還債模式之設計與解析

Abstract

@ 現金流量配合策略(cash flows matching strategy)的目的乃期能在 多變的利率環境中，建構一較低成本與風險的債券投資組合，達到適時償 還債務的任務。故此種債券投資組合管理方式有助用保險公司、退休基金 、商業銀行及儲貸機構等機構投資人。 @ 本研究藉由國內外有關現金 流量配合策略的文獻探討，重新設計以現金流量配合概念為基礎的還債模 式，特別是資金再投資(reinvest)與借貸 (borrowing)觀念的導入。其次 假設三種債務排程型態，即遞減(decreas- ing)、水平(flat)、遞增( increasing)之債務排程來做實證模擬分析。實實模擬分析結果如下：一 ．在建構投資組合成本方面，當放鬆模式之約束即導入再投資與借貸時 @ ，我們發現建構投資組合的成本明顯降低。二．在現金流量配合策略 的風險考量方面，當放鬆模式之約束即導入再投 @ 資與借貸時，我們 發現各期現金流量過剩或短缺的風險降低。 @ 將再投資的概念引進還 債模式，雖然可以降低資產組合之建構成本，但是同時也會導致資產組合 現金流量過剩或短缺的風險，若同時引進借貸的概念，則可以降低再投資 利率變動所產生之風險。此乃因所建構的投資組合中再投資利率變動所產 生的風險部份地被借貸利率所抵消，因此只要再投資利率及借貸利率之假 設夠保守，則所設計之還債模式將可提供一個較低成本且較低風險的還債 模式。 Cash matching strategy that matches cash flows from a port- folio of bonds to a prespecified set of cash requirements or l- iabilities. By cash matching these liabilities interest ate risk is eliminated and the liability defeased. Applications for the cash matching strategy include pension benefit funding, defeasement of debt service, municipal funding of construction, financial institute and insurance company. @ Managers who are faced with the task of funding a liability stream may choose from several alternative strategies when str- ucturing the funding portfolio. The overall objective is to find a low-cost , low-risk method for funding the liabilities. The c- ash matching is a low-risk strategy that utilizes cash flows on or before a liability date to meet each liability. @ The modified cash matching strategy is a low-risk alternati- ve that can be used to fund a liability stream, often at a lower cost than either cash matching strategy. The modified cash matc- ing strategy allows the use of cash flows occurring both before and beyond a liability date. Changes in borrowing and reinvestm- ent rates will have offsetting impacts on the portfolio. @ Modified cash matching strategy provides a low cost and low risk alternative compared to exact cash matching and other cash matching strategies in funding a liability stream.