，第四季度有所反弹。中债市场隐含评级为AAA、AA+级别的消费金融ABS发行利率在前三季度分别累计下行38BP、77BP，第四季度不同等级发行利率上行幅度出现分化，分别为29BP、16BP。全年中债市场隐含评级为AAA级别的消费金融ABS发行利率累计下行9BP，中债市场隐含评级为AA+级别的消费金融ABS发行利率累计下行60BP（见图6）。

对公租赁ABS发行利率前三季度震荡下行，第四季度小幅下降。中债市场隐含评级为AAA、AA级别的对公租赁ABS发行利率前三季度分别累计下行38BP、57BP，第四季度均下行7BP。全年中债市场隐含评级为AAA、AA级别的对公租赁ABS发行利率全年分别累计下行45BP、64BP（见图7）。

企业ABS发行利率前三季度持续下行，第四季度小幅回升。中债市场隐含评级为AAA、AA+级别的企业ABS发行利率前三季度分别累计下行41BP、62BP，第四季度分别上行19BP、5BP。全年中债市场隐含评级为AAA级别的企业ABS发行利率累计下行22BP，中债市场隐含评级为AA+级别的企业ABS发行利率累计下行57BP（见图8）。

（三）收益率整体平稳，信用利差仍存分化

从全市场回报来看，对表征ABS市场的中债-资产支持证券指数进行观测，2023年投资回报约为3.56%，较2021年上升0.61%。细分来看，表征银行间ABS市场的中债-银行间资产支持证券指数全年回报约为2.43%，较上一年下降0.78%。进一步观察RMBS市场，中债-个人住房抵押贷款资产支持证券指数年度回报为2.10%，较上一年下降1.23%（见图9）。

从收益率走势看，2023年资产证券化产品收益率前三个季度震荡下行，9月至11月有所回升，12月小幅下行，全年整体收益率变化平稳。具体来看，1年期中债AAA级别消费金融ABS全年累计上行1BP，1年期中债AAA级别RMBS、对公租赁ABS和企业ABS全年分别累计下行4BP、8BP、19BP；5年期中债AAA级别RMBS收益率全年累计下行22BP（见图10、图11）。

2023年资产证券化产品与国债的信用利差1月至7月小幅上升，7月至10月持续下降，10月至12月震荡上行，不同期限的信用利差出现分化。1年期中债AAA级别RMBS与1年期固定利率国债利差较年初水平保持不变，1年期中债AAA级别消费金融ABS与1年期固定利率国债利差在全年扩大4BP，1年期中债AAA级别对公租赁ABS、企业ABS与1年期固定利率国债利差在全年缩小5BP、15BP。5年期AAA级别RMBS与5年期固定利率国债利差在前三季度缩小8BP，第四季度扩大9BP，全年累计较年初水平扩大1BP（见图12、图13）。

（四）评级公司评级与中债隐含评级存差异

2023年发行的资产证券化产品优先档证券整体以中高信用等级为主。从评级公司给出的发行时评级和估值首日中债市场隐含评级对比来看，企业ABS的评级分布差异更加明显。具体来看，在同时具有两种评级的信贷ABS产品中，评级公司评级和中债市场隐含评级在AA+及以上的产品发行额分别占99.20%和96.75%，AAA等级产品占比分别为86.39%和77.32%；企业ABS产品中，评级公司评级和中债市场隐含评级在AA+及以上的产品发行额分别占99.48%和93.52%，AAA等级产品占比分别为79.93%和22.03%（见图14、图15）。

（五）交易活跃度下降

2023年资产证券化二级市场流动性比2022年有所下降。以中央结算公司托管的信贷ABS为例，全年现券结算量为4531亿元，较2022年下降52.76%；换手率为25.63%，较2021年降低14个百分点，反映交易活跃度有所下降，相较中央结算公司托管债券191%的整体换手率而言，资产证券化产品的流动性水平相对偏低。

市场业务动向

（一）ABS基础资产类型持续丰富

资产证券化产品的基础资产类型愈加丰富，有助于推动资产证券化业务多元发展。其中，驿停车（北京）投资有限公司发行市场首单停车资产类REITs结构资产证券化产品。西安高新金服企业管理集团发行市场首单高新技术产权ABS，有效盘活技术资源。中国信达资产管理公司发行市场首单城中村改造ABS，助力“三大工程”建设。广西农垦集团发行市场首单“绿色+乡村振兴”土地承包费ABS，盘活释放国有土地价值。中合商业保理（天津）有限公司发行市场首单“平急两用”ABS，发挥债市推进“平急两用”公共基础设施建设的作用。

（二）建立信贷资产证券化信息登记质量评价机制

2023年，银登中心持续提升信贷资产证券化信息登记工作质效，高效发放产品信息登记编码200单，规模为3221.68亿元，不断丰富证券化产品统计监测图表，完善风险监测体系。建立信息登记质量评价机制，进一步助力监管部门前瞻性地全面开展市场风险监测预警：一是印发《关于开展信贷资产证券化信息登记质量评价的通知》及配套实施方案，加强宣传培训，撰写业务问答，深化规则理解把握；二是定期对信贷资产证券化产品进行质量检查并评分，以查促改督促机构加强数据治理，推进金融机构数字化转型；三是进行行业通报，提示典型问题，引导市场机构提升合规意识和质量意识。

