Report Industry Investment Rating - Not provided in the content Core Viewpoints of the Report - In 2025, the issuance of credit ABS showed a stable recovery trend, featuring "small but numerous" characteristics. The non-performing loan ABS had a high growth rate and became the main growth engine. The concentration of the top ten sponsoring institutions decreased, and the average issuance interest rate declined year-on-year [2][4]. - In 2026, under the policy guidance of preventing and resolving financial risks, non-performing loan ABS is expected to continue to be the core engine for the expansion of the credit ABS market, and the continuous improvement of the regulatory framework will enhance market standardization and attract diversified investors [3][33]. - In the context of the increasing penetration rate of new energy vehicles, green auto loan ABS is expected to become an important growth point in the market, but attention should be paid to potential asset quality risks [34]. - With the maturity of AI technology, its application in the risk identification and management of the credit ABS market will deepen, which is expected to improve asset pricing accuracy and management efficiency [35]. Summary by Relevant Catalogs Issuance Overview - In 2025, a total of 238 credit ABS products were issued, with a total issuance scale of RMB 291.522 billion, a year-on-year increase of 7.82%. The average issuance scale per product was RMB 1225 million, a year-on-year decrease of 13.02%. The issuance scale accounted for 12.80% of the asset securitization market, a slight year-on-year decrease [4]. - The non-performing loan ABS issued 178 products, with a scale of RMB 82.057 billion, a year-on-year increase of 61.31%. The personal auto loan ABS had the same number of issuances as in 2024, with a scale of RMB 118.543 billion, accounting for 40.66% of the total. The issuance of micro-enterprise loan ABS declined, with 10 products issued and a scale of RMB 58.645 billion. The credit card installment loan ABS issued 2 products, with a scale of RMB 939 million. The bank/internet consumer loan ABS had a slightly lower number of issuances, but the scale reached RMB 31.338 billion, a year-on-year increase of 28.84% [5]. - There were 47 sponsoring institutions in the credit ABS market in 2025, mainly including auto finance companies and commercial banks. The top ten sponsoring institutions had a combined issuance scale accounting for 57.65%, with a decreased concentration [8][9]. - The average issuance interest rate of credit ABS was 2.13% in 2025, lower than that in 2024, and the average spread with the 3-year maturity yield of ChinaBond Medium and Short - term Notes was 23 BPs, showing a certain dispersion in the overall interest rate distribution [14]. Asset Classification Personal Auto Loan ABS - In 2025, the issuance scale was RMB 118.543 billion, accounting for 40.66% of the total credit ABS issuance, ranking first. The top ten manufacturers' issuance volume accounted for 86.21%, with a high concentration. The AAAsf - rated securities' coupon rate ranged from 1.60% to 1.96%, with a weighted average of 1.75%, a year-on-year decrease of 0.24 percentage points [17][19]. Non - performing Loan ABS - The issuance scale in 2025 was RMB 82.057 billion, a year-on-year increase of 61.32%, accounting for 28.15% of the total. Twenty banks participated in the issuance, mainly state - owned large commercial banks and national joint - stock banks. The top five banks' issuance scale accounted for 58.32%. The main underlying assets were personal housing mortgage non - performing loans and micro - enterprise non - performing loans. The AAAsf - rated securities' coupon rate ranged from 1.90% to 3.20%, with a weighted average of 2.32%, a year-on-year decrease of 0.09 percentage points [20][22][23]. Micro - enterprise ABS - The issuance scale in 2025 was RMB 58.645 billion, accounting for 20.12% of the total. China Construction Bank Corporation's issuance scale accounted for 84.60% of the total credit ABS issuance. The AAAsf - rated securities' coupon rate ranged from 1.58% to 1.96%, with a weighted average of 1.63%, a year-on-year decrease of 0.41 percentage points [24][25][28]. Personal Consumer Loan and Credit Card Installment Loan ABS - The personal consumer loan ABS issuance scale in 2025 was RMB 31.338 billion, accounting for 10.75% of the total. The top five sponsoring institutions' combined issuance scale accounted for 86.15%. The AAAsf - rated securities' coupon rate ranged from 1.70% to 2.05%, with a weighted average of 1.85%, a year-on-year decrease of 0.31 percentage points. The credit card installment loan ABS issued 2 products, with a total scale of RMB 939 million, accounting for 0.32% of the total, and the coupon rate of both products was 1.85% [29][30][32]. Outlook - In 2026, non - performing loan ABS is expected to continue to drive the expansion of the credit ABS market, and the regulatory framework will be further improved to attract more diversified investors [33]. - Green auto loan ABS may become an important growth point, but attention should be paid to the potential impact on asset quality from the changes in auto finance companies' operating strategies and credit access standards [34]. - The application of AI technology in the credit ABS market will deepen, which is expected to improve asset pricing accuracy and management efficiency, but attention should be paid to "model risk" [35].

