1. Report Industry Investment Rating - No information provided in the given content 2. Core Viewpoints of the Report - In 2025, under the dual pressure of increased external environmental uncertainty and internal structural contradictions, small and micro - enterprises faced operational challenges. Despite continuous macro - policy support for inclusive small and micro - enterprise loans, the growth rate of such loans slowed down, and the issuance of small and micro - enterprise loan ABS products declined in terms of both the number of issues and scale. The cumulative default rate of these products rose at the end of the year, indicating pressure on asset quality. The credit performance of small and micro - enterprise credit assets and the future issuance of small and micro - enterprise loan ABS products in the credit asset securitization market remain uncertain [3][4][33] 3. Summary by Relevant Catalogs Policy - In 2025, in the face of a complex situation with deepening external environmental impacts and prominent domestic supply - demand contradictions, the macro - policy implemented a moderately loose monetary policy, maintained the intensity of support for inclusive small and micro - enterprise loans, and optimized the loan structure. Multiple departments issued a series of policies to support small and micro - enterprises, aiming to increase financing supply, reduce costs, and improve service quality. The new general tone of "ensuring quantity, improving quality, stabilizing prices, and optimizing structure" was established [4][5] - The scale of inclusive small and micro - enterprise loans continued to grow, with the balance increasing from 29.40 trillion yuan in 2023 to 36.57 trillion yuan in 2025, and the proportion in total loans rising from 12.37% to 13.45%. However, due to economic slowdown and policy transformation, the growth rate of loans decreased from 23.53% in 2023 to 11.05% in 2025 [6] - The central bank cut the reserve requirement ratio and the loan prime rate (LPR) in 2025, leading to a stable decline in the average interest rate of newly issued inclusive small and micro - enterprise loans. In June 2025, the average rate was 3.48%, a decrease of 0.66 percentage points compared to the previous year [9] Issuance - In 2025, 10 small and micro - enterprise loan ABS products were issued in the inter - bank market, with a total issuance scale of 58.645 billion yuan, a year - on - year decrease of 23.08% in the number of issues and 10.49% in scale. Meanwhile, 117 asset - backed notes (ABN) products with underlying micro - enterprise loans were issued, with a scale of 101.93 billion yuan, a year - on - year increase of 27.94% in the number of issues and 44.44% in scale [12] - The issuance of small and micro - enterprise loan ABS slowed down due to the loose market liquidity and the slowdown of banks' inclusive small and micro - enterprise loan growth, while the issuance of micro - enterprise loan ABN was more active because of the strong financing and cost - optimization needs of Internet banks and non - bank institutions [12] - In terms of issuing institutions, in 2025, there were 7 institutions issuing small and micro - enterprise loan ABS products. State - owned banks remained the dominant issuers, with 1 state - owned bank issuing 4 products worth 49.612 billion yuan, accounting for 84.60%. The concentration of issuing institutions has increased in recent years [14] Issuance Interest Rate - In 2025, the issuance interest rates of small and micro - enterprise loan ABS products generally showed a downward trend. The interest rate range of senior (AAAsf) securities was 1.58 - 1.96%, and that of sub - senior (AA + sf) securities was 1.91 - 2.19%, with a narrower range compared to 2024. The issuance cost of these products was at a historical low [17] - Compared with the 1 - year ChinaBond Medium - and Short - Term Note Yield, the spread range of AAAsf - rated securities of small and micro - enterprise loan ABS products was - 11 - 20 basis points, and that of AA + sf - rated securities was 21 - 30 basis points, with a narrower spread range compared to the previous year [17] - The issuance interest rates of small and micro - enterprise loan ABS products were generally lower than those of micro - enterprise loan ABN products because banks had an advantage in capital cost over Internet banks and non - bank financial institutions [17] Secondary Market - In 2025, the trading volume of small and micro - enterprise loan ABS products in the secondary market was 9.388 billion yuan, a 49.61% increase compared