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]

Market Overview - In the first half of 2025, the ABS market saw 1,090 new issuance projects with a total issuance scale of 974.9 billion yuan, representing a year-on-year increase of 27% from 766.5 billion yuan [1][8]. - The cumulative market size reached approximately 3,278.3 billion yuan, with credit ABS at 398.9 billion yuan, enterprise ABS at 2,062.7 billion yuan, ABN at 633.6 billion yuan, and public REITs at 183.1 billion yuan [6]. Credit ABS - A total of 102 new credit ABS projects were issued, amounting to 95.9 billion yuan, which is a decrease of 23% year-on-year [2][10]. - The largest issuance came from non-performing loans, with 80 projects totaling 36.2 billion yuan, followed by personal auto loans with 10 projects totaling 34.3 billion yuan [2][10]. Enterprise ABS - The enterprise ABS market saw 696 new issuances with a total amount of 604.4 billion yuan, marking a 36% increase year-on-year [3][11]. - The largest segment was financing lease receivables, with 138 projects totaling 147.8 billion yuan, followed by general small loan receivables with 105 projects totaling 92.8 billion yuan [3][11]. ABN - The ABN market had 281 new issuances, totaling 259.3 billion yuan, which is a 49% increase year-on-year [4][13]. - The largest issuance was in bank/internet consumer loans, with 101 projects totaling 89.9 billion yuan, followed by general small loans with 38 projects totaling 35.4 billion yuan [4][13]. Underwriting Rankings - In the first half of 2025, CITIC Securities led the underwriting rankings with 231 projects and a total underwriting amount of 105.18 billion yuan [17][18]. - Guotai Junan ranked second with 197 projects totaling 96.58 billion yuan, while Ping An Securities ranked third with 127 projects totaling 78.71 billion yuan [17][18]. Detailed Underwriting by Market Segment - In the credit ABS market, CITIC Securities topped the rankings with 48 projects totaling 14.4 billion yuan, followed by China Merchants Securities with the same number of projects but a total of 12.73 billion yuan [24][25]. - For enterprise ABS, Guotai Junan led with 136 projects totaling 79.47 billion yuan, followed by Ping An Securities with 108 projects totaling 74.68 billion yuan [27][28]. - In the ABN market, China Merchants Securities ranked first with 47 projects totaling 24.03 billion yuan, followed closely by Bank of China with 56 projects totaling 23.65 billion yuan [30][31]. Asset Class Rankings - The top three asset classes by issuance scale were financing lease, bank/internet consumer loans, and general small loans [34]. - In the financing lease ABS segment, Ping An Securities led with 30.67 billion yuan, followed by Guotai Junan with 24.04 billion yuan [34][35]. - For bank/internet consumer loans, China Merchants Securities ranked first with 24.96 billion yuan, followed by CICC and Huatai Securities [37][39]. - In the general small loan category, CITIC Securities led with 19.38 billion yuan, followed by Guotai Junan and Guolian Minsheng [40]. Issuer Rankings - In the credit ABS market, Zhejiang Merchants Bank led with 6.7 billion yuan, followed by BinYin Auto Finance and Industrial and Commercial Bank of China [43][44]. - For enterprise ABS, CITIC Trust topped the issuer rankings with 36 billion yuan, followed by Shenghe Factoring and Ping An Leasing [46][50]. - In the ABN market, Guotai Junan Trust led with 31.14 billion yuan, followed by JD Trade and other institutions [54][56]. Public REITs - The public REITs market relies on ABS as a channel, with Shenzhen Jiafeng Industrial Park Management leading the original rights holder rankings with 3.29 billion yuan [59][60]. - The plan management rankings were topped by Southern Capital Management with 3.29 billion yuan, followed by CICC and Huitianfu Capital Management [61][62].

Investment Rating - The report suggests a positive outlook on the real estate sector, particularly focusing on the potential of asset-backed securities and public REITs as investment opportunities [3][4]. Core Insights - The asset-backed securities (ABS) market in China has surpassed 3 trillion yuan, indicating its significance in the capital market. The growth in public REITs is expected to provide better exit channels for real estate companies, especially those with substantial real estate holdings [2][3][27]. - The report emphasizes the advantages of real estate as a suitable asset for securitization due to its inherent rental properties that generate stable cash flows and potential for appreciation [13][14]. Summary by Sections 1. Asset Securitization Overview - Asset securitization has evolved into a crucial financing tool in China's capital market, with a focus on transforming illiquid assets into liquid securities [13][14]. - The report categorizes standardized asset securitization products into credit ABS, corporate ABS, and asset-backed notes (ABN), highlighting the differences in regulatory oversight and asset types [25][26]. 2. Market Scale and Growth - As of May 2025, the total scale of asset securitization products in China reached 3.09 trillion yuan, accounting for 6.2% of the total bond market [27][29]. - The issuance of asset securitization products saw a significant increase in 2024, with 2,085 products issued, totaling 1.98 trillion yuan, marking a year-on-year growth of 6.7% [36][38]. 3. REITs Development - The report outlines the development of REITs in China, noting the transition from initial trials to a more structured and regular issuance process, with a total of 66 public REITs issued by May 2025, amounting to approximately 1744 billion yuan [19][21][22]. - The expansion of REITs into various sectors, including rental housing and commercial real estate, is highlighted as a significant opportunity for real estate companies to optimize their asset management and liquidity [3][19]. 4. Investment Recommendations - The report recommends focusing on companies with stable and mature asset portfolios in the long-term rental apartment and commercial real estate sectors, such as China Resources Land, China Overseas Development, and Longfor Group [3][4].

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]

Group 1: Product Expiration Overview - In 2024, a total of 260 credit ABS products will expire, with NPL and RMBS products accounting for 89 and 78 products respectively, together representing nearly two-thirds of all expiring products[4] - The top five initiating institutions for expiring products include China Construction Bank, Bank of China, Ping An Bank, China Merchants Bank, and Minsheng Bank, with a focus on RMBS and NPL products[5] Group 2: Product Duration Analysis - Among the 260 expiring products, 237 have had their subordinate securities redeemed, while 23 products, all NPLs, have not been redeemed[9] - RMBS products have an average duration of 5.47 years, with the longest at 9.10 years, while other products like Auto ABS and consumer loan ABS have durations mainly concentrated between 1-2 years[11] Group 3: Product Liquidation Methods - Out of the 260 products, 226 have been liquidated, leaving 34 products unliquidated, which includes 12 normal loan ABS and 22 NPL products[12] - The predominant liquidation methods are warehouse repurchase and original distribution, accounting for over 98% of liquidated products[12] Group 4: Subordinate Securities Placement and Yield Analysis - Of the 260 products, 127 had subordinate securities placed externally, representing nearly 50% of the total[14] - The average yield for subordinate securities in normal loan ABS is significantly lower, typically in the 6-7% range, while NPL products have an average yield of 24.65%[17]