保险投资的机遇

2004.9.11————220051.2.3.14.25.32005•––00-0526.3%–33.2%,17.1%–13•––04––-10020030040050060070080005-105-205-305-405-505-6-20%0%20%40%60%80%100%120%140%04-104-304-504-704-904-1105-105-305-5:05:05420050526%7%26%41%•–47.8%40.7•––04–•––––62.43%2.66%6.4%47.8%16.0%29.8%:04:05520050553%13%12%22%26.25%6.64%5.82%11.06%5.20%23.57%10.28%0%5%10%15%20%25%30%0504•–49.88.8–•––04053.714.80%0.6–MBS–:05:0504620056%6%7%7%8%8%04-104-304-504-704-904-1105-105-305-56%6%7%7%8%8%04-104-304-504-704-904-1105-105-305-505()(%)04()(%)(%)18.672.2830.473.73-11.8-1.45-38.87%53.256.5260.287.38-7.03-0.86-11.65%5.210.6410.91.33-5.69-0.69-51.88%5.690.710.491.28-4.79-0.58-45.31%43.255.2944.135.4-0.88-0.11-2.04%•–043–•–––:05:720051.2.3.14.25.82005•–04–/––••04•7%•2.71732.90%39.90%50.20%3.80%3.00%3.10%62.30%56.10%43.70%4.50%4.10%3.60%0%10%20%30%40%50%60%70%80%90%100%2005630200420030.00%0.50%1.00%1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%:059200561.81%62.41%56.10%25.60%24.24%28.10%12.59%13.35%15.80%0%10%20%30%40%50%60%70%80%90%100%20056302004200381.67%76.02%0%10%20%30%40%50%60%70%80%90%1122334455-3%-2%-1%0%1%2%3%4%5%6%7%04030504••04053•::0505102005•–––•–97NissanMutualLifeEquitableLife112005•––1220051.2.3.14.25.13200553.5%•–––––142005•1––•2–•3–152005•1•53.6205100bp922053.6%+100bp=4.6%•2•510bp10bp10bp••––162005•3––80-120bp100bp90bp•3.5–==4.6%100bp10bp=3.5%172005-3.75%•––––182005•1–•2–•3–192005•1–2614.12117bp10bp33.85%3.85%+100bp=4.85%•2•90bp•=10bp90bp=100bp•3.75–204.85%10bp100bp=3.75202005-3.63%•––––3.50%3.75%–503.632120053.77•6–32671377826724–90bp30bp40bp–4%–3.77%–222005•––••––•CPI•CPI2320051.2.3.14.25.242005•–––••2520051•“”•–“”–EPS–“”–2620051•––/–D/E–2720052•–••––2820053•–AAABBB+BBB–BBB92%–•303B–•••–AAAA–20292005•4–•••–•5302005•––•–––312005•–24••MBSABS–•133%33%20%5%8%5%13%1%4%8%TreasurysecuritiesAgency-andGSE-backedsecuritiesMortgagepass-throughsecuritiesCMOsandotherstructuredMBSOtherMunicipalsecuritiesCorporateandforeignbonds24%59%15%2%BankloansMortgagesConsumercreditSecuritycredit::322005•1•2––––•3–•40504–51250020030033200504Aa11%A28%Aaa4%Baa26%BelowBaa31%0%10%20%30%40%50%60%70%80%90%100%1.123.1456.58.112.223.48.47.26.86.76.86.45.35.45.65.350%1%1%2%2%3%3%4%4%199419951996199719981999200020012002200320040.02.04.06.08.010.0CPIFedrate%5011871028560327902027014831020590797707484091350441041220602802985013003293029802711037005620115901066069203117088240GDP104460156706670039860GDP54.53%31.91%57.80%36.55%::::MoodyFox-PittKeltonFlowofFundsECBIMFANewMeasureofCorporateBondsLiquidityRiskGeorgeChacko342005•–78%;1–3.85%53.85%56.41%79.41%78.21%46.15%43.59%20.59%0%20%40%60%80%100%Corporateandforeignbonds35.1%Commercialmortgages0.3%Treasurysecurities10.3%Agencysecurities18.3%Municipalsecurities36.0%AAA-A65%BBB27%BB5%B2%CCC1%:::FRSBankofJapanUKOfficeofNS04IMFFox-PittKelton352005•–4037430%10%20%30%40%50%60%70%80%90%100%19451948195119541957196019631966196919721975197819811984198719901993199619992002MortgagesCorporateandforeignbondsMunicipalsecuritiesAgency-andGSE-backedsecuritiesTreasurysecuritiesOpenmarketpaperMoneymarketfundshares:362005•–601020050%10%20%30%40%50%60%70%80%19451948195119541957196019631966196919721975197819811984198719901993199619992002CommercialmortgagesCorporateandforeignbondsMunicipalsecuritiesAgency-andGSE-backedsecuritiesTreasurysecuritiesSecurityRPsCheckabledepositsandcurrency:372005•–0567311–259942%2%26%9%1%1%25%4%5%5%0%2%9%4%1%4%1%1%0%HouseholdStateandlocalgovRestofworldCommercialbankingSavingsinstitutionsBankpersonaltrustsandestatesLifeinsuranceOtherinsurancePrivatepensionfundsStateandlocalgovt.retirementfundsFederalgovt.retirementfundsMoneymarketmutualfundsMutualfