1. Report Industry Investment Rating - Not provided in the given content 2. Core Viewpoints of the Report - The central bank's support for financial institutions to issue bonds to enhance consumer credit supply is expected to enrich the credit - bond market product structure, but the credit risk and pricing of underlying assets need attention [3][11]. - The Fed's interest - rate cut eases the inversion pressure of the Sino - US interest - rate spread, providing external space for China's monetary policy. However, its impact on China's credit - bond market is mainly on the emotional and capital levels, and the real effect needs to be transmitted through domestic policies. Investors are advised to be cautious [4][14][16]. - The current credit - bond investment has entered a "cooling - off period", and the investment strategy should focus on coupon defense of short - and medium - term varieties, with more attention paid to industry fundamentals and individual credit - risk identification [16]. 3. Summary by Directory Market Hotspots - **Central bank supports financial institutions to issue bonds**: On September 17, the central bank stated that it would support financial institutions to issue financial bonds and ABS to enhance consumer credit supply. As of August 2025, the bond - issuance scale of financial institutions reached 3.53 trillion yuan, a year - on - year increase of 18.06%. This move is expected to increase the supply of ABS products and enrich the credit - bond market variety structure, but the credit risk of underlying assets should be noted [3][10][11]. - **Fed's interest - rate cut**: On September 17, the Fed cut the federal funds rate target range by 25 basis points to 4.00% - 4.25%. It eases the Sino - US interest - rate spread inversion pressure, but the impact on China's credit - bond market is limited. The domestic bond - market logic is still dominated by internal factors. Investors are advised to be cautious [4][13][14]. Macroeconomic Data - At the end of August, the stock of social financing scale was 424 trillion yuan, a year - on - year increase of 8.8%, with the growth rate decreasing by 0.2 percentage points compared with July. The new social financing scale in August was 2.57 trillion yuan, a year - on - year decrease of 463 billion yuan, mainly due to the weakened support of government bond financing for social financing. In terms of money supply, M1 in August was 6.0%, up 0.4 percentage points from the previous month, and the M1 - M2 "scissors gap" narrowed to 2.8% [5][17]. Money Market - Last week, the central bank net - injected 1162.3 billion yuan through open - market operations. Affected by factors such as the approaching quarter - end, increased cash demand for the National Day holiday, and monthly time points, the capital price increased. The repurchase rates for terms within a month increased by 5 - 12 basis points, while the 3 - month and 1 - year Shibor changed little [6][20]. Credit - Bond Primary Market - Last week, the credit - bond issuance scale increased significantly to 326.103 billion yuan, with the daily average issuance scale increasing to 65.221 billion yuan. The cancellation of bond issuance decreased to 460.5 million yuan. All bond types and industries saw an increase in issuance scale. The infrastructure investment and financing industry had a net inflow of 38.49 billion yuan, and most industries in industrial bonds had a net inflow. The average issuance cost of credit bonds fluctuated, with a change range of 4 - 44 basis points [23][24][31]. Credit - Bond Secondary Market - Last week, the secondary - market spot - bond trading volume was 9261.011 billion yuan, with the daily average trading volume increasing to 1852.202 billion yuan, indicating increased trading activity. Affected by the "stock - bond seesaw" effect, most bond yields increased. The interest - rate bond yields increased by up to 5 basis points, and the credit - bond yields increased by 2 - 5 basis points. The credit spreads fluctuated within a narrow range, and the rating spreads changed little, with a change range within 3 basis points [35][38][42].

