利率专题：险资配债的逻辑与新趋势

Group 1: Report Information - Report Title: "Analysis of Insurance Funds' Bond Allocation Logic and New Trends" [1] - Report Date: August 24, 2025 [1] Group 2: Industry Investment Rating - No industry investment rating is provided in the report. Group 3: Core Views - The growth rate of insurance premium income has weakened, while the investment in stocks and bonds has strengthened. Insurance funds' overall investment intensity has increased significantly against the trend of premium income [2][17]. - When allocating bonds, insurance funds need to consider both increasing returns and smoothing fluctuations. They should choose the optimal solution by comprehensively considering tax costs, capital occupation costs, and adapting to new accounting standards [4][5]. - The reduction of the预定利率 of insurance products is expected to have limited impact on boosting the bond market allocation power. The trading attribute of insurance bond allocation has shown certain trends in a low - interest - rate environment [7][8]. Group 4: Insurance Funds' Investment Overview Overall Investment Intensity - Premium income is the cornerstone of the liability side for insurance funds' asset investment. Life insurance products account for about 60% of premium income, and their scale changes directly affect the overall premium income trend of the industry. After the "panic - buying before product discontinuation" craze subsided in the second half of last year, the growth rate of life insurance premium income weakened significantly, dragging down the overall performance of the industry [13][14]. - In contrast, the overall investment intensity of insurance funds has increased significantly against the trend. Since the second half of 2024, the year - on - year growth rate of the balance of insurance funds used by life insurance companies has increased from 15% in Q2 2024 to 18% in Q2 2025, and that of property insurance companies has increased from 5% to 11%. The ratio of "accumulated new insurance funds used after deducting investment income in the current year/accumulated new premium income" also shows that the subjective investment willingness of insurance funds is relatively strong [17]. Investment Allocation - From the perspective of asset allocation, bonds and stocks are the main areas of investment. The bond investment proportion of life insurance companies has been steadily increasing, with a quarterly increase of about 1 pct since the second half of 2024. The bond investment proportion of property insurance companies has increased by 3 pcts in three quarters since Q4 2024 [26][30]. - The stock investment proportion of both life and property insurance companies has increased by 1.8 pcts since Q2 2024. The reasons include the good performance of equity assets and the policy - driven increase in risk appetite. The Hong Kong stock market's high - dividend assets have shown strong performance, and about 63% of surveyed institutions plan to increase their investment in Hong Kong stocks in 2025 [31]. Group 5: Considerations for Insurance Funds' Bond Allocation Bond Allocation Structure Overview - Insurance funds account for about 9.32% of the Chinese bond market. As of June 2025, local government bonds accounted for 47% of the insurance bond portfolio. In the secondary cash - bond market, ultra - long - term local government bonds have accounted for more than 50% of the net purchase scale of insurance since November 2024 [3][41][46]. Increasing Returns: Tax and Capital Occupation Costs - Tax Costs: Before August 8, 2025, insurance self - operated funds' bond investment income was subject to value - added tax, value - added tax surcharge, and income tax. After August 8, the interest income of newly issued government bonds and financial bonds resumed VAT collection, but government bonds still have significant tax advantages [52]. - Capital Occupation Costs: The "C - RISK II" Phase II regulatory system will be fully implemented in 2026. Insurance companies, especially small and medium - sized ones, are under pressure to meet solvency requirements. Life insurance companies can improve solvency by extending bond investment duration, while property insurance companies should choose bonds with shorter duration and higher credit ratings to reduce capital occupation costs [54][63]. Reducing Fluctuations: Adapting to New Accounting Standards - Under the new IFRS9 and IFRS17 accounting standards, insurance companies need to shorten the duration gap to reduce net asset fluctuations, so they have a more rigid demand for long - term bonds. They are also expected to be more cautious in allocating bank secondary capital bonds and credit bond sinking [73][74]. Group 6: Adjustment of Bond Allocation Structure Local Government Bonds - Insurance has an absolute preference for 20Y and 30Y local government bonds, and the secondary - market purchase scale mainly depends on supply. However, its influence on pricing power is not absolute [77][80]. Treasury Bonds - The purchase of new treasury bonds has weakened, and insurance needs to free up positions first. Old treasury bonds with maturities of less than 7Y and between 20 - 30Y are mainly sold [89]. Policy Financial Bonds - Insurance rarely participates in policy financial bonds in both primary and secondary markets, and the existing positions remain stable [6]. Credit Bonds and Perpetual Bonds - The net purchase scale of credit bonds depends on the overall bond - allocation strength of insurance funds, and the allocation of perpetual bonds has changed from purchase to continuous reduction [6]. Group 7: New Trends and Issues in Insurance Bond Allocation Impact of Insurance Product Predetermined Interest Rate Reduction - The reduction of the predetermined interest rate of insurance products is expected to have limited impact on boosting the bond market allocation power. The expansion speed of the insurance liability side may slow down in the long term, and the relative attractiveness of the equity market is more prominent [7]. Trading Attribute of Insurance Bond Allocation in a Low - Interest - Rate Environment - Since 2023, insurance has rarely significantly reduced bond allocations, and the probability of significant increases has increased year by year. In 2025, the willingness to increase the allocation of bonds with maturities over 10Y has further strengthened, and the probability of selling such bonds to realize floating profits when interest rates decline significantly has also increased [8].