Zhongtai Securities: How to cope with the achievement of asset liability management targets for the new year life insurance

The Zhitong Finance App learned that Zhongtai Securities released a research report saying that in the current low interest rate environment, asset liability management is a common issue between the industry and regulation, and that achieving term structure matching, cost benefit matching, and liquidity matching is the foundation for the long-term healthy development of the industry. On the one hand, personal insurance companies' regulatory indicators guide interest rate risk hedging rates within [0.5,1.5], forcing insurers to prolong the term of fixed income assets and increase interest rate bonds. However, on the other hand, in an environment where interest rates continue to be low, insurers' debt costs are relatively rigid, and concerns about preventing potential interest spreads and losses cannot be ignored. What can be seen objectively is that after the series of policies are implemented in depth, the industry's overall ability to match assets and liabilities has been enhanced, and the sector's valuation base is expected to receive strong support. The financial rebalance is expected to continue, and the September sector is expected to continue its relative and absolute earnings contributions in July.

Incident: In August 2026, the final draft of the “Measures for the Management of Insurance Companies' Assets and Liabilities” was officially released, and an “Implementation Notice” was issued along with allowing a three-year transition period.

The main views of Zhongtai Securities are as follows:

In an environment where interest rates continue to be low, regulations place higher demands on asset liability linkage

The draft for solicitation of comments was released in December 2025, and the final draft of the “Measures for the Management of Assets and Liabilities of Insurance Companies” was released on August 21, 2026. Compared with the draft for comments, the changes mainly focus on: 1) improving the responsibilities of the board of directors, senior management, and asset liability management departments; 2) optimizing asset liability management policies and procedure requirements; 3) improving the calculation caliber of some regulatory indicators.

Impact analysis on personal insurance companies

The effective long-term index has been downgraded, and the long-term gap is no longer mandatory to meet the standard. The core indicator “interest rate risk hedging ratio” has been added. The calculation formula is inherently consistent with the effective term gap, but reduces the minimum asset inflow requirement for high debt periods. <10时，资负新规的利率风险对冲率要求的A更大，而当B>When the debt cash outflow (parameter B) is equal to 10, the effective long-term gap is consistent with the interest rate risk hedging rate's constraint on the scale-adjusted cash inflow (parameter A), while at B10, the interest rate risk hedging ratio requirement of the new capital regulations is lower. Judging from the estimates of listed insurers, China Life Insurance, Ping An, Taibao, and Xinhua have basically met the standards for comprehensive investment income coverage and net investment income coverage in the past three years. Ping An Life's advantages are relatively obvious. Taibao's volatility is relatively small, and China Life Insurance and Xinhua indicators are relatively volatile. It is worth noting that regulation guides the industry's debt costs downward, which will better highlight the brand and economies of scale of leading listed insurers, and leading companies will benefit more indirectly.

Impact analysis on property insurance companies

Strengthen the deposit capital coverage index requirements, and continuous underwriting profits can basically meet the standards. Compared with scoring methods for other indicator segments, financial insurance companies score full or zero points for all regulatory indicators, which reflects the strict requirements for meeting the above regulatory indicators. The income coverage of People's Insurance Insurance, Ping An Financial Insurance, and Taibao Financial Insurance for the past three years all met the requirements. Objectively speaking, since financial insurance companies under listed insurers generally achieve underwriting profits, the income from insurance services is higher than the cost of insurance services, so after adding comprehensive investment income, the revenue coverage rate is generally higher than 100%. Judging from the trend, thanks to the deepening implementation of the “integration of reporting and banking” in the industry, the revenue coverage of financial insurance companies has been rising steadily. The bank believes that in the context of ensuring continuous profits, it is not very difficult to meet the cost and benefit matching requirements of financial insurance companies.

Analysis of the impact of the implementation of the new regulations on the balance and liabilities of the industry

1) Increase long-term interest rate bonds, extend the long-term term of fixed income assets, reduce the long-term gap, and increase the allocation of highly secure and highly liquid assets. 2) Moderately increase equity assets to cope with the pressure of income gaps. Currently, the life insurance industry as a whole shows that NII interest spreads (net return on investment and cost of debt) continue to narrow but remain profitable. TII spreads (total return on investment and cost of debt) depend on trading price spreads to fluctuate in the market. Interest spreads are insufficient to cover stocks. In an environment where interest rates continue to be low, the enthusiasm for allocating insurance capital is increasing. 3) There is no time to delay the importance of reducing the cost of guaranteed debt. According to the bank's estimates, the industry's guaranteed debt costs, flat asset guarantee costs (considering equity factors), and net return on investment were 2.75%, 2.50%, and 3.07% respectively at the end of 2026. Interest spreads still have a certain safety cushion, but the net return on investment has declined relatively much in recent years. In June 2026, the cost of rigid debt for the new business and the cost of new fixed income debt were 1.79% and 1.86%, respectively. There is still a certain safety cushion, but the margin gradually narrows. 4) There is a big difference in the impact of account allocation under the new asset liability regulations. The debt cost of traditional insurance is more rigid, the pressure to match assets and liabilities is greater, and dividend insurance increases the risk appetite for asset allocation to a certain extent.

Risk warning: sharp decline in interest rates and large fluctuations in the equity market, risk of debt-side restructuring, risk of untimely research, estimation, and updates.