Report Information - Report Title: Credit ABS Market Characteristics and Investment Opportunities Inventory - Report Date: September 22, 2025 - Analysts: Liao Zhiming, Zhang Yifan 1. Industry Investment Rating The report does not mention the industry investment rating. 2. Core Viewpoints - The issuance volume of credit ABS has decreased in recent years due to factors such as weak social financing demand and slow credit scale growth in China. In H1 2025, 102 credit ABS were issued, with a total issuance scale of RMB 95.885 billion, a year-on-year decrease of 22.9% and a decrease of about 77% compared to H1 2021. Since 2023, no RMBS products have been issued, and NPL ABS and auto mortgage ABS have become increasingly important, accounting for 37.8% and 35.8% of the total credit ABS issuance scale in H1 2025 respectively [3][6]. - The investor structure of credit ABS is relatively concentrated, with commercial banks being the largest investors, holding RMB 651.102 billion, accounting for 67.3% of the total credit ABS scale as of the end of July 2025. Different types of investors have different motivations and constraints for investing in credit ABS [3]. - The NPLS issuance scale reached a record high in 2024, and the RMBS performance has been relatively stable, with the early repayment pressure easing since H2 2024. The issuance proportion of green Auto ABS has been increasing year by year [3]. - There are investment opportunities in credit ABS. For NPLS, investors can focus on individual bonds with a ChinaBond valuation higher than 2.1%, a sub - layer ratio exceeding 24.5%, an actual/expected recovery ratio greater than 1.2, more than 5,200 underlying assets, and a bond rating of AAA. For RMBS, investors can focus on individual bonds with a bond rating of AAA, a ChinaBond valuation exceeding 1.9%, a sub - layer ratio higher than 12%, an expected recovery ratio exceeding 50%, more than 2,000 underlying assets, and a cumulative default rate lower than 0.5% [3]. 3. Summary by Directory 3.1 Credit ABS Product Characteristics 3.1.1 Primary Market Supply Characteristics - Since 2005, China has carried out credit asset securitization business, which has developed rapidly and diversified. In recent years, due to weak social financing demand and slow credit scale growth, the issuance volume of credit ABS has decreased. In H1 2025, 102 credit ABS were issued, with a total issuance scale of RMB 95.885 billion, a year - on - year decrease of 22.88% in scale and an increase of 18.60% in the number of issuances compared to the previous year, and a decrease of about 77% compared to H1 2021 [6]. - As of the end of July 2025, the custody scale of credit ABS products was RMB 966.822 billion, a decrease of 14.53% compared to the end of 2024. The significant reduction in RMBS issuance is the key factor for the contraction of credit ABS scale [9]. - Credit ABS is regulated by the National Financial Regulatory Administration, and its initiators include various financial institutions. Its trading venue is the inter - bank market, and it can be publicly or privately offered. The underlying assets can be divided into retail loans, corporate loans, and non - performing loans [12]. - From 2015 to 2021, the issuance scale of credit ABS grew rapidly, but since 2021, it has declined. Currently, auto mortgage ABS, small and micro - enterprise loan ABS, and NPLS are growing, and NPL ABS and auto mortgage ABS have become increasingly important, accounting for 37.79% and 35.82% of the total credit ABS issuance scale in H1 2025 respectively [14]. 3.1.2 Secondary Market Trading Characteristics - Since 2020, credit ABS has maintained a higher yield than policy financial bonds and credit bonds of the same term, but the yield spread has been narrowing [17]. - Before 2016, the secondary market trading of credit ABS was mainly concentrated in corporate loan ABS. After 2016, RMBS became the mainstream due to the booming real estate market. However, since 2023, the early repayment rate of RMBS has increased, leading to a contraction in its scale and a shift in trading focus to other products [19]. 3.2 Credit ABS Investor Structure Characteristics - As of the end of July 2025, commercial banks were the largest investors in credit ABS, holding RMB 651.102 billion, accounting for 67.34% of the total credit ABS scale. The investment direction of non - legal person products also generally represents the investment preference of commercial banks [23]. 3.2.1 Motivation and Constraints for Commercial Banks to Participate in Credit ABS Investment - The risk capital measurement rules have an important impact on commercial banks' investment in credit ABS. The new rules have refined the risk weight calculation methods, and the risk weights of high - rated and senior - tranche asset - backed securities have decreased significantly. However, commercial banks have a low investment willingness for non - performing loan securitization products and non - senior tranches due to their high risk weights [25][26]. 