证券研究报告 晨会 hyzqdatemark 2025 年 08 月 12 日 投资要点： 资料来源：聚源，华源证券研究所，截至2025年08月12日 华源晨会精粹 20250812 非银 寿险公司的利差风险或可控——净资产对利率的敏感性分析和保单负债成本 测算：低利率环境下，市场担心寿险公司的利差风险。六大上市保险集团（国寿、 平安、太保、新华、人保和太平）的平均净投资收益率由 20 年的 4.7%下降到 24 年 的 3.6%，且由于寿险公司有着负债久期长于资产久期的特征，利率下行带来的债权 资产的增值小于寿险准备金的增提，因此市场对保险公司的利差（投资收益率-负债 成本）产生悲观情绪，进而影响行业和公司的估值。本篇报告将以数据测算为基础， 先分析在压力情景下各家公司的净资产的变化，再计算各家保险公司新保单和存量 保单的成本情况，阐述实际利差风险或是可控的。受资产端会计分类、负债产品特 征、债权投资久期、万能最低保证利率等多个因素影响，各家公司在利率大幅下降 的压力测试下，净资产的下降幅度有一定的差异性，其中太保和国寿在 24 年末利率 继续下行 50bp 的压力测试下，净资产下降幅度为 7%和 13.6 ...

华源证券发布研报称，基于在较为极端情境下(10年期国债利率在24年末1.68%的基础下继续下行 50bp)，优质寿险公司净资产对利率的敏感性可能已经较为可控，且随着监管调低预定利率，24年新保 单的负债打平成本已经有效显著下行。而随着高预定利率的传统终身寿险缴费期的逐渐结束，该行预期 28年后存量保单负债成本将出现拐点，且部分公司已经通过提升权益市场仓位和抓住权益市场机会实现 了投资收益率的有效对冲，因此保险行业实际的利差风险或较为可控，维持行业"看好"评级。 华源证券主要观点如下： 长端利率影响寿险公司净资产的三种路径 对于传统险来说，主要是通过资产端和负债端久期的缺口影响净资产;对于具有VFA分红特征的险种来 说，长端利率下降对其影响是跳跃函数，在没有击穿盈利，保单依然是盈利(CSM为正)的情况下，CSM 可以吸收利率下降带来的不利影响，但一旦长端利率下降到极低的位置，CSM将被击穿转负，将直接 在保险服务支出中体现亏损;对于所有险种来说，保单合同的折现率40年之后采用4.5%的终极利率，因 此一旦长端利率变的极低，到时将大幅下调终极折现率从而提高准备金，降低净资产。 风险提示 各家公司净资产对利率的敏感 ...

Investment Rating - The report maintains a "Positive" investment rating for the insurance industry [4][49]. Core Insights - The report highlights that the interest spread risk for life insurance companies is manageable, despite concerns in a low interest rate environment. The average net investment yield for six major listed insurance groups has decreased from 4.7% in 2020 to 3.6% in 2024, leading to pessimism regarding the interest spread (investment yield minus liability cost) [4][8]. - The sensitivity of net assets to interest rates varies significantly among companies, with China Life and China Pacific experiencing a 13.6% and 7% decline in net assets, respectively, under a 50 basis point interest rate drop scenario [16][21]. - The cost of new policies has effectively decreased, with major companies like China Life and China Pacific seeing a reduction of approximately 50 basis points in liability costs to 2.4-2.5% in 2024 [4][36]. - The report anticipates a turning point for the cost of existing policies post-2028, as high-cost premium cash flows will cease, and companies like Xinhua are increasing equity allocations to hedge against interest rate declines [4][39]. Summary by Sections Section 1: Interest Rate Sensitivity - Long-term interest rates impact life insurance companies' net assets through three main pathways: duration gap between assets and liabilities, the effect on contracts with Variable Fee Approach (VFA), and the ultimate discount rate applied to policy contracts [13][14]. - Under a stress scenario of a 50 basis point decline in interest rates, the net asset impacts for major companies were calculated, showing varying degrees of sensitivity [16][21][27]. Section 2: New Policy Liability Costs - The liability costs for new policies have significantly decreased, with the report noting that the maximum liability rates for traditional and participating insurance products have been lowered, leading to a reduction in the break-even liability cost for major insurers [36][37]. - The report provides a detailed analysis of the break-even liability costs for major insurers from 2021 to 2024, indicating a downward trend in these costs [38]. Section 3: Existing Policy Costs - The report discusses the potential turning point for existing policy costs, with expectations that high-cost premium cash flows will diminish after 2028, thus reducing liability costs [39][40]. - Xinhua Insurance is highlighted for its strategy of increasing equity exposure to mitigate risks associated with declining interest rates, achieving significant investment returns [39][41].