to 2024. The trading frequency was 43 times, with an average transaction amount of 218 million yuan. The turnover rate was 29.30%, slightly higher than the 2025 credit ABS market turnover rate, but the trading activity still needed to be improved [20] - The "Feichi Jianpu" series of products issued by China Construction Bank had a significant increase in trading activity, with the trading amount increasing by 165.27% compared to the previous year, accounting for 84.57% of the total secondary - market trading amount of small and micro - enterprise loan ABS products in that year [20] Asset Pool Characteristics - In 2025, the average single - household unpaid principal balance of the underlying assets of small and micro - enterprise loan ABS products increased. The proportion of underlying assets with mortgage guarantees was over 90%, and the average single - household unpaid principal balance was 1.7682 million yuan, higher than in 2024 [22] - The weighted average remaining term of the underlying assets decreased slightly to 12.20 months in 2025 from 12.96 months in 2024, remaining relatively short [23] - The weighted average interest rate of the underlying assets continued to decline and remained at a low level. The average interest rate of the asset pool of products issued by state - owned banks was 3.73%, that of joint - stock banks was 4.14%, and that of regional banks was 4.58% [23] Performance during the Continued Period Default Rate - By the end of 2025, the cumulative default rate of small and micro - enterprise loan ABS products showed an upward trend, ranging from 0.00% to 4.53%. The cumulative default rate of products issued by state - owned banks was between 0.00% and 3.43%, that of joint - stock banks was between 0.00% and 4.53%, and that of regional banks was between 0.00% and 4.50% [26] - For the 10 small and micro - enterprise loan ABS products issued in 2025, the cumulative default rate by the end of 2025 was between 0.00% and 1.67%. The cumulative default rate of products issued by state - owned banks was between 0.00% and 0.47%, that of joint - stock banks was between 0.00% and 1.67%, and that of regional banks was between 0.00% and 0.01% [29] Prepayment Rate - In recent years, the prepayment rate of small and micro - enterprise loan ABS products has been declining but remains at a high level. In 2025, except during the peak periods of small and micro - enterprise capital demand such as the Spring Festival and the end of the year, the annualized prepayment rate was generally above 50% [31] - There were significant differences in prepayment rates among products due to the small number of issued products. Among issuing institutions, the average prepayment rate of products issued by state - owned banks was the highest, while that of joint - stock banks was the lowest [31][32]

1. Report's Industry Investment Rating - The document does not mention the industry investment rating. 2. Core Viewpoints of the Report - In 2025, influenced by the significant increase in NPL product issuance, the number and scale of credit - asset - backed securities issuances rebounded. The secondary - market trading volume also rebounded, with NPL products and sub - grade securities becoming the main trading components. The spreads of normal - class products continued to decline, while those of NPL products showed differentiation. Retail asset delinquency rates fluctuated at high levels, and the real recovery of NPL products continued to decline [6][7][55]. - In 2026, the credit asset securitization market is expected to be dominated by NPL products. The issuance spreads of other product types are expected to remain low, and the trading proportion of NPL and sub - grade securities in the secondary market is expected to further increase. Retail asset performance is unlikely to improve significantly in the short term, and the actual recovery of NPL products will continue to face pressure. Attention should be paid to the impact of consumer credit and industry policies [6][55]. 