3.2.2 Influencing Factors for Other Types of Investors to Participate in Credit ABS Investment - **Mutual Funds**: Asset - backed securities are classified as illiquid assets, so mutual funds have a low participation rate. The investment proportion limit also restricts the investment of fund special accounts and securities company collective asset management products in credit ABS [31]. - **Asset Management Products**: Investment proportion restrictions limit the possibility of asset management products participating in securitized sub - products. However, trust plans and private funds have become more active investors in sub - products [32]. - **Insurance Companies**: After the implementation of the second - generation solvency regulations, the risk capital occupation of ABS is the same as that of bonds, and the scope of ABS products and managers that insurance institutions can invest in has been broadened. However, insurance institutions are prohibited from investing in ABS sub - shares, NPL ABS, and credit ABS with watch - list loans as underlying assets. In practice, insurance institutions have limited participation in credit ABS investment due to the short - term nature of ABS not matching their long - term liabilities [39][40]. 3.3 Credit ABS Sub - product Credit Performance - RMBS has maintained a relatively low cumulative default rate, and the early repayment pressure has eased since H2 2024. Due to the weak real estate market, the possibility of a significant increase in RMBS issuance scale is low [43]. - In recent years, the pressure on commercial banks to dispose of non - performing assets has increased. In 2024, the issuance scale of public NPLS in the inter - bank market reached a record high of RMB 50.867 billion, mainly composed of non - performing personal housing mortgage loans and non - performing credit card loans, with an increasing proportion of non - performing small and micro - enterprise loans [47]. - Since 2024, the average current issuance interest rates of small and micro - enterprise loan ABS and non - performing loan ABS have been relatively high, while that of personal auto loan ABS has been the lowest [48]. 3.4 Credit ABS Investment Opportunities Inventory - **NPLS**: Due to the higher actual recovery value of existing NPLS than the expected value, the market may underestimate its recovery ability. Institutions with strong due diligence and asset valuation capabilities can build a diversified NPLS investment portfolio to earn excess returns. It is recommended to focus on individual bonds with a ChinaBond valuation higher than 2.1%, a sub - layer ratio exceeding 24.5%, an actual/expected recovery ratio greater than 1.2, more than 5,200 underlying assets, and a bond rating of AAA [51]. - **RMBS**: In a low - interest - rate and volatile market environment, RMBS has high - quality collateral, a low default rate, and enhanced cash - flow stability. It is recommended to focus on individual bonds with a bond rating of AAA, a ChinaBond valuation exceeding 1.9%, a sub - layer ratio higher than 12%, an expected recovery ratio exceeding 50%, more than 2,000 underlying assets, and a cumulative default rate lower than 0.5% [51][54].

Core Insights - The 2025 World Intelligent Industry Expo (智博会) opened in Chongqing, focusing on "Artificial Intelligence+" and "Intelligent Connected New Energy Vehicles" as its main themes, showcasing global advancements in intelligent technology [1][19] - The "2025 Digital Industry Ecosystem Conference," hosted by Mashang Consumer Finance, attracted over 1,500 industry elites and experts to discuss opportunities in the digital industry ecosystem and its collaborative development [1][2] Group 1: Event Overview - The conference featured a rich agenda with "2+9+4+1" format, including two keynote speeches, nine high-level presentations, four major results announcements, and one parallel meeting, aimed at providing insights and practical wisdom for the digital industry [2] - Notable speakers included government officials, academicians, and industry leaders, discussing key issues such as the integration of digital economy and real economy [2][12] Group 2: Technological Innovations - Mashang Consumer Finance launched the first financial blockchain management platform for national consumer finance companies and completed the first credit asset-backed securities (ABS) based on blockchain and digital RMB [6][8] - The establishment of the "Chongqing Key Laboratory of Quantum Computing and Quantum Artificial Intelligence" aims to advance key technologies in finance, including quantum acceleration and real-time risk control [9][10] Group 3: Strategic Collaborations - A strategic cooperation framework was signed between Mashang Consumer Finance and Southwest University of Finance and Economics to enhance collaboration in research, talent cultivation, and results transformation [11][13] - The conference highlighted the importance of deep integration between academia and industry, showcasing the role of Mashang Consumer as a leader in digital finance innovation [5][11] Group 4: Industry Trends and Insights - Experts emphasized the accelerating integration of digital and real economies, with Chongqing recognized as a benchmark for this integration in the western region [12] - The conference underscored the shift in global industrial competition towards innovation capability and ecosystem dominance, with a focus on the importance of digital economy governance [15][16] Group 5: Future Outlook - The "智博效应" (Intelligent Expo Effect) is expected to attract high-end talent and advanced technologies to Chongqing, reshaping the industrial landscape in the western region [19][21] - The conference is seen as a catalyst for transforming technological achievements into productive forces, contributing to the high-quality development of the digital economy in China [20][21]