Regulations Governing Derivatives Transactions Conducted by Insurance Companies Article 2
The terms used in the Regulations are defined as follows:1.“Derivatives transactions” mean “transactions for hedging purpose”, “transactions for enhancing the investment efficiency”, or “transactions of structured products”.2."Transactions for hedging purpose" mean derivatives transactions which comply with the following provisions:(1)The hedged item is in existence and exposes the insurance company (“insurer”) to identifiable risk of loss;(2)The hedging derivatives transactions may reduce the risk of the hedged item and are specified for hedging the aforesaid item; and(3)When conducting a hedging transaction where the hedged item is an existing investment position or an anticipated investment position provided in Subparagraph 3 hereof and where the underlying instrument of the hedging derivatives is different from the hedged item, such instrument and the hedged item shall be specified in a formal document, with a statement certifying the high correlation between them.(4)When conducting a hedging transaction where the hedged item is a specific liability position provided in Subparagraph 3 hereof, the hedging derivative shall have the expected hedging effect stated in the hedging program drafted pursuant to Subparagraph 2, Paragraph 1 of Article 4-1 herein.3.“A hedged item” means an existing investment position, an anticipated investment position or a specific liability position. Anticipated investment positions and specific liability positions can include the following:(1) An anticipated investment position means the following:a.The principal of an existing investment position that will reach maturity within the coming year and the incurred interest;b.Cash flow expected to go on within the coming year from sold insurance policies.(2)The specific liability position means the position that should be recognized as a guaranteed benefits liability for investment-linked insurance product according to regulations.4.“Risk of a hedged item” means the price, interest rate, exchange rate, and credit, among other things, of the hedged item.5."High correlativity" means that with all the transaction records of the past three months or more as samples, the correlation coefficient with regard to the rate-of-change of price or rate of return between the underlying instrument of the hedging derivatives or the portfolio thereof is equivalent to 70% or above.6.“Transactions for enhancing the investment efficiency” mean those with purposes other than hedging and investing in structured products.7."Value-at-risk calculation of positions relevant to transactions for enhancing the investment efficiency" means that 10-day 99% VAR for the above position is required to be calculated either on a weekly basis for at least three years period or on a daily basis for at least one year period. On top of that, the aforesaid data shall be updated on a weekly basis and back testing of the above VAR shall be performed on a monthly basis.8.“Transactions of structured products” mean transactions of portfolios combining fixed-income instruments and derivatives issued or guaranteed by financial institutions.9.“Aggregate nominal value” means the value calculated in accordance with the following requirements:(1)In option contracts, it is the sum of products of the exercise price multiplied by the theoretical hedging ratio and the total number of open-interest positions.(2)In interest rate swap contracts, it is the sum of products of the nominal principal of hedged item multiplied by the theoretical hedging ratio.(3)In leveraged derivatives contracts, it is the sum of products of the nominal principal in the contract multiplied by the leverage.(4)For derivative contracts other than those mentioned in the preceding three items, it is the sum of the contract value or the nominal principal.10.“Foreign credit rating agencies” means Moody’s Investors Service, Standard & Poor's Corp., Fitch Ratings Ltd. and other credit rating agencies recognized by the Financial Supervisory Commission.