（三）绿色ABS发行成倍增长，产品创新持续进行

2023年绿色ABS发行规模增长明显，在落实金融支持绿色发展、助力碳中和目标实现等方面提供了有力保障。统计显示，2023年共发行绿色ABS产品351只，规模为2438.8亿元，是2022年的1.1倍。其中，交易所ABS发行规模占比最高，为52.18%；银行间绿色ABN占比次之，为30.34%；绿色信贷ABS占比最低，为17.48%。

在绿色ABS产品创新方面，“海通恒信26号绿色资产支持专项计划（低碳转型挂钩）”是全国首单 “绿色+低碳转型挂钩”双贴标资产证券化产品，基础资产所对应项目为绿色交通类，低碳转型关键绩效指标为新能源汽车融资租赁新增签约合同金额。“泰康资产—中电投租赁1号碳中和绿色资产支持专项计划”是全国首单保险公司绿色资产证券化产品，已获上交所受理。“金茂申万—上海金茂大厦第1—5期绿色资产支持专项计划（碳中和）”储架项下的首发产品——“金茂申万—上海金茂大厦—鑫悦绿色资产支持专项计划（碳中和）”在上交所成功发行，总储架规模为100亿元，首发单期规模为30亿元，是全国最大规模的储架碳中和CMBS、全国首单灵活期限储架CMBS、央企首单单楼宇储架CMBS，项目涉及标的物业为上海金茂大厦。“瑞安房地产—虹桥天地绿色资产支持专项计划”是全国规模最大的民企绿色CMBS，发行金额为44.01亿元，是国内首单交通枢纽配套商业综合体CMBS，拟将所得款项净额用于偿还集团现有债务以及用作一般营运资金。

（四）保险资管公司ABS产品落地

2023年3月证券交易所将参与开展ABS及不动产投资信托基金业务的范围扩展至保险资管公司以来，保险机构以“管理+投资”双重身份参与ABS市场的进程逐步加快。首批由保险资管公司担任管理人的资产证券化产品于2023年末陆续亮相，包括国寿资产、泰康资产、太保资产等公司，涉及工程机械设备、绿色能源、租赁债权等多个领域。这将为机构存量资金的再融资拓宽新渠道，提升投资收益率，也有利于更好地服务实体经济，同时在提升企业产融结合水平、盘活市场存量资产、优化资产负债结构等方面具有明显作用。 

市场发展建议

资产证券化对于加快直接融资发展、优化金融资源配置可起到重要作用，为进一步发挥资产证券化市场功能，更好地服务国家金融体系战略发展，在当前优化结构、提升质效的阶段，建议研究推动STC标准落地实施，着力推进信贷ABS市场健康繁荣发展，推进绿色ABS市场建设。

（一）研究推动STC标准落地实施

2023年11月发布的《商业银行资本管理办法》引入资产证券化产品“简单、透明、可比”标准，并对符合STC标准的资产证券化产品给予一定的资本优惠。我国引入STC标准对提升证券化产品信息披露透明度，降低投资者风险，促进资产证券化市场发展具有重要意义，建议进一步完善相关措施。

一是制定行业配套规范，助力STC标准落地实施。STC标准作为《巴塞尔协议Ⅲ》的配套制度和重要抓手，集中体现了微观审慎监管层面和宏观审慎监管层面有机结合的监管新思维。2019年STC标准在欧洲率先实施，满足STC标准的证券化产品受到投资者青睐，有效释放了欧洲市场活力。我国证券化市场与欧洲证券化市场相似，建议为STC标准制定行业配套规范，助力STC标准落地，促进证券化市场向着更加公开透明的方向健康发展，充分发挥其盘活货币存量、支持实体经济发展的积极作用。

二是引入第三方认证，为STC标准执行提供统一标尺。为进一步提升证券化市场的规范性和透明度，助力STC标准的顺利实施，可参考借鉴国际经验，为国内证券化市场引入第三方STC认证相关机制。STC标准从发起机构、基础资产、信息披露等各方面提出了要求，不同市场机构之间也存在口径和理解不一致的困扰，自行评估较难在所有发起机构和投资机构之间达成共识和信任，引入专业的第三方认证服务有助于建立市场机构间的信任，为标准落地实施提供统一标尺，促进STC标准连贯、一致和恰当地实施。

三是完善市场公共数据服务，持续提升市场服务质效。目前我国资产证券化产品发行场所包括银行间市场、交易所市场等，在数据的公共服务上还缺少可供投资人进行数据对比、分析的数据渠道，数据的储存、检索、校验等要素尚不完善。目前仅银行业信贷资产登记流转中心在信贷资产证券化领域为证券化产品提供信息登记服务，对相关产品的基础资产明细和资产支持证券信息实施初始登记和存续期变更登记。建议充分发挥监管支持机构的优势和作用，进一步完善数据存储、验证等证券化相关市场服务，向符合监管要求的投资者及市场参与机构开放，并规范机构数据披露形式，持续提升市场服务质效。

（二）着力推进信贷ABS健康繁荣发展

2023年信贷ABS市场平稳健康发展，在零售消费、服务小微、绿色融资等领域持续发挥支持作用，拓展普惠金融下沉深度和覆盖广度，有效缓解融资难、融资贵问题，持续助力金融服务实体经济；帮助银行盘活被低效占用的金融资源，提高资金使用效率，有效防范化解金融风险；提升存量贷款使用效率，为实体企业的直接融资腾出空间，有力支撑经济增长。建议从以下几方面推动信贷ABS健康繁荣发展。

一是鼓励国家重点领域信贷ABS产品发行，丰富产品种类。建议鼓励以汽车、住房、日常消费等各类实体经济消费，以及小微、绿色、“三农”、科创领域信贷资产为基础资产开展信贷资产证券化业务。充分发挥信贷ABS在服务支持重点领域的作用，推动形成与实体经济发展相适应的小微企业金融服务体系。此外，建议结合市场投资者投资偏好，研究设计多元化基础资产，丰富产品分层结构，满足不同投资者对于产品收益、期限、现金流等方面差异化需求。

二是加强信贷ABS信息穿透披露，加强产品风险监测。我国经济在回升向好、长期向好的趋势下，现阶段仍面临一些困难和挑战。在此背景下，建议落实监管层面关于坚持防范化解金融风险的要求，充分发挥不良资产证券化风险缓释功能，积极满足金融机构不良资产处置需求。其次，建议进一步提高信息披露透明度，基于银登中心证券化信息登记，建立事中、事后基础资产逐笔穿透披露的信息披露机制，推动信息披露格式标准化，加强信息查询数字化平台建设，提升资产证券化风险识别、风险预警、风险管理的数智化水平，加强指标监测和地区风险监测，提升信贷ABS的抗风险性。

三是扩展优化投资者结构，提升二级市场活力。目前信贷ABS投资者仍以商业银行为主，建议进一步推动投资者类型多元化，支持鼓励保险公司等非银行金融机构及资管产品积极参与信贷ABS投资，适当放宽次级投资者准入标准，并允许针对风险识别及承受能力较强的私人银行客户、高资产净值客户发行的理财产品参与投资次级证券，引导信贷风险在市场中合理分散。此外，建议探索研究开展信贷ABS产品质押回购交易，优先试点标准化较高的品种，适时考虑扩大其质押使用范围；鼓励证券化业务成熟的机构率先探索做市商制度，参与资产支持证券做市，提升信贷ABS二级市场流动性，推动信贷资产二级流转市场发展，提升存量信贷资产的盘活效率。

（三）推进绿色ABS市场建设

绿色资产支持证券作为绿色金融产品的重要类别，能较好满足绿色融资项目对资金的长期需求，有助于盘活存量资产，缓解部分企业融资困难。与ABS市场相比，绿色ABS的容量仍然较小。为充分挖掘绿色ABS市场扩容潜力，加强对绿色发展的支持，具体可采取以下措施。

一是鼓励绿色ABS的产品创新。建议进一步拓展基础资产的种类，探索对更多不同领域的绿色项目进行资产证券化。促进产品结构和定价更加合理，加强产品分层设计，根据市场不同投资者的风险偏好和对基础资产现金流的分析与预测，丰富绿色ABS的分层结构，满足不同投资者的需求。推进绿色ABS产品的跨市场交易，提升产品流动性。

二是强化绿色ABS 信息披露体系建设。良好的信息披露对于促进绿色ABS的流动性、降低市场风险、促进服务实体经济具有重要作用。建议统一不同品种绿色ABS的信息披露要求。对于底层资产，在穿透登记的基础上探索建立穿透披露机制，提升市场透明度，助力精准评估产品价值。出台完整细化的绿色ABS信息披露操作指引，鼓励发行人按照统一的模板进行信息披露，提高披露数据的标准性和规范性。

三是推动绿色ABS环境效益信息披露的标准化和规范化。首先，建议采用中债绿债指标体系对绿色ABS发行前和存续期的环境效益进行披露。中债绿债指标体系采用规范性、兼容性、简洁性、完整性和针对性原则，为新版绿色债券支持项目目录中的每个项目设定了针对性指标，具有较高的科学性和完整性。采用中债绿债指标体系进行环境效益信息披露能够提升披露的统一性和可比性。其次，建议构建统一的绿色数据库，按照中债绿债指标体系集中披露和展示环境效益信息，加强市场对绿色项目的监督以及对环境效益的量化评估。最后，建议发行人公开环境效益的测算方法，指出测算方法在发行前和存续期的一致性，提高不同发行人之间的可比性和同一发行人发行前后的可比性。

