20240529-国盛证券-固定收益专题_被动的配债压力——从资产负债看保险配债空间_12页_445kb

This report analyzes the bond allocation pressure in the insurance industry, focusing on the imbalance between asset and liability sides. The insurance sector has experienced significant growth in premium income and asset utilization. In 2023, total premium income reached 51.2 trillion yuan, a 913% increase year-over-year. By the end of 2023, total insurance assets stood at 27.67 trillion yuan, with bonds accounting for 45.41% of the portfolio. However, declining interest rates have pressured investment returns. The 10-year Treasury yield dropped from 2.9% at the beginning of 2023 to near 2.3%. Meanwhile, net investment yields for listed insurance companies fell in 2023, with most companies experiencing reduced profits due to mismatches between liability costs and asset returns.

A key factor is the high guaranteed interest rates on traditional life insurance products, which remain elevated despite recent regulatory cuts. For example, traditional life insurance product interest rates were reduced to 3% in 2023, but legacy products continue to weigh on profitability. In the liability side, traditional life insurance still dominates product structures (e.g., over 70% for New China Insurance), leading to higher costs for long-term policies. This combined with lower asset returns creates a 利差损 risk. Moreover, intense industry competition exacerbates the issue, as fee differences also impact profitability.

To address this, insurers are adjusting asset allocation, increasing bond investments, especially long-term bonds, and implementing "报行合一" policies. Regulators have also lowered interest rate ceilings and tightened settlement rate controls. While bond allocation holds potential, the challenge lies in aligning this strategy with declining interest rates and high liability costs. The report suggests that reducing liability costs through regulatory guidance and shifting product structures—e.g., increasing dividend and universal insurance—is crucial. If costs do not decrease quickly enough, the gap between liabilities and asset returns will widen, forcing companies to rely more on passive asset allocation. The study also highlights the importance of long-term strategies to mitigate 利差损, emphasizing the need to balance asset returns with rising liability demands.

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