Report Title - ABS Supply and Demand are Booming — ABS Monthly Report (June 2025) [1] Core Viewpoint - In June 2025, the ABS market showed a prosperous situation with growth in both supply and demand. The primary issuance scale increased, the secondary trading volume and turnover rate significantly improved, the investor structure had certain changes, and the yields and spreads also presented corresponding trends [2][3][4][5] Specific Summaries by Section Primary Issuance - **Issuance Scale**: In June 2025, the ABS issuance scale increased by 36% month-on-month to 205.546 billion yuan. Among them, the issuance scales of credit ABS, enterprise ABS, and ABN were 24.719 billion yuan, 128.621 billion yuan, and 52.206 billion yuan respectively, with month-on-month growth rates of 3%, 55%, and 18% [2][8] - **Issuance Term and Interest Rate**: Newly issued ABS in June mostly had a term of 1 - 2 years, and the weighted average coupon rate continued to decline. The weighted average coupon rate was 1.93%, a decrease of 7.82bp compared to May. By ABS type, the weighted term of newly issued credit ABS was 2.80 years with a weighted interest rate of 1.63%; for enterprise ABS, the weighted term was 3.38 years and the weighted interest rate was 2.05%; for ABN, the weighted term was 2.56 years and the weighted interest rate was 1.93% [2][10] Secondary Trading - In June 2025, the ABS trading volume and turnover rate significantly increased. The monthly trading volume was 163.716 billion yuan, a 38.01% increase from May. The monthly turnover rate was 5.0%, a 1.3 percentage point increase from May. Among them, ABN was the most actively traded ABS product type, with a monthly turnover rate of 7.0% in June, a 1.1 percentage point increase from the previous month [3][16] Investor Structure - **Credit ABS**: Commercial banks and non - legal person products were the main holders, accounting for 69% and 15% respectively. The holding proportions of commercial banks and non - legal person products decreased by 0.55 and 0.04 percentage points respectively compared to the previous month, while the holding proportion of securities companies increased by 0.37 percentage points [4][19] - **ABN**: Non - legal person products and commercial banks held the most, accounting for 62% and 28% respectively, remaining the same as the previous month [4][19] - **Enterprise ABS**: For Shanghai Stock Exchange enterprise ABS, trust institutions and bank self - operations were the main investors, with holding proportions of 31% and 26% respectively as of June, with the trust institution's proportion decreasing by 0.2 percentage points and the bank self - operation's increasing by 0.1 percentage point compared to the previous month. For Shenzhen Stock Exchange enterprise ABS, trust institutions and general institutions were the main investors, with holding proportions of 32% and 27% respectively as of June, with the trust institution's proportion decreasing by 0.3 percentage points and the general institution's remaining unchanged [4][24] Yields and Spreads - In June, the yields to maturity of ABS at various terms continued to decline. The changes in the yields to maturity of 1 - year, 3 - year, 5 - year, and 10 - year AAA - rated asset - backed securities compared to May 30, 2025, were - 1.6bp, - 3.1bp, - 6.7bp, and - 7.0bp respectively. The spreads between ABS and medium - and short - term notes mostly decreased. The spreads between 1 - year, 3 - year, 5 - year, and 10 - year AAA - rated asset - backed securities and medium - and short - term notes of the same term and rating changed to 5.7bp, - 12.1bp, - 2.5bp, and - 3.5bp respectively, with changes of 0.3bp, - 2.0bp, - 2.5bp, and - 2.1bp respectively [5][26]

