ABS 分析框架：韧性与低波的协同 20251114 摘要 中国 ABS 市场分为银行间和交易所市场，信贷 ABS 曾占主导，后交易 所 ABS 和 ABN 崛起。当前企业类产品为主流，受宏观经济和房地产影 响，整体规模下滑，但消费金融类产品表现强劲，发行增速企稳，每年 新发约 2 万亿人民币，总存量约 3.5 万亿人民币。 泛消费金融类 ABS 预计将成为增长板块，受益于扩内需促消费政策。应 收账款/供应链金融 ABS 正向新能源、数据及海外供应链票据等新兴领 域拓展。租赁类 ABS 活跃度提升，新主体涌现。城投类资产供给减少， 租赁主体拓展普惠、养老等新资产类别。 不良类 ABS 增长迅速，主要来自银行出表需求，预计中短期内将继续放 量。汽车相关 ABS 需求下降，但新能源车、二手车和商用车或成增长点。 CNBS 增速有限，但城投参与活跃。类 REITs 以能源设施和商业物业为 主，能源设施占比提高。持有型不动产 ABS 有望成为增长引擎。 ABS 流动性虽偏弱但提升，得益于产品稳定性验证和交易性投资人扩容。 与传统债券相比，ABS 月度换手率仍较低，但绑定主体信用的品种和应 收账款品种活跃度较高。ABS ...

Report Industry Investment Rating - No relevant content provided Core Views - The "15th Five-Year Plan" draft proposes to support the development of innovative products such as asset securitization and promote the high - quality development of the real estate industry [2] - The "Action Plan" supports the issuance of REITs for eligible commercial real estate projects, which is conducive to revitalizing the stock assets in the commercial real estate field and promoting the recovery of the real estate industry [3] - In September 2025, the issuance of asset - securitized products in the whole market increased significantly, and the issuance costs of different types of products were differentiated [7] - The issuance scale of products in the inter - bank and exchange markets has increased, with the largest increase in credit ABS [16] - The trading activity of ABS products in the secondary market has generally increased, and products such as class REITs and micro - enterprise loans have relatively active transactions [19] Summary by Directory 1. Overall Market Issuance Situation - In September 2025, a total of 299 issues of asset - securitized products were issued in the whole market, with a total scale of 268.78 billion yuan, a 43% increase from the previous period [7] - The average issuance costs of policy - loan - based and micro - enterprise - loan - based products were relatively high, while those of personal auto - loan products were relatively low [7] - The secondary - stratification ratios of products such as trust - beneficiary rights, shantytown - renovation/affordable - housing, and accounts - receivable did not exceed 10%, while that of non - performing - loan products remained at a high level [7] - The stratification ratios of different products with underlying assets such as micro - enterprise loans and class REITs varied greatly [7] - Exchange - traded ABS: 191 issues were issued, with a total scale of 164.946 billion yuan, a 41% increase from the previous month. The coupon rates of priority products with disclosed credit ratings ranged from 1.65% to 3.95% [13] 2. Issuance Situation in the Inter - bank and Exchange Markets - Inter - bank market ABS: 38 issues of products were issued, with a scale of 36.569 billion yuan, a 72% increase from the previous month. The priority products were all rated AAAsf, and the highest coupon rate was 2.80% [16] - The secondary - stratification ratios of products ranged from 12% to 35%, and nearly 90% of inter - bank ABS products had a secondary - stratification ratio of over 20% [16] - Transaction - Association ABN: 70 issues were issued, with a total scale of 67.363 billion yuan, a 16% increase from the previous month. The coupon rates of priority products with disclosed credit ratings ranged from 1.60% to 3.80% [17] 3. Secondary Market - Inter - bank market ABS: The total trading volume was 20.378 billion yuan, and the trading activity increased significantly. Non - performing - loan products had the largest trading volume [19] - Exchange - traded ABS: The total trading volume was 104.656 billion yuan, and the trading scale increased significantly from the previous month. Class REITs products had the largest trading volume [22] - Transaction - Association ABN: The total trading volume was 54.07 billion yuan, and the trading scale further increased. Micro - enterprise loans and bank/Internet consumer loans had relatively active transactions [25]

Core Insights - The insurance asset management sector is increasingly focusing on asset-backed securities (ABS) to seek stable long-term returns in a low-interest-rate environment, with a reported growth of over 25% year-on-year in the first three quarters of 2025 [1][2][6] Group 1: Market Growth and Trends - In the first three quarters of this year, 15 insurance asset management institutions registered 66 asset-backed plans, totaling 274.58 billion yuan, marking a 25.1% increase compared to the same period last year [2] - The "insurance version ABS" is characterized by its focus on infrastructure projects, providing stable cash flows that align with the long-term liabilities of insurance funds, making it a significant investment choice in the current market [2][6] - Among the active insurance asset management institutions, 10 have surpassed the 10 billion yuan registration threshold, indicating a strong industry commitment to this asset class [2] Group 2: Demand for Exchange ABS Qualifications - There is a growing desire among insurance asset management institutions to obtain qualifications for managing exchange ABS, which are seen as more liquid and diverse compared to non-standard ABS [4][5] - The push for exchange ABS qualifications began in October 2023, when regulatory bodies expanded the scope to include insurance asset management companies, with five major firms being the first to receive approval [5] - However, the expansion of trial qualifications has stalled, with regulatory caution making it difficult for many institutions to gain access to this lucrative market [5] Group 3: Dual Strategy for Market Challenges - Insurance funds are adopting a dual strategy to navigate current market challenges, focusing on both the "insurance version ABS" market and seeking exchange ABS management qualifications [6] - This strategy reflects the necessity for insurance funds to adapt to changing macroeconomic conditions and the declining attractiveness of traditional fixed-income assets, with ABS products filling the investment gap [6]

