以 FX Swap 進行外匯避險分析

Abstract

本研究旨在探討台灣與日本壽險業因海外投資而產生的外匯曝險部位，採用 FX Swap Rollover 避險的效果，並分析以 FX Swap Rollover 避險後的投資標的選 擇。同時進一步分析以 3m FX Swap 預期接下來一年 Rollover 的避險成本是否是 一個可行的方式。研究結果顯示，若採用 3m FX Swap Rollover 進行完全避險，則 高昂的避險成本會使得國外標的原本高於國內標的的收益率，在扣除避險成本後 反而低於直接投資於國內標的。因此適當地降低避險比例，並透過外匯價格變動 準備金的提存與沖抵，是目前台灣壽險業使用的方法。除此之外，本研究也顯示， 以 3m FX Swap 預期接下來一年 Rollover 的避險成本，並依據此作出投資標的選 擇的決策，大致上會與假設 perfect foresight 時(完全預知接下來一年實際避險成 本)，得出一致結論。因此壽險業在預期避險成本時，可以使用此計算簡便方法進 行估計並依此做出初步決策。

This article studies the effectiveness and efficiency of using FX Swap Rollover to hedge FX exposure, which arise from Taiwanese and Japanese Lifers making foreign in- vestments. Next, the article continues to study , whether Lifers can form a reasonable expectation of 1y hedging cost using 3m FX Swap at the moment. Results showed that, using 3m FX Swap Rollover hedging with 100% hedging ratio will incur high hedging costs that will thus make investing in foreign assets less attractive than directly investing in local assets. Therefore, lower the hedging ratio following the Foreign Exchange Val- uation Reserves Policy is the current method that has been adopted by Taiwanese Lifers. Besides, this study showed , using 3m FX Swap to form an expectation of 1y hedging cost and have investment decisions made based on it, will be consistent as if the decision is made with perfect foresight of future swap points. Therefore, lifers can apply this easily calculated method to come up with a preliminary decision.