注：

1． 其他产品包括知识产权ABS、委托贷款ABS、住房公积金贷款ABS、未分类的企业ABS、票据收益权ABS以及融资融券债权ABS，合计发行123.07亿元。

◇ 本文原载《债券》2024年2月刊

◇ 作者：中央结算公司中债研发中心李劼

◇ 编辑：廖雯雯

Asset-Backed Securities Development Report for 2023

Li Jie

Abstract：

In 2023， China’s asset-backed securities （ABS） market ran steadily， playing a positive role in accelerating utilization of existing assets， optimizing financial resource allocation and serving the real economy． This report reviews the regulatory policies， market operation and business updates in the ABS market in 2023． In response to challenges facing further market development， the report offers policy recommendations in terms of promoting the implementation of the STC Standard， the sound growth of the credit ABS market and development of the green ABS market．

Abstract：

Asset securitization， STC Standard， credit ABS， green ABS

China’s asset-backed securities （ABS） market recorded RMB1.85 trillion in total issuance of ABS products in 2023， with about RMB4.35 trillion outstanding at the end of the year． The market ran steadily， with the issue size shrinking slightly， the product mix remaining relatively stable and the coupon rates falling and then picking up． Receivables ABS registered the largest issuance and green ABS doubled， showing an increasing diversity of underlying assets． The policy tailwinds have fueled sound growth of the rental real estate investment trusts （REITs） market， supporting insurance asset management companies’ participation in the ABS business． The new capital rules for commercial banks have lowered the capital charges for ABS， playing a positive role in accelerating the activation of existing assets， refining the allocation of financial resources and serving the real economy．

In the next step， it is suggested to promote implementation of the “simple， transparent and comparable” standard （the STC Standard） in terms of formulating supporting industry norms， introducing third-party certification and improving public market data services， strive for soundness and prosperity of the ABS market and drive the green ABS market development．

Regulatory Developments

（1） Regulating commercial banks’ ABS investment risk classification

The former China Banking and Insurance Regulatory Commission （CBIRC） and People’s Bank of China （PBOC） formulated and published the Measures for the Risk Classification of Financial Assets of Commercial Banks in February 2023， providing a basis for risk measurement of banks’ ABS investment and playing a significant role in regulating ABS investments． Specifically， this policy sets forth the following requirements． In the risk classification of an asset management product or ABS product it invests in， a commercial bank shall look through to the underlying assets and take the risk profile of the underlying assets as the basis of risk classification． For products that do not allow full look-through to the underlying assets， the product risk classification shall be determined based on the asset with the lowest risk classification among the underlying assets identified． For credit ABS whose underlying assets are retail assets or non-performing assets， multi-tranche credit ABS and other products approved by the former CBIRC， the commercial bank shall conduct risk classification of its products according to the expected profit and loss of the investment after a comprehensive assessment of the risk profile of the ultimate debtors and the characteristics of structured products．

（2） Promoting sound and efficient development of REITs

First， the way was paved for filing and recommendation of infrastructure REIT projects． In March 2023， the National Development and Reform Commission （NDRC） issued the Notice on the Work for Sound and Efficient Filing and Recommendation of Infrastructure Real Estate Investment Trusts （REITs）， setting forth the following work requirements． First， adequate efforts should be made on project incubation． Second， the issuance conditions should be properly managed． Third， the filing and recommendation efficiency should be enhanced． Fourth， full play should be given to experts and specialist agencies． Fifth， recovered fund should be well used to promote effective investment． Sixth， operation management should be strengthened．

Second， the normal issuance of infrastructure REITs was facilitated． In March 2023， China Securities Regulatory Commission （CSRC） issued a document calling for： （i） speeding up the market system development and supporting the issuance of infrastructure REITs by consumer-related infrastructure projects that enhance consumption capabilities， consumption conditions and innovative consumer scenarios； （ii） improving the review and registration mechanism， streamlining the review and registration process， clarifying the eligibility criteria for asset classes and refining the basic policies for issuance and information disclosure； （iii） attaching equal importance to regulation and development， focusing on “managing assets”， creating a through-the-chain supervision mechanism and ensuring market entities fully play their roles and fulfill their responsibilities； and （iv） pooling the efforts of related parties， improving the comprehensive promotion mechanism in key regions， coordinating efforts to solve problems related to REITs， improving supporting policies and accelerating the legislation on REITs．

Third， the review and disclosure requirements for main REIT asset classes were improved． In May 2023， CSRC guided stock exchanges to revise the guidelines on REITs review． Highlighting “managing assets” as the core， the revision further refined REITs review requirements， strengthened disclosure requirements， clarified the review and disclosure standards for industrial parks and toll roads， enhanced the transparency of recommendation and review of mature assets and accelerated the pace of issuance and listing in pursuit of high-quality development of the REIT market．

Fourth， the scope of pilot assets for infrastructure REITs was expanded． In October 2023， CSRC issued the Decision to Modify Article 50 of the Guidelines for Public Offering of Infrastructure Securities Investment Funds （Trial）， expanding the assets of the publicly traded infrastructure REITs pilot program to include consumer-related infrastructure projects．

