外匯價格變動準備金新制對壽險業外匯避險策略影響分析

Abstract

本文旨在探討台灣壽險業獨有之外匯價格變動準備金 (下稱外匯準備金) 制度自 2012 年 3 月 1 日啟用以來歷經多次修正及改制之沿革，內容涵蓋修正當時之時空背景及對壽險業造成之影響。其中金管會於 2024 年 9 月 6 日正式啟用之外匯準備金新制與過往修正不同 ，提供壽險業者新舊制之選擇彈性， 截至 2024 年 10 月 15 日僅兩家壽險公司申請採用新制1 。本文透過歷史資料試算新舊制外匯準備金使用狀況 ，進一步比較兩者對壽險業整體外匯準備金功能、 外匯損益波動性、避險策略的影響，包含升貶值、升降息等情境下之使用情形，及不同避險比例於制度間對外匯準備金功能之差異，致力於提供壽險業者及其利害關係人更深入瞭解新舊制差異之研究。研究結果顯示 ，新制在平滑外匯損益及提升準備金水位方面具顯著優勢， 惟其在新台幣相對美元有明顯升值趨勢下， 外匯準備金耗盡風險提高。 同時，降低避險比例確實降低外匯準備金對外匯損益之平穩效果。因此，本文建議壽險業者應將新制視為提供避險策略更大彈性之政策選項，而非一替代避險工具而妄將避險比例降低，以更穩健活用外匯準備金管理外匯風險。

This study aims to analyze the evolution of Foreign Exchange Valuation Reserves (hereinafter referred to as "FX Reserves") system implemented by Life Insurance companies (hereinafter referred to as "Lifers") in Taiwan, which has undergone multiple revisions and restructuring since its implementation on March 1st, 2012. The discussion includes the contextual background of each revision and the resulting impact on the Life Insurance industry. Notably, the Financial Supervisory Commission (FSC) introduced a new FX Reserves framework on September 6th, 2024, differing from prior revisions by granting Lifers the flexibility to opt into the new system. As of October 15th, 2024, only two Lifers have applied to adopt the new framework. Accordingly, this article employs historical data to simulate the usage of both frameworks to compare the impact of the new FX Reserves framework with the prior on Lifers’ hedging strategies. It evaluates the FX Reserves’ functionality, FX gain/loss volatility, and hedging strategies under scenarios such as currency appreciation, depreciation, and Fed policy rate decisions. The results reveal that the new framework offers significant advantages in stabilizing FX gains/losses and enhancing reserves. However, the risk of reserve depletion under significant TWD appreciation arises. Lower hedging ratios further reduce the reserve’s stabilizing effectiveness. This paper suggests that Lifers should see the new system as an option that offers greater flexibility in hedging strategies, rather than a substitute of hedging facility, to better manage foreign exchange risk. The long-term accumulations from flexible hedging strategies can be transformed into capital buffer for Lifers.