China: An Overview Of China's Catastrophe Bond (In Chinese)

Last Updated: 29 March 2016
Article by Carrie Yang

背景

2014年8月10日,国务院下发《关于加快发展现代保险服务业的若干意见》,明确提出要建立中国巨灾保险制度,促进巨灾保险市场发展,包括通过商业保险平台建立多层次巨灾风险分散机制、探索对台风、地震、滑坡、泥石流、洪水、森林火灾等灾害的有效保障模式等。作为分散巨灾风险的有效手段,保险连接证券(ILS)在中国有待于进一步发展。在保险连接证券市场上,巨灾风险通常通过巨灾债券和其他证券化工具转移给投资人。

2015年6月,中再集团子公司——中国财产再保险股份有限公司发起巨灾债券("中再巨灾债券")的发行工作,为中国公司使用巨灾债券转移巨灾风险首开先河。中再巨灾债券是由中再在百慕大设立的特殊目的再保险机构Panda Re发行,募集金额为5000万美元,在百慕大证券交易所挂牌交易。该债券所募金额为中再承保的国内地震风险的某层风险提供保障。中再将有关地震风险部分分保给Panda Re,由Panda Re以债券融资为这部分风险提供抵押保障。

什么是巨灾债券

巨灾债券是保险连接证券市场的重要一员。保险人和再保险人承保的巨灾风险,可以通过特殊目的再保险机构(例如Panda Re)发行巨灾债券来转移给资本市场投资人。特殊目的再保险机构为发起巨灾债券的保险人和再保险人提供再保险保障,并以债券融资为再保险风险提供抵押保障。因此,发起债券的保险人和再保险人不仅享有担保权益,还面临较低的交易对手信用风险。有了这种保障,发起人可以释放承保能力去承保新的业务。

巨灾债券由于票面利率较高而受到投资人(通常为机构投资人)欢迎。由于巨灾债券与其他金融市场波动没有关联,其亦为投资人投资组合中风险分散的有效工具。

巨灾债券如何运作

如上所述,巨灾债券的融资将存入担保账户中,为发起人提供保障。债券的利息和其他收益作为票息支付给投资人,但本金仅在债券到期时支付。巨灾债券的票息和/或本金是否支付,取决于巨灾事件是否导致约定金额或标准之上的损失。换言之,在按照预定机制触发巨灾债券赔付后,投资人可能损失部分或全部投资。

巨灾债券的触发机制分为多种方式,包括:

  • 赔偿触发

    赔偿触发是以发起人的实际损失为基础的触发方式。发起人倾向于采用这种触发方式以减小基差(即发起人的实际损失与债券的赔付之差额)。中再巨灾债券即采用该种触发方式。
  • 行业指数触发

    行业指数触发是以行业损失为基础的触发方式,其将在行业损失达到指定标准时触发赔偿。
  • 参数触发

    参数触发是以巨灾事件的物理参数为基础的触发方式,例如地震震级和/或位置,飓风位置和/或风速等。参数触发方式可以与天气或灾害情况的其他指数公式或指定量度合并使用,成为"参数指数触发"方式。
  • 模型损失触发

    模型损失触发方式将物理参数导入预设事前模型中,以确定巨灾事件的损失。
  • 混合触发

    混合触发是指在单一巨灾债券中采用多种触发方式。

巨灾债券亦可设计为每次事故或累计损失时触发赔付,即在约定的期限内为单一损失或多个损失提供保障。

典型结构

典型的巨灾债券结构包括发起保险人或再保险人、特殊目的再保险机构和担保账户。

发起人在再保险安排项下将风险分给特殊目的再保险机构,并向其支付保费,由特殊目的再保险机构为分入风险提供再保险保障。债券发行的融资(即投资人的本金)存入担保账户,通过担保账户对该融资进行投资并获得收益。担保账户的投资可通过掉期减小风险。

投资人通过担保账户收益和再保险保费按约定期限获得票息。若巨灾债券在特定期限内未根据再保险安排触发赔付,则投资人的本金不受损失并在到期时返还给投资人;若在特定期限内发生事故触发赔付,则特殊目的再保险机构将清算担保账户中的相应金额,并向发起人支付摊回赔款,而投资人可能损失部分或全部本金。在这种结构下,特殊目的再保险机构作为再保险人,为发行人提供再保险和抵押保障。

结语

随着中国保险市场的发展,中国本地保险风险将最终与国际资本市场关联,而巨灾保险和再保险市场自然成为与资本市场关联的先行者。作为成熟的、有价值的风险转移工具,巨灾债券在中国市场尚待大展宏图。我们预计,巨灾债券将在中国巨灾保险制度建设过程中扮演愈发重要的角色。同时,万众期待的中国保险交易所亦可能着力发展包括巨灾债券之内的中国保险连接证券。

An Overview Of China's Catastrophe Bond (In Chinese)

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