美國壽險業衍生性金融商品使用之研究

本研究以2000年至2017年間美國保險監理官協會(NAIC)的壽險公司資料為研究樣本，探討美國壽險公司衍生性金融商品之使用情況、主要類型與交易目的，並觀察國際金融局勢變化和監理法規變動，對於各年度美國壽險業衍生性金融商品使用情形的影響。首先將美國壽險業使用衍生性金融商品的公司與總體暴險趨勢變化的作初步整理，再按使用情況細項整理之資料分別就避險與否、避險的有效性、交換契約、選擇權契約、信用違約交換、交易對手暴險及公佈的擔保品的整體結果進行分析。研究結果發現美國壽險業每年使用衍生性金融商品的比例有逐年增加的趨勢。交換契約與選擇權契約是美國壽險業最常見的避險工具。使用衍生性金融商品以避險為目的約占美國壽險業所有衍生性金融商品交易的九成。由於嚴格認列標準以及所需文件繁雜的原因，美國壽險業約九成交易目的為避險的衍生性金融商品無法被認列為有效的避險項目。交換契約類型中信用違約交換契約是唯一使用目的為複製的衍生性金融商品，其他使用目的都為避險。選擇權契約的主要目的通常是為了避險，名目本金平均占比美國壽險業當年度使用選擇權契約總名目本金的90%以上，且主要類型為賣權、買權、利率上限三種，其他如利率下限、利率上下限以及其他三種選擇權契約的占比較低且期間並無顯著變化與影響。信用違約交換契約為出售保護所占比例高於購買保護的比例。越來越多的衍生性金融商品契約選擇在有集中交易對手結算制度的交易所進行交易，集中交易對手結算制度使常見的衍生性金融商品契約交易對手不再僅是少數大型金融機構。美國壽險業最常見的擔保品類型為美國國庫債券和代理債券。本文可供監理機關與壽險公司擬訂監理或使用衍生性金融商品策略之參考。

關鍵字

美國壽險公司；衍生性金融商品；避險；交換契約；選擇權契約；信用違約交換；交易對手暴險；擔保品

並列摘要

The sample of this study is National Association of Insurance Commissioners (NAIC) U.S. life insurers data from 2007 to 2017.It mainly investigated the use of derivative by U.S. life insurers, the main types and trading purposes, and the impact of changes in the financial crisis and regulatory regulations on the use of derivative in the U.S. life insurers in each year. Firstly, analyzing the changes in the use of derivatives and overall risk trends in the U.S. life insurers. Then, analyze the hedging or not, the hedge effectiveness, the Swaps, the Options, the CDS, the counterparty exposure and the posted collateral according to the details of the usage data. Results show that the proportion of the U.S. life insurance industry using derivative has increased year by year. Swaps and Options are the most common hedging instrument in the U.S. life insurers. The use of derivative for the purpose of hedging accounted for 90% of all transactions in the U.S. life insurers. Given strict criteria and the extensive documentation required, many hedges are not deemed effective for accounting purposes in the U.S. life insurers. The CDS is the only derivative whose purpose is to replication, and the other purpose of use is to hedge. The main purpose of the Options is usually to hedge, and the nominal principal accounted for more than 90% of the total principal of the US life insurers in the current year, and the main types were Put Options, Call Options and Caps. Such as the Floors, Collars and Other contracts are only a small part, and there have been no major changes and impacts during this period. The proportion of CDS for selling protection is higher than the proportion of bought protection. More derivative contracts use the centralized counterparty to transactions. In 2013, the ranking of the top 10 counterparties was changed, and the transaction gradually became dominated by centralized counterparties. The most common types of collateral in the U.S. life insurers are U.S. Treasury bonds and agency bonds.This study is available for reference by supervisor and life insurance companies in formulating regulation or trading strategies of derivative.