NIFD季报 主编:李扬 机构投资者的资产管理 杜邢晔 文潇 本报告负责人：杜邢晔 本报告执笔人： ⚫ 杜邢晔 2026 年 3 月 2022 年 4 月 《 NIFD 季报》是国家金融与发展实验室主要的集体研 究成果之一，旨在定期、系统、全面跟踪全球金融市场、全 球数字资产、人民币汇率、国内宏观经济、中国宏观金融、 宏观杠杆率、财政运行、金融监管、债券市场、股票市场、 房地产金融、保险业运行、机构投资者的资产管理等领域的 动态，并对各领域的金融风险状况进行评估。其中，"全球 数字资产""宏观杠杆率"报告保持季度发布（每季度结束 后第二个月推出），其他领域报告调整为半年度发布（半年 度报告于每年 7 月份推出，年度报告于下一年度 2 月份推 出）。《 NIFD 季报》在实验室微信公众号和官方网站同时 推出。 英国养老金风险转移专营机构 Rothesay 的投资运营情况 研究 摘 要 本期报告重点关注一家专注于英国养老金风险转移 （Pension Risk Transfer，以下简称"PRT"）市场的专营保险 机构 Rothesay 的投资运营情况。历史上，给付确定型（Defined Benefits，"DB" ...

Core Viewpoint - The article discusses the development of pension risk management in Europe and the United States, aiming to provide insights for the development of the second and third pillars of pension insurance in China [2]. Group 1: Pension Risk Transfer (PRT) Overview - PRT is a financial arrangement where companies transfer the payment responsibilities of defined benefit (DB) pension plans to insurance companies, aiming to reduce risks such as longevity risk, investment risk, and interest rate risk [4][5]. - The emergence of the PRT market in Europe and the U.S. is driven by multiple factors, including aging populations, accounting standards requiring market value measurement of pension liabilities, and the complexity of pension asset-liability management [5][6]. Group 2: Historical Development Stages - Initial Stage (Pre-1980s): Pension plans evolved from informal commitments to structured DB plans, with companies facing increasing financial pressure due to aging populations and investment volatility [8]. - Emergence Stage (1980-2000): The introduction of regulatory frameworks like ERISA in the U.S. and the establishment of PBGC laid the groundwork for PRT transactions, with early examples like General Motors' group annuity transaction [9][10]. - Growth Stage (2000-2015): The PRT market saw accelerated development due to advancements in actuarial technology and regulatory support, with significant transactions such as General Motors transferring $25 billion in pension liabilities [14][15]. - Boom Stage (2015-2025): The U.S. and U.K. markets experienced explosive growth in PRT transactions, with notable deals like AT&T's $31 billion transaction in 2022, pushing annual PRT transaction volumes to new highs [16][17]. Group 3: PRT Mechanisms - Buy-in: Companies purchase annuity contracts from insurers to cover pension liabilities while retaining legal responsibility on their balance sheets [22]. - Buy-out: Companies transfer pension liabilities to insurers, removing these liabilities from their balance sheets entirely [22]. - Longevity Swap: A financial agreement that transfers longevity risk from pension plans to insurers, which can further transfer this risk to reinsurers [22][23]. Group 4: Role of Insurance Companies - Insurance companies play a crucial role in the PRT process by taking on pension liabilities and managing longevity risk through various financial instruments, thus transforming their role from asset managers to long-term liability bearers [26][28]. - The development of a multi-layered risk transfer structure involving insurers and reinsurers enhances the capacity for managing longevity risk and supports the evolution of pension systems [28]. Group 5: Challenges in China - China's pension system primarily relies on defined contribution (DC) plans, lacking the historical context of DB plans that facilitate risk transfer, leading to a deficiency in systematic longevity risk management capabilities [30][31]. - The absence of a robust regulatory framework specifically addressing pension liabilities and longevity risk hampers the development of a comprehensive risk management system in China's insurance industry [30]. Group 6: Recommendations for Development - To establish a pension risk transfer mechanism in China, it is suggested to leverage the third pillar of the pension system, focusing on transforming individual accounts into lifetime annuity products [36][38]. - The creation of a national pension reinsurance platform is recommended to facilitate risk sharing and enhance the capacity of insurance companies to provide long-term guarantees [38].