Core Insights - Insurance asset management companies are increasingly focusing on asset-backed securities (ABS), with a notable growth of over 25% in registration scale during the first three quarters of 2023 [1][4] - The first batch of five insurance asset management companies received pilot qualifications for ABS and REITs in October 2023, but no new qualifications have been granted since then [1][2] - The insurance version of ABS, which is less liquid than exchange-listed ABS, is gaining traction due to its alignment with the long-term investment needs of insurance funds [3][4] Group 1 - In the first three quarters of 2023, 15 insurance asset management institutions registered 66 asset-backed plans, totaling 274.578 billion yuan, representing a year-on-year increase of 25.1% [1][4] - The most registered asset-backed plans were from Minsheng Tonghui Asset Management Co., Ltd., with 12 plans, while Everbright Yongming Asset Management Co., Ltd. had the largest registration scale at 60.55 billion yuan [4] - Ten out of the 15 insurance asset management institutions registered asset-backed plans with a scale exceeding 10 billion yuan this year [4] Group 2 - The demand for stable cash flow assets suitable for long-term investment has led insurance funds to show increased interest in ABS since the pilot program began [2][4] - The regulatory environment remains cautious, with insurance funds facing challenges in obtaining exchange ABS qualifications, as the primary players in this market are still brokerage firms [2][3]

Core Viewpoint - The insurance asset management sector is actively seeking to obtain trading platform ABS qualifications, but regulatory approval remains cautious and limited since the initial pilot program began in October 2023 [1][2]. Group 1: ABS Market Overview - As of the first three quarters of 2023, 15 insurance asset management institutions have registered 66 asset-backed plans, with a total registration scale of 274.578 billion yuan, reflecting a year-on-year growth of 25.1% [1][4]. - The primary role of insurance capital in the ABS market is to manage and issue asset-backed plans, often through a trustee model [1][3]. Group 2: Regulatory Environment - The China Securities Regulatory Commission and the National Financial Regulatory Administration have expanded the management scope of trading platform ABS to include insurance asset management companies, with five firms initially granted pilot qualifications [2]. - Despite the initial approvals, no new insurance capital has been granted trading platform ABS issuer and manager qualifications since the pilot program began, indicating a cautious regulatory stance [2]. Group 3: Investment Trends - Insurance capital is increasingly favoring asset-backed plans due to their stable cash flows and alignment with long-term investment needs, leading to a significant increase in ABS activity this year [3][4]. - The "insurance version ABS" operates in a non-standard business model, focusing on infrastructure and other projects, which helps meet the diversified allocation needs of insurance funds [3].

Core Viewpoint - The successful issuance of the "Taikang Asset - Caitong - Yuanjing New Energy Holding Real Estate Asset Support Special Plan (Carbon Neutral)" marks a significant step in the securitization of wind power assets and provides a useful reference for insurance asset management companies to expand their ABS business on the exchange [1] Group 1: Asset Securitization Development - The issuance of the asset-backed securities (ABS) plan is the first of its kind using onshore wind farms as underlying assets, indicating a key advancement in the wind power asset securitization market [1] - As of June 20, 2023, insurance asset management companies have registered 37 asset support plans this year, with a total scale of 1700.96 billion, representing a year-on-year increase of 16.61% [1] - Since the launch of the insurance exchange ABS project in 2023, insurance asset management companies have issued a total of 11 projects, amounting to 165.85 billion [1] Group 2: Trends in Asset Support Plans - Asset support plans have become more common, providing insurance funds with new investment assets beyond traditional debt and equity products, aligning with their risk preferences [2] - The transition from a registration system to a filing system for asset support plans in September 2021 has led to rapid growth, with the scale surpassing 1000 billion in 2021, over 3000 billion in 2022, and reaching 4600 billion in 2023 [2] - The trading exchange ABS business began pilot testing in October 2023, with five insurance asset management companies approved to conduct ABS and REITs business [2] Group 3: Future Outlook and Policy Support - Insurance asset management companies are expected to actively participate in the ABS and REITs business, enhancing their ability to create more financial products and better serve the real economy [3] - The implementation of the "High-Quality Development Plan for Financial Technology in Banking and Insurance" supports increased investment in technology-related bonds and asset support plans by insurance institutions [3] - The positive outlook for the ABS business is reinforced by policy support, which is anticipated to invigorate the capital market and enhance the service channels for insurance funds in the real economy [4]