保险资金参与衍生品市场的境外经验及启示

The International Experience and Enlightenment of Insurance Funds’ Participation in the Derivatives Markets

无论坚持审慎原则的监管制度安排,抑或自由主义的监管价值取向,境外市场对保险资金从事衍生品交易的禁限性设置较少,其保险公司参与衍生品交易经验成熟,期货、期权等场内衍生品在保险资产管理中发挥了重要作用。借鉴成熟市场的制度经验和实践做法,有必要将保险资金的投资目的从严格的套期保值拓宽至替代交易、收益增强交易等风险管理活动;进一步丰富保险资金可投资的衍生品范围,尤其是国债期货等场内衍生品,以弥补债券为主的保险资产结构与利率风险管理工具缺乏的不匹配问题;在制定衍生品投资限额时可参考不同类型衍生品的风险价值衡量方式,进一步完善限额管理,以促进我国保险资金参与衍生品交易的市场化水平。

No matter the regulatory system arrangement adhering to the principle of prudence or the regulatory value orientation of liberalism,there are few prohibitions for insurance funds to engage in derivatives trading in overseas markets,and their insurance companies have mature experience in derivatives trading.Futures,options and other on-the-spot derivatives play an important role in insurance asset management.It is necessary to improve the regulation on the insurer’s derivatives use in China as follows:(a)extending the permissible derivatives transactions to replication transactions and income generation transactions.(b)introducing more derivative instruments,especially the treasury bond futures listed in exchange to manage the mismatch between the bond dominating asset and the lack of interest rate derivative instrument.(c)the limits on the insurer’s derivatives use shall be in way of risk exposure rather than the notional value.