（3） Supporting insurance asset management companies in conducting the ABS and REIT businesses

In March 2023， CSRC guided stock exchanges to formulate the Guidelines for Insurance Asset Management Companies to Conduct ABS Business， supporting high-quality insurance asset management companies with well-established corporate governance， sound internal control management and extensive experience in asset management in conducting ABS and REIT businesses， further diversifying participating institutions and striving for high-quality development of the multi-level REIT market．

（4） The new capital rules for commercial banks have lowered the capital charges for ABS

The National Financial Regulatory Administration （NFRA） issued the revised Capital Rules for Commercial Banks in November 2023， further improving the regulatory capital rules for commercial banks， causing banks to enhance their risk management and improve the quality and efficiency of serving the real economy． Main changes regarding ABS include： improving the measurement rules for ABS products， and adding the “simple， transparent and comparable” standards for underlying assets with strong homogeneity， sufficient historical data and good quality； significantly lowering the capital charges for the senior tranche of short-term products and further trimming the capital charges for securities that meet the STC Standards．

（5） Supporting central SOEs in issuing green ABS

In November 2023， CSRC and the State-owned Assets Supervision and Administration Commission of the State Council （SASAC） jointly issued the Notice on Supporting Green Bond Issuance by Central SOEs， supporting central SOEs in issuing green bonds （including green ABS） to raise funds in a collaborative effort to reduce carbon， cut pollution， enhance greenness and promote growth， drive green， carbon development of the private sector and boost full green transition of the economy and society． The notice explicitly called for supporting central SOEs in pilot green infrastructure REITs， supporting REIT issuance by infrastructure projects in new energy， clean energy and ecological conservation and environmental protection sectors to expand sources of funding and improve the support for green finance．

（6） Regulating and supporting the corporate ABS market business

To further promoting standard and sound development of the interbank corporate ABS market and fortify the policy basis， the National Association of Financial Market Institutional Investors （NAFMII） promulgated the Rules for Securitization of Corporate Assets in the Interbank Bond Market and the Guidelines for Disclosure on Securitization of Corporate Assets in the Interbank Bond Market in March 2023， and issued the Notice on Further Unleashing the Interbank Corporate ABS Market and Enhancing the Quality and Efficiency of Serving the Real Economy in June． In August， NAFMII issued the Notice on Further Enhancing the Support for Debt Financing Instruments and Promoting Sound Development of the Private Sector， encouraging the issuance of asset-backed notes （ABNs）， asset-backed commercial papers （ABCPs） and real estate trust asset-backed notes （quasi-REITs） whose underlying assets are receivables， financial leasing claims， real estate and micro and small business loans created in support of private enterprises and micro， small and medium-sized enterprises， so as to increase the availability of financing to private enterprises． Private tech firms are supported in ABS financing backed by intellectual property， royalties， financial leasing and supply chains， providing diverse financial services for private enterprises． Private enterprises are encouraged to use Shanghai Commercial Paper Exchange’s supply chain notes as underlying assets for ABS issuance．

Market Review

（1） The issue size shrank slightly， with the product mix remaining relatively stable

China registered RMB1，848.14 billion in ABS issuance in 2023， down 7% year-on-year （Figure 1）． RMB4，351.685 billion was outstanding at the end of 2023， down 17% year-on-year （Figure 2）．

Specifically， credit ABS recorded an issuance of RMB348.519 billion， down 2% year-on-year， accounting for 19% of the total issuance； outstanding was RMB1，802.625 billion at the end of the year， representing a year-on-year decrease of 26% and accounting for 41% of the total outstanding amount． Corporate ABS issuance amounted to RMB1，178.41 billion， up 2% year-on-year， accounting for 64% of the total issuance； outstanding was RMB1，998.155 billion at the end of the year， down 2% year-on-year， accounting for 46% of the market total． Non-financial enterprise asset-backed notes （ABN） issuance amounted to RMB321.215 billion in 2023， down 31% year-on-year， accounting for 17% of the total issuance； outstanding was RMB550.905 billion at the end of the year， representing a year-on-year decline of 29% and accounting for 13% of the market total．

Of credit ABS， retail auto loan ABS remained the largest share （52%） for two consecutive years with an annual issuance of RMB179.977 billion， down 18% year-on-year． Micro and small business loan ABS registered an annual issuance of RMB74.972 billion， accounting for 21% of the total credit ABS issuance． Non-performing loan （NPL） ABS registered an annual issuance of RMB46.601 billion， up 46% year-on-year， accounting for 13% of the total． Consumer loan ABS recorded an annual issuance of RMB40.969 billion， up 36% year-on-year， accounting for 12% of the total． Credit card loan ABS posted an annual issuance of RMB6 billion， up 13% year-on-year， accounting for about 2% of the total． The issuance of residential mortgage-backed securities （RMBS） was reduced to zero．