Report Title - ABS Investor Structure Changes - ABS Monthly Report (May 2025) [1] Report Industry Investment Rating - Not provided Core Viewpoints - In May 2025, the ABS issuance scale decreased, with the largest month - on - month decline in enterprise ABS. The trading volume and turnover rate of ABS decreased significantly, but the trading amount and turnover rate of credit ABS continued to grow. The holding proportions of major investors in different types of ABS changed, and the yields of ABS at all maturities declined while the spreads with medium - and short - term notes mostly continued to rise [2][3][4][5] Summary by Directory 1. Primary Issuance 1.1 Issuance Scale - In May 2025, the ABS issuance scale decreased by 28% month - on - month to 15.1533 billion yuan. Credit ABS, enterprise ABS, and ABN issuance scales were 2.3905 billion yuan, 8.321 billion yuan, and 4.4418 billion yuan respectively, with month - on - month declines of 2%, 35%, and 23% [2][9]. - Among credit ABS, the issuance scale of micro - enterprise loan ABS increased the most, and the issuance scale of non - performing loan ABS had a fast growth rate of 761%. In enterprise ABS, the issuance scales of shantytown renovation/affordable housing ABS and CMBS/CMBN increased the most, while the issuance scale of quasi - REITs decreased the most. In ABN, the issuance scale of general small - loan creditor's rights ABS increased more, and the issuance scale of preferred limited partnership shares ABS decreased the most [9] 1.2 Issuance Term and Interest Rate - In May 2025, the terms of newly issued ABS were mostly 9M - 1 year and 1 - 2 years, and the weighted coupon rate continued to decline. The weighted average coupon rate was 2.01%, a decrease of 6.68bp compared to April [11]. - For different types of ABS, the weighted terms of newly issued credit ABS, enterprise ABS, and ABN all increased compared to the previous month, and their weighted interest rates all decreased [11] 2. Secondary Trading - In May 2025, the trading volume and turnover rate of ABS decreased significantly, but the trading amount and turnover rate of credit ABS continued to grow. The monthly trading amount of ABS was 11.8623 billion yuan, a decrease of 27.09% compared to April. The monthly turnover rate of ABS was 3.6%, a decrease of 1.4 percentage points compared to April. ABN was the most actively traded ABS product type [3][17] 3. Investor Structure - In credit ABS, commercial banks and non - legal person products were the main holders, with holding proportions of 69% and 15% respectively. The holding proportions of commercial banks and non - legal person products decreased, while those of securities companies and overseas institutions increased [4][20] - In ABN, non - legal person products and commercial banks held the most, with holding proportions of 62% and 28% respectively, both decreasing compared to the previous month [4][20] - For enterprise ABS, trust institutions and bank self - operations were the main investors in Shanghai Stock Exchange enterprise ABS, with holding proportions of 31% and 26% respectively, both decreasing. In Shenzhen Stock Exchange enterprise ABS, general institutions and trust institutions were the main investors, with the holding proportion of general institutions increasing and that of trust institutions slightly decreasing [4][25] 4. Yield and Spread - In May, the yields to maturity of ABS at all maturities declined. The yields to maturity of 1 - year, 3 - year, 5 - year, and 10 - year AAA - rated asset - backed securities decreased by 7.6bp, 6.1bp, 4.9bp, and 4.4bp respectively compared to April 30, 2025 [5][27] - The spreads between ABS yields to maturity and medium - and short - term notes mostly continued to rise. The spreads of 1 - year, 3 - year, 5 - year, and 10 - year AAA - rated asset - backed securities with the same - maturity and same - rating medium - and short - term notes changed to 5.4bp, - 10.1bp, 0.0bp, and - 1.3bp respectively [5][27]