中文原文 保險業從事衍生性金融商品交易管理辦法第2條
本辦法用詞，定義如下：
一、衍生性金融商品交易，指為避險目的、增加投資效益目的及結構型商品投資，辦理之衍生性金融商品交易。
二、避險目的之交易，指符合下列條件之交易：
（一）被避險項目已存在並使保險業暴露於損失之風險中，且可明確辨認。
（二）避險衍生性金融商品可降低被避險項目風險，並被指定作為該項目之避險。
（三）執行被避險項目為第三款所定已投資部位及預期投資部位之避險交易時，若避險衍生性金融商品連結標的與被避險項目不同者，應於正式書面文件中指定避險衍生性金融商品連結標的與被避險項目，且證明避險衍生性金融商品之連結標的或其商品組合與被避險項目間存在高度相關性。
（四）執行被避險項目為第三款所定特定負債部位之避險交易時，該避險衍生性金融商品應符合第四條之一第一項第二款所定避險計畫書預期之避險效果。
三、被避險項目，指已投資部位、預期投資部位及特定負債部位，其中預期投資部位及特定負債部位之範圍如下：
（一）預期投資部位指下列範圍：1.已投資部位未來一年內到期之本金及所生孳息之預期再投資部位。
2.已銷售保單未來一年內之預期現金流入之投資部位。
（二）特定負債部位指依規定應認列屬投資型保險商品之保證給付負債之部位。
四、被避險項目之風險，指被避險項目之價格、利率、匯率及信用等風險。
五、高度相關性，指以過去三個月以上之全部交易歷史資料為樣本計算，避險衍生性金融商品之連結標的或其商品組合與被避險項目價格變動率或報酬率相關係數達百分之七十以上。
六、增加投資效益目的之交易，指本辦法所定避險目的及結構型商品投資以外之其他目的之交易。
七、增加投資效益目的交易部位之風險值，指按週為基礎、樣本期間三年以上，或按日為基礎、樣本期間一年以上，樣本之資料至少每週更新一次，以百分之九十九以上之信賴水準，及至少每月進行回溯測試計算所得之十個交易日之風險值。
八、結構型商品投資之交易，指投資由金融機構發行或保證，結合固定收益商品與衍生性金融商品之組合型式商品之交易。
九、總（名目）價值，指依下列規定計算之金額：
（一）於選擇權契約，指履約價款乘以理論避險比率再乘以持有口數之總和。
（二）於利率類交換契約，指被避險標的名目本金乘以理論避險比率之總和。
（三）於有槓桿倍數之衍生性金融商品契約，指契約名目本金乘以倍數之總和。
（四）於前三目以外之其他衍生性金融商品契約，指契約金額或名目本金之總和。
十、國外信用評等機構，指Moody'sInvestorsService、Standard&Poor'sCorp.、FitchRatingsLtd.或其他經主管機關認可之信用評等機構。
一、衍生性金融商品交易，指為避險目的、增加投資效益目的及結構型商品投資，辦理之衍生性金融商品交易。
二、避險目的之交易，指符合下列條件之交易：
（一）被避險項目已存在並使保險業暴露於損失之風險中，且可明確辨認。
（二）避險衍生性金融商品可降低被避險項目風險，並被指定作為該項目之避險。
（三）執行被避險項目為第三款所定已投資部位及預期投資部位之避險交易時，若避險衍生性金融商品連結標的與被避險項目不同者，應於正式書面文件中指定避險衍生性金融商品連結標的與被避險項目，且證明避險衍生性金融商品之連結標的或其商品組合與被避險項目間存在高度相關性。
（四）執行被避險項目為第三款所定特定負債部位之避險交易時，該避險衍生性金融商品應符合第四條之一第一項第二款所定避險計畫書預期之避險效果。
三、被避險項目，指已投資部位、預期投資部位及特定負債部位，其中預期投資部位及特定負債部位之範圍如下：
（一）預期投資部位指下列範圍：1.已投資部位未來一年內到期之本金及所生孳息之預期再投資部位。
2.已銷售保單未來一年內之預期現金流入之投資部位。
（二）特定負債部位指依規定應認列屬投資型保險商品之保證給付負債之部位。
四、被避險項目之風險，指被避險項目之價格、利率、匯率及信用等風險。
五、高度相關性，指以過去三個月以上之全部交易歷史資料為樣本計算，避險衍生性金融商品之連結標的或其商品組合與被避險項目價格變動率或報酬率相關係數達百分之七十以上。
六、增加投資效益目的之交易，指本辦法所定避險目的及結構型商品投資以外之其他目的之交易。
七、增加投資效益目的交易部位之風險值，指按週為基礎、樣本期間三年以上，或按日為基礎、樣本期間一年以上，樣本之資料至少每週更新一次，以百分之九十九以上之信賴水準，及至少每月進行回溯測試計算所得之十個交易日之風險值。
八、結構型商品投資之交易，指投資由金融機構發行或保證，結合固定收益商品與衍生性金融商品之組合型式商品之交易。
九、總（名目）價值，指依下列規定計算之金額：
（一）於選擇權契約，指履約價款乘以理論避險比率再乘以持有口數之總和。
（二）於利率類交換契約，指被避險標的名目本金乘以理論避險比率之總和。
（三）於有槓桿倍數之衍生性金融商品契約，指契約名目本金乘以倍數之總和。
（四）於前三目以外之其他衍生性金融商品契約，指契約金額或名目本金之總和。
十、國外信用評等機構，指Moody'sInvestorsService、Standard&Poor'sCorp.、FitchRatingsLtd.或其他經主管機關認可之信用評等機構。