Of corporate ABS issuance， accounts receivable ABS and lease ABS recorded the largest shares of 25% and 22% of the total issuance with an issue size of RMB291.360 billion and RMB261.487 billion respectively． Supply chain receivables ABS registered an issuance of RMB138.854 billion and a share of 12%． Micro loan ABS issuance totaled RMB92.904 billion， accounting for 8%． Commercial mortgage-backed securities （CMBS） and consumer loan ABS recorded an issuance of RMB84.740 billion and RMB76.951 billion respectively， each accounting for about 7%． Quasi-REITs took up an issuance share of about 6%． Factoring claims ABS， insurance policy loan ABS， infrastructure charges ABS and specific non-financial receivables ABS accounted for around 2% each． Micro and small businesses’ claims ABS， shantytown redevelopment & affordable housing ABS， PPP project ABS and trust beneficiary rights ABS recorded an issuance share of around 1% each． Other products1 accounted for about 1% in aggregate．

（2） Coupon rates recorded a decline followed by a pickup in 2023

ABS coupon rates showed a bumpy downturn overall in the first three quarters of 2023， followed by a pickup in the fourth quarter．

Specifically， the coupon rates of credit ABS in senior tranche A moved in a band of 1.96% to 4.15%， averaging 2.61% and registering an annual decline of 10 bps． The coupon rates of credit ABS in senior tranche B moved in a band of 2.10% to 4.50%， averaging 3.18% and registering an annual increase of 20 bps （Figure 3）．

The coupon rates of corporate ABS in senior tranche A moved in a band of 2.35% to 7.50%， averaging 3.34% and registering a full-year increase of 16 bps． Those of corporate ABS in senior tranche B landed between 2.59% and 13.00%， averaging 3.79% and registering a full-year decrease of 56 bps （Figure 4）．

The coupon rates of ABN in senior tranche A moved in a band of 2.09% to 6.35%， averaging 3.11% and registering an annual increase of 3 bps． The coupon rates of ABN in senior tranche B moved in a band of 2.40% to 10.00%， averaging 3.74% and registering an annual decrease of 31 bps （Figure 5）．

By type of underlying assets， consumer loan ABS experienced a bumpy downturn in coupon rates in the first three quarters， followed by a rebound in the fourth quarter． The coupon rates of consumer loan ABS with a ChinaBond MIR of AAA and AA+ fell cumulatively by 38 bps and 77 bps， respectively， in the first three quarters． The coupon rates of consumer loan ABS with the two ratings rose by 29 bps and 16 bps respectively in the fourth quarter． In 2023， the coupon rates of consumer loan ABS with a ChinaBond MIR of AAA fell cumulatively by 9 bps． The coupon rates of consumer loan ABS with a ChinaBond MIR of AA+ fell cumulatively by 60 bps （Figure 6）．

The coupon rates of lease ABS underwent a bumpy downturn in the first three quarters and fell gently in the fourth quarter． The coupon rates of lease ABS with a ChinaBond MIR of AAA and AA fell cumulatively by 38 bps and 57 bps respectively in the first three quarters， both down 7 bps in the fourth quarter． In annual terms， the coupon rates of lease ABS with a ChinaBond MIR of AAA and AA fell cumulatively by 45 bps and 64 bps respectively （Figure 7）．

The coupon rates of corporate ABS kept declining in the first three quarters before reversing for a mild pickup in the fourth quarter． The coupon rates of corporate ABS with a ChinaBond MIR of AAA and AA+ fell cumulatively by 41 bps and 62 bps respectively in the first three quarters， followed by a pickup of 19 bps and 5 bps respectively in the fourth quarter． In annual terms， the coupon rates of corporate ABS with a ChinaBond MIR of AAA fell cumulatively by 22 bps． The coupon rates of corporate ABS with a ChinaBond MIR of AA+ fell cumulatively by 57 bps （Figure 8）．

（3） The yields were generally stable while credit spread remained divergent

As for market-wide return， the ChinaBond ABS Index revealed a return of 3.56% for 2023， up 0.61% over 2021． Specifically， the ChinaBond Interbank ABS Index posted a return of about 2.43%， down 0.78% from the year before． A further observation of the RMBS market shows that the ChinaBond RMBS Index showed a full-year return of 2.10% for 2023， down 1.23% from the year before （Figure 9）．

As shown by the yield trends， the yield of ABS products fluctuated downward in the first three quarters of 2023， reversed for a rise from September to November and dropped slightly in December． Yields experienced no acute changes in the year． Specifically， the yield of 1-year ChinaBond AAA consumer loan ABS rose by 1 bp accumulatively． The yields of 1-year ChinaBond AAA RMBS， lease ABS and corporate ABS dropped accumulatively by 4 bps， 8 bps and 19 bps， respectively． The yield of 5-year ChinaBond AAA RMBS fell accumulatively by 22 bps in the year （Figure 10 and Figure 11）．

