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中国太平 20251215 摘要 中国太平香港火灾事件对公司赔付影响可控，已做好理赔规划和准备， 包括公估定损，并考虑风险分散化及资本金预留，若赔付影响重大将发 布公告。 2026 年开门红主要针对寿险业务，已从 2025 年四季度开始准备，优 化负债端业务结构，特别是在分红险方面，预计产品将更加多样化，利 率目标中性。 中国太平设定了从 2025 年起用 3-5 年时间，使每年新增保费中分红险 占比超过 50%的目标，目前已基本实现，未来可能酌情增加传统保险产 品供给，以优化负债端结构。 分红保险和传统保险的久期差异较大，通过销售更多的分红保险，可以 缩窄久期缺口，每年预计缩窄 0.5 至 0.8 个点，从而减轻投资端压力， 提高资产配置灵活性。 个险方面，有效人力已触底回升，公司以绩优模式为主打，提高质量和 效率，注重代理人的收入贡献及举绩率，并推动队伍年轻化和专业化。 银保方面，公司与大型国有银行合作取得显著成绩，合作网点数量已从 两年前的 7 万多增加到现在的 9 万多，银保业务将继续贡献较大价值。 预定利率下调会促进价值率提升，分红险转型使得价值更实，若 2026 年销售能够延续并攀升，那么无论是从 ...

Core Viewpoint - Strengthening asset-liability matching management has become a consensus in the industry, with many life insurance companies adjusting their development concepts on both the liability and asset sides to achieve this goal [1][2]. Group 1: Asset-Liability Management Challenges - The complexity of life insurance business necessitates a sophisticated understanding of asset-liability management, which poses new challenges for corporate management and organizational structure [1][2]. - There is a prevalent misunderstanding of "asset-liability matching management," with some substituting "duration gap" for "asset-liability matching," leading to significant deviations from the core principles of asset-liability management [1][2][8]. Group 2: Independent Account Management - Asset-liability management should focus on each independent account within life insurance companies rather than the overall company, as these accounts have distinct asset ownership, liability responsibilities, and risk allocations [3][4]. - The establishment of independent accounts is a significant operational decision that requires clear management logic and a rigorous decision-making process [5]. Group 3: Core Concepts of Asset-Liability Management - The core demands of asset-liability management include matching, interaction, and dynamic management, which should not be rigidly interpreted as an absolute equality between assets and liabilities [6][7]. - The management of asset-liability interactions remains disconnected, despite some recognition of the need for two-way interaction management [6][8]. Group 4: Data System Improvement - The complexity of life insurance business leads to a diverse array of economic principles and management perspectives, necessitating an improvement in the data system for asset-liability management [8][9]. - The concept of "duration gap" is often misused as a substitute for "asset-liability matching," which can lead to secondary risks if treated as a static management goal [8][10]. Group 5: Duration Calculation Issues - The current calculation of liability duration is relatively straightforward, while the calculation of asset duration is overly rigid and disconnected from reality [10][11]. - The existing rules for calculating asset duration primarily focus on fixed-income assets, neglecting the impact of equity and other asset classes, which can distort the overall asset-liability management [10][12]. Group 6: Recommendations for Improvement - It is recommended to realistically assess the extendability of historical data in the current liability cash flow model and incorporate future economic changes into the evaluation of life insurance contract liabilities [13][14]. - A comprehensive asset duration calculation model that aligns with investment management practices should be developed to reflect the unique long-cycle nature of life insurance [14].

Group 1 - The article discusses common arbitrage combinations such as TS*2-TF, TS*4-T, TF*2-T, and T*3-TL, which often deviate from the corresponding cash bond yield spread trends due to not achieving duration neutrality, thus failing to immunize against interest rate risk [2][7][20] - It highlights the importance of considering interest rate fluctuations when tracking yield spreads with these arbitrage combinations, suggesting that an ideal approach is to gain potential returns from both yield spreads and unilateral volatility [2][19] - The current duration gaps for various combinations indicate that if interest rates are expected to decline, attention should be paid to opportunities in the 7Y-5Y yield spread narrowing or the 5Y-2Y and 30Y-7Y yield spreads widening [2][20][21] Group 2 - The article emphasizes that the net basis can significantly impact the short-term performance of arbitrage combinations, advising that when constructing these combinations, the overall net basis level should be considered [2][15][17] - It notes that the historical performance of net basis fluctuations has been limited to a range of ±1 yuan, with recent trends showing a convergence to around ±0.5 yuan, indicating a reduced impact on combination value [15][17] - The report suggests that when engaging in curve shape arbitrage, it is crucial to consider both the current yield spread position and the duration gap, as well as the expected direction of future interest rate movements [19][20][26]

Investment Rating - The report maintains an "Overweight" rating for the insurance industry [2] Core Insights - The average duration gap in the insurance industry is approximately -7 years, with a trend of widening expected post-2024, particularly in the life insurance sector [5][21] - Large insurance companies generally maintain a duration gap around -5 years, while small to medium-sized insurers exhibit a widening gap, indicating a disparity in asset-liability management [5][21] - The report emphasizes the importance of managing duration gaps to mitigate interest rate risks and reinvestment risks, especially in a low-interest-rate environment [5][21] Summary by Sections 1. Introduction: Duration Gap in Insurance Asset-Liability Matching - Duration gap refers to the difference between asset duration and liability duration, categorized into various types [9] - The report highlights the increasing duration gap due to the issuance of long-term savings products by life insurers [9][10] 2. Calculation of Duration Gap and Industry Data Statistics - The average duration gap for life insurance companies from 2020 to 2022 was -6.67 years, -6.57 years, and -6.28 years, respectively [21] - The report identifies a trend where over 65% of companies have seen their duration gaps widen, with many experiencing an increase of over 2 years [23][26] 3. Significance and Measures for Duration Gap Management - Effective duration gap management is crucial for balancing asset-liability management in insurance companies [5] - Suggested measures to narrow the duration gap include increasing allocations to long-term bonds, developing long-term equity investments, and adjusting product structures to enhance liability duration [5][21] 4. Investment Recommendations - The report suggests focusing on companies like New China Life, Ping An, AIA, China Life, China Pacific, and PICC, which are well-positioned to benefit from the dual dividend attributes of insurance stocks [5][21]