1、THE INTERACTION OF REGULATION & INSURANCE INVESTMENT STRATEGY监管与保险投资战略的关系,1,Peking University School of Economics November 21, 2014,Michael J. Morrissey, CFA President & CEO International Insurance Society 国际保险协会总裁&CEO,International Insurance Society国际保险协会,2,Oldest and Largest Industry Association 最
2、悠久和最大的行业协会Members from 95 Countries 会员来自95个国家Executives, Regulators & Scholars 高管、监管者和学者Open Forum for Discussion 自由讨论的论坛Insurance Hall of Fame 保险名人堂IIS Annual Seminar 年会,Global Growth is subdued 全球增长放缓,Source: Growth estimation for 2013, IMF World Economic Outlook | As of: April 2013,3,全球,发达市场,新兴市场
3、,Conventional: Rates main Central Banks常规：主要央行调节利率,Unconventional: Balance sheet expansion非常规：资产负债表扩张,Central banks 中央银行 Aggressive monetary policy 积极的货币政策,4,G4 central bank rates, in %,Monetary base in % of nominal GDP,Source: Bloomberg, As of: April 2013,Source: BoJ, BoE, Fed, ECB, own calculation
4、s, As of: April 2013Forecasts are based on assumptions, estimates, opinions and hypothetical models or analysis which may prove to be incorrect.,CB involvement supports financial markets央行出手支持金融市场,Global government yields near historic lows全球政府收益接近历史低点,leading to asset price appreciation导致资产价格升值,5,M
5、arket moves since BoJ, in %,Source: Bloomberg, As of: February 28, 2013,Source: JP Morgan, As of: May 2013,10-year government yields,Investment yield trends are worrying投资收益趋势令人担忧,6,Data Source: AM Best 2012 for US & UK composites, Euro Life from: Bank of America - Insurance Pan-Euro (2011 & 2012 ar
6、e estimated)Investment Yield: Measures the average return on a companys invested assets by dividing the companys annual net investment income by the mean of cash and net invested assets. This return measure is before capital gains/losses and before income taxes. Barclays Global Aggregate Index YTW a
7、s of 5/28/2013.,Investment income is dropping quickly投资收入快速下滑,7,This information is a forecast and due to a variety of uncertainties, and assumptions made in our analysis, actual events or results or the actual performance of the markets covered may differ from those presented.,Estimated,Assumptions
8、: US P&C and Life Industry statistics (AM Best 2012) used to proxy a typical insurance investment portfolio, investment income, and accounting income levels. Market yield of 1.83% (Barclays Global Aggregate YTW 5/28/2013) used to estimate current market yields. Decline from 2012 to 3-5yr Estimate as
9、sumes implied book yield s fall to current market yields,Annual investment income (millions), 5 billion portfolio,How do investors obtain yield and return going forward?投资者今后如何获取收益和回报？,8,There are five ways of increasing yield in a fixed income portfolio:提高固定收入投资的收益的5种方式Duration. Increasingly a conc
10、ern the longer interest rates stay low久期。关于利率长期走低的担心加大Leverage. If available, fewer investors can utilize it标杆率。如果有，使用的投资者将减少Volatility. Convexity is working against you 波动性。凸性的不利Liquidity. Should be a part of the portfolio 流动性。应包含在投资组合中Credit. Still provides compelling relative value 信贷。仍具有相对价值Cert
11、ain non-fixed income classes also add to yield:某些非固定收入资产也会增加收益：Real estate and infrastructure 房地产和基础设施Dividend-focused equities 分红证券Other non-fixed income classes add to return, but not yield:其它非固定收入资产增加回报，但不是收益率Private equity, commodities, hedge funds 私募、大宗商品、对冲基金,Where to find attractive returns t
12、oday?现在如何寻找有吸引力的回报？,9,Emerging Market Corporates新兴市场公司债券,Growing market segment 不断增长的市场Offering yield and diversification 收益和多样性,Structured Finance / CLO 结构性融资/贷款抵押债券,Improving fundamentals 改善基本面Rising market activity 市场活动活跃,Infrastructure debt/RE Mezzanine debt基础设施债券/夹层债券,Opportunity for liability
13、driven investors 负债驱动投资者的机会Return premium driven by illiquidity and scarcity 回报溢额由非流动性和稀缺性驱动,Convertibles可转换债券,Equity participation at lower capital charges 以较低的资金成本参与股权投资Market normalization offers opportunities 市场常规化的机会,Equities股票,Low correlation to bonds enables diversification 多样性Comparably unde
14、rvalued 价值相对低估,Emerging Market Sovereigns新兴市场主权债券,Lower indebtedness and higher economic growth support 负债较低，经济增长支持更高,For illustrative purposes only. Past performance does not guarantee future results.This information is a forecast and due to a variety of uncertainties, and assumptions made in our a
15、nalysis, actual events or results or the actual performance of the markets covered may differ from those presented.,Government debt carries zero spread risk 政府债券零利差风险Other debt instruments carry capital charges which increase as credit quality reduces and duration increases 其它债务工具随着信贷质量下降和久期增加而提高对资金
16、成本Private debt (e.g. bank loans, infrastructure debt and real estate debt) all suffer from not normally being rated thereby typically picking up a larger capital charge 私营债务（银行贷款、基础设施债券和房地产债券）由于不是常规定价，因此资金成本较高Equities have the highest capital charges, especially “Other Equity” 股票资金要求最高，尤其是“其它股票”类Mor
17、tgage loans for residential property with low loan to value ratios can be constructed to give an almost zero capital charge 住宅房产的贷款价值比较低，可视为基本上零资金要求Anything structured is treated very harshly by the standard model 标准模型对结构型资产要求严格,Regulations are pushing insurers away from the optimal economic use of
18、capital监管使保险公司偏离了对资金的最优化使用,10,QIS 5Asset Class资产类别Spread利差 Risk Capital (per yr/dur)Charge 风险资本Corporate Bonds AAA0.90 1.80 AA1.10 2.20 A1.40 2.80 BBB2.50 5.00 BB4.50 9.00 B or lower7.5015.00 Unrated3.00 6.00Senior Financials (AA)1.10 2.20Covered Bonds (AAA)0.60 1.20Government Bonds0.00 0.00Global E
19、quities30.00Property25.00Capital charge based on a duration of 2 years and ignoring interest rate risk in respect of asset and liability mismatches for bonds. Global equities are shown after cyclical adjustment.资金要求计算是基于2年久期，并忽略由于资产、负债对债券的不匹配而引起的利率风险。全球股票进行了周期调整。,Source: , CEIOPS, LBBW Credit Resear
20、ch,For illustrative purposes only. This information is a forecast and due to a variety of uncertainties, and assumptions made in our analysis, actual events or results or the actual performance of the markets covered may differ from those presented. Past performance is guarantee of future results.,Thank You,11,