The year 2023 saw the credit spread between ABS and China government bond （CGB） widening slightly from January to July， narrowing continuously from July to October and staging a bumpy upturn between October and December． The credit spreads were divergent across terms． The spread of 1-year ChinaBond AAA RMBS over 1-year fixed-rate CGB stayed unchanged from the beginning of the year． The spread of 1-year ChinaBond AAA consumer loan ABS over 1-year fixed-rate CGB widened by 4 bps in the year． The spreads of 1-year ChinaBond AAA lease ABS and corporate ABS over 1-year fixed-rate CGB shrank by 5 bps and 15 bps respectively． The spread between the 5-year AAA RMBS and the 5-year fixed-rate CGB narrowed by 8 bps in the first three quarters and expanded by 9 bps in the fourth quarter， ending the year with a cumulative increase of 1 bp （Figure 12 and Figure 13）．

（4） Disparities between agency ratings and ChinaBond MIR

ABS senior tranches issued in 2023 generally had medium to high credit ratings． As shown by agency ratings assigned upon issuance versus ChinaBond MIR at the first day of valuation， corporate ABS showed greater dispersion of ratings． Specifically， of the credit ABS products with both agency ratings and ChinaBond MIR， 99.20% had an agency rating of AA+ or higher and 96.75% had a ChinaBond MIR of AA+ or higher， while 86.39% had an agency rating of AAA and 77.32% had a ChinaBond MIR of AAA． Of the corporate ABS products， 99.48% had an agency rating of AA+ or higher and 93.52% had a ChinaBond MIR of AA+ or higher， while 79.93% had an agency rating of AAA and 22.03% had a ChinaBond MIR of AAA （Figure 14 and Figure 15）．

（5） Trading activity softened

The ABS secondary market experienced a decline in liquidity in 2023 when compared with 2022． Take credit ABS deposited with CCDC for example， the annual cash bond settlements amounted to RMB453.1 billion， down 52.76% from 2022； the turnover rate was 25.63%， down 14 percentage points from 2021， indicating a setback in trading activity． The liquidity level of ABS products is relatively low compared to the overall turnover rate of 191% of bonds deposited with CCDC．

Market Business Updates

（1） ABS underlying assets have been continuously diversified

The underlying assets of ABS products are available in more types， giving an impetus to ABS diversification． YTC （Beijing） Investment Management Co．， Ltd． issued the first ever ABS product backed by parking assets with a quasi-REIT structure in the market． Xi’an High Tech Financial Service Enterprise Management Group Co．， Ltd． issued the market’s first ABS backed by high-tech property rights to effectively revitalize technological resources． China Cinda Asset Management Co．， Ltd． issued the market’s first urban village redevelopment ABS to support the “Three Programs”． Guangxi State Farms issued the market’s first “green + rural revitalization” land contracting fee ABS to unleash the value of state-owned land． Zhonghe Commercial Factoring （Tianjin） Co．， Ltd． issued the market’s first “dual-use” （capable of operating both under normal conditions and in emergencies） ABS to harness the bond market as a boost to the dual-use infrastructure construction．

（2） A quality evaluation mechanism has been created for credit ABS information registration

In 2023， China Credit Assets Registration & Exchange Co．， Ltd． （CCRE） kept improving the quality and efficiency of the credit ABS information registration， efficiently released 200 product information registration codes involving a total issue size of RMB322.168 billion， continuously enriched the ABS product monitoring charts and improved the risk monitoring system． An information registration quality evaluation mechanism was created to further aid regulatory agencies in forward-looking and comprehensive monitoring and warning of market risks： First， the Notice on Evaluating the Quality of Credit ABS Information Registration and the supporting action plan were issued， with publicity and training strengthened and Q&A prepared to enhance the understanding of rules． Second， the quality of credit ABS products was regularly examined and scored to urge enhancement of data management and facilitate the digital transition of financial institutions． Third， industry-wide notification of typical problems was published to boost market entities’ awareness of compliance and quality．

（3） Green ABS issuance doubled with ongoing innovation in products

The green ABS issuance expanded markedly in 2023， providing a strong backing for implementing financial support for green development and helping achieve the goal of carbon neutrality． According to statistics， a total of 351 green ABS products were issued in 2023， totaling RMB243.88 billion， 1.1 times the 2022 level． The exchange-traded green ABS issuance took up the largest share of 52.18%， followed by inter-bank green ABN issuance with a share of 30.34%． Green credit ABS had the smallest share of 17.48%．

