社会保险基金到期债务与免疫投资策略

Matured Debt of Social Insurance Fund and the immunization Strategy

当社会保险基金投资到固定回报债券的时候,由于债券的到期日和社会保险基金到期债务日不一致,社会保险基金有可能需要在债券到期日之前将债券折现。如果在购入债券很短时间内债券的到期回报率发生了变化,债券折现时就要使用新的回报率计算折现价格,社会保险基金折现收入可能无法满足原定的到期债务支付,由此产生了债务融资风险,这种风险就被称为"回报率风险"。通过数值模拟分析发现,虽然实际的到期回报率和原定的到期回报率存在差距,但是在某个合适的时点上折现是可以保证原来的投资效果的。这个合适的折现时点使得社会保险基金的折现回报不会受到实际到期回报率变动而带来的支付风险的影响,所以称这个折现时点为"免疫折现时点"。

When the social insurance fund invests to fixed repay bonds, since the due date of bond is different from the due date of social insurance fun, social insurance fund may be discounted. If the due repay rate change in a short time, we have to use a new rate of return to discount and the discounted income may not meet with the original matured debt payment and the debt financing risk occurred. This risk is called ＂risk of return＂ . Through a numerical value simulation analysis, we can find that the practical due return is different from the original due return, however, we can insure the original investment effectiveness if we discount at a proper time. This proper time avoids the discounted return of social insurance funds impacted by the change of practical due return, so it is called ＂the time of immunization discount＂ .