3. Summary by Relevant Catalogs 3.1 Issuance - In 2025, a total of 238 credit - asset - backed securities were issued, with a total issuance scale of 291.522 billion yuan, representing a year - on - year increase of 23.96% in the number of issuances and 7.82% in scale. NPL products accounted for 74.79% of the issuance number and 28.15% of the scale, both reaching historical highs [6][7]. - Auto ABS: 32 issues were issued, with a total scale of 118.543 billion yuan, a year - on - year decrease of 8.58% in scale. Green Auto ABS accounted for 17.62% of the total Auto ABS issuance scale, a decrease of 8.67 percentage points compared to 2024 [10]. - NPL: 178 issues were issued, with a total scale of 82.057 billion yuan, a year - on - year increase of 36.92% in the number of issuances and 61.32% in scale, and a cumulative disposal of 519.086 billion yuan in non - performing assets [10]. - Micro - enterprise loan ABS: 10 issues were issued, with a total scale of 58.645 billion yuan, a year - on - year decrease of 23.08% in the number of issuances and 10.49% in scale [12]. - Personal consumption - loan ABS: 18 issues were issued, with a total scale of 32.277 billion yuan, a year - on - year increase of 5.88% in the number of issuances and 32.70% in scale [13]. 3.2 Issuance Interest Rate - In 2025, the issuance interest rate of normal - class asset credit ABS remained low, while the NPL product issuance interest rate deviated from the benchmark interest rate at the end of the year. The issuance interest rates of Auto ABS, personal consumption - loan ABS, and micro - enterprise loan ABS decreased in the first half of the year and then remained stable, while the NPL issuance interest rate increased significantly in the fourth quarter [17]. - The average spread of AAAsf - rated products and the benchmark interest rate was 56bp, and that of AA + sf - rated products was 48bp, a decrease of 2bp and 18bp respectively compared to 2024. The spreads of different types of products all declined to varying degrees, with NPL products still at a relatively high level [20]. 3.3 Secondary Market - By the end of 2025, the credit - asset - backed securities' outstanding scale decreased by 11.85% to 435.812 billion yuan. The trading volume increased by 4.38% to 130.514 billion yuan, the number of transactions increased by 27.90% to 2,388, and the turnover rate increased by 8.83 percentage points to 28.06% [23][25][26]. - NPL products were the main trading variety, with a trading volume of 53.206 billion yuan, accounting for 40.77% of the total trading volume. Auto ABS trading volume was 48.574 billion yuan, accounting for 37.22% of the total trading volume [28]. 3.4 Credit Performance - Auto ABS: The cumulative default rate of recently issued products increased significantly, the delinquency rate increased, and the prepayment rate showed a slow upward trend, with the fluctuation center between 8% - 10% [31][33][35]. - Personal consumption - loan ABS: The performance was significantly differentiated, the delinquency rate fluctuated, and the prepayment rate continued to rise [38][40][43]. - RMBS: The cumulative default rate remained low, the delinquency rate first increased and then decreased, and the prepayment rate fluctuated to a high level and then returned to stability [45][47][49]. - NPL: The real recovery situation declined year by year, and 11 issues of priority - class asset - backed securities failed to be fully redeemed by the expected maturity date [52].

Policy and Economic Context - In 2024, China's economy is stabilizing amid weak global growth and insufficient domestic demand, prompting the central bank to enhance monetary policy support for small and micro enterprises[6] - The People's Bank of China reduced the reserve requirement ratio by 1 percentage point, releasing approximately 2 trillion yuan in long-term funds[12] Microenterprise Loan ABS Market Performance - In 2024, 13 microenterprise loan ABS products were issued, totaling 65.52 billion yuan, a decrease of 12.61% compared to 2023[17] - The issuance rate for microenterprise loan ABS products showed a downward trend, with AAAsf securities ranging from 1.90% to 2.47%[22] Asset Performance and Trends - The cumulative default rate for microenterprise loan ABS products increased, with rates ranging from 0.00% to 4.50% by the end of 2024[37] - The overdue rate exhibited a V-shaped trend, initially rising before declining and then increasing again towards the end of the year[35] Market Activity and Structure - The secondary market transaction volume for microenterprise loan ABS products was 6.27 billion yuan, a decrease of 27.71% from 2023, with a turnover rate of 14.05%[25] - Most products issued in 2024 featured layered structures, with a focus on reducing early repayment risks through handover amortization methods[34] Loan Characteristics - The average outstanding principal balance for microenterprise loans decreased to 1.5032 million yuan in 2024, down from 1.7063 million yuan in 2023[30] - The weighted average remaining term of the underlying assets increased to 12.97 months, compared to 11.40 months in 2023[29]