In terms of green ABS innovation， Haitong UniTrust No． 26 Green Assets-Backed Special Plan （Low Carbon Transition Linked） was China’s first ABS product labeled as both “green” and “low carbon transition linked”． The underlying assets were green transport projects． The key performance indicators （KPIs） of low-carbon transition were the value of new contracts on financial leasing of new energy vehicles． Taikang Asset - CPI Leasing No． 1 Carbon-Neutral Green Assets-Backed Special Plan was China’s first green ABS issued by an insurance company， which has been filed with Shanghai Stock Exchange． Jinmao Shenwan - Shanghai Jinmao Tower - Xinyue Green Assets-Backed Special Plan （Carbon Neutral）， as the first product under the Jinmao Shenwan - Shanghai Jinmao Tower Green Assets-Backed Special Plan （Carbon Neutral） Series 1 to 5 shelf， was successfully issued on Shanghai Stock Exchange． The total shelf size was RMB10 billion， and the first issue was RMB3 billion． The issue represented China’s largest carbon-neutral CMBS under shelf offering， China’s first shelf CMBS with a flexible term and the first building shelf CMBS among central SOEs． The underlying property was Shanghai Jinmao Tower． Shui On Land - Hongqiao Tiandi The Hub Green Assets-Backed Special Plan was the largest green CMBS of a private enterprise nationwide． With an issue size of RMB4.401 billion， the project was China’s first CMBS backed by auxiliary commercial complex of transportation hub． The net proceeds were earmarked for repaying the group’s outstanding debts and general working capital．

（4） The ABS products of insurance asset management companies were launched

Since stock exchanges expanded the participants in ABS and REIT businesses to insurance asset management companies in March 2023， insurers have stepped up their participation in the ABS market as both managers and investors． The first batch of ABS products managed by insurance asset management companies were launched in late 2023． These products were issued by China Life Asset Management， Taikang Asset and CPIC Asset Management in relation to construction machinery， green energy and lease claims． Such products have developed new refinancing channels for insurers’ existing funds， helping increase the return on investment and better serving the real economy． In addition， they play a remarkable role in enhancing the industry-finance integration， revitalizing existing assets in the market and improving the asset and liability structure．

Recommendations on Market Development

ABS plays an important role in accelerating the development of direct financing and optimizing the allocation of financial resources． In order to further unleash the functions of the ABS market and better serve the strategic development of the national financial system， it is suggested to promote the implementation of STC Standard in the current stage of optimizing structure， quality and efficiency， boost the sound development of the credit ABS market and facilitate the green ABS market development．

（1） Promoting the implementation of STC Standard

The revised Capital Rules for Commercial Banks issued in November 2023 introduced the “simple， transparent and comparable” standard for ABS products， and trimmed the capital charges for ABS products that meet the STC Standard． The introduction of the STC Standard in China is of great significance to enhancing the transparency of ABS product disclosures， lowering investor risks and promoting ABS market development． It is suggested to improve relevant measures．

First， industry norms should be developed to help implement the STC Standard． The STC Standard， as a supporting policy and important tool for the Basel III， reflects a new regulatory idea that integrates micro-prudential supervision and macro-prudential supervision． In 2019， the STC Standard was first implemented in Europe． ABS products meeting the STC Standard were much sought after among investors， unleashing the vitality of the European market． China’s ABS market is similar to the European ABS market． It is suggested to formulate industry norms for the STC Standards to facilitate its implementation， enhance the openness and transparency of the ABS market and give full play to its positive role in revitalizing the money stock and bolstering the real economy．

Second， third-party certification should be introduced to provide a uniform yardstick for STC Standard implementation． In order to further boost the soundness and transparency of the ABS market and help implement the STC Standard， it is suggested to introduce a third-party STC certification mechanism for China’s ABS market， drawing on good international practices． The STC Standard put forward requirements on originator， underlying assets and information disclosure． As different market entities have different understanding， it is difficult to reach consensus and trust among all originators and investors through self-assessment． The introduction of professional third-party certification services is conducive to establishing trust among market entities， so as to provide a unified standard for the STC implementation and promote the continuing， consistent and appropriate implementation of the STC Standard．

Third， the public market data service should be improved for higher quality and efficiency of market services． At present， China’s ABS products are issued in the interbank market and on exchanges． In the public service regarding data， there is still a lack of data channels for investors to compare and analyze data， and the elements of data storage， retrieval and verification are underdeveloped． At present， only CCRE provides information registration services for ABS products in the field of credit ABS， providing initial registration and change registration for the underlying assets and ABS information of related products． It is suggested to give full play to the strengths and roles of regulatory support agencies， further improve securitization-related market services such as data storage and verification， open them to investors and market participants that meet regulatory requirements， standardize the form of institutional data disclosure and keep improving the quality and efficiency of market services．

（2） Endeavoring to boost sound development of credit ABS

In 2023， the credit ABS market experienced stable and sound development， persistently playing a supporting role in retail consumption， micro and small business services， green financing and other fields． By increasing the depth and breadth of inclusive finance， credit ABS helped address the challenges and high costs of financing， thus financially serving the real economy． Credit ABS also helped banks revitalize their financial resources once used inefficiently， improved the efficiency of fund utilization and effectively forestalled and defused financial risks． In addition， the existing loans were used more efficiently to make room for direct financing of real-sector enterprises and thus bolster economic growth． It is suggested to boost continued sound development of the credit ABS market as follows．

First， credit ABS issuance should be encouraged in key fields to diversify the product mix． It is suggested to encourage credit ABS business backed by underlying assets related to real-sector consumer spending （e.g． automobile， housing， consumer staples）， micro and small businesses， green industry， agriculture， rural areas and farmers and