Taiwan's Life Insurance FX Proxy Hedge

個人目前服務於國內上市金融控股公司，有感於匯率波動對多數公司的財務報表損益有著深遠的影響，故興起一股想進一步了解匯率避險的方法，及是否有其他更合適的辦法來降低避險成本。 全球匯市近期動盪加劇，讓壽險公司國外投資避險操作難度升高，過去常用的「一籃子貨幣避險」，今年失靈並嚴重衝擊壽險業第一季獲利。因傳統避險方法會影響國外投資獲利，因此多數壽險公司長期採用一籃子貨幣避險，即同時持有各種外幣，透過外幣間的自然升貶值來抵銷匯兌風險。但近期國際匯率波動加大，2月英鎊、歐元貶幅都比新台幣還兇，讓一籃子貨幣避險嚴重失靈。 本研究主要是想探討當利差縮窄到一定程度後，要利用替代避險工具會有其困難度，特別是傳統CS避險成本也大幅下降狀況。但因壽險資金若一開始匯出時，未使用傳統CS避險方式，日後要再增加CS避險部位，則央行並不會同意。故實際上雖然2009年以後，使用替代避險並不容易達到避險目的，但還是有部分壽險公司持續使用，原因為無法以CS或NDF來取代。同時CS期間短、成本不低，必須實際支付成本，該點亦是壽險公司考量主因。 故在從事海外投資時，如何規避匯率風險便成了海外投資的最重要課題了。I was currently serving the domestic market of financial holding companies, and realized the exchange rate fluctuations on the financial statements of most companies have a profound impact on the profit and loss. Because the rise of an exchange rate hedge, I like to know if there are other more appropriate ways to reduce hedging costs. Increased volatility in global currency markets recently, so that life insurance companies to hedge foreign investment in the difficulty, in the past used the basket hedge caused a serious impact on the first quarter earnings of life insurance . For traditional hedging methods will affect the profitability of foreign investment, so most life insurance companies to hedge long-term use of a basket of currencies, which also holds a variety of foreign currency through currency depreciation between the natural rise to offset the exchange risk. But the recent increase of international exchange rate fluctuations, especially Pound and Euro depreciated than NTD also fierce, so that a serious failure of a basket hedging. This study is to investigate when the spread narrowed to a certain extent, to the use of alternative hedging tool has its difficulty, especially in the traditional hedging costs also declined substantially CS condition. But if the beginning of the life insurance funds remitted when the CS is not the traditional way of hedging, increased again in future CS hedge position, the central bank will not agree. Although it is in fact after 2009, the use of alternative hedging is not easy to achieve hedging purposes, but still some life insurance companies continue to use, because CS or NDF can not be replaced. During the same time, the short term CS, the cost is not low and you must actually pay the cost, the point is also the main reason for life insurance companies to consider. Therefore, when engaged in overseas investment, how to avoid exchange rate risk has become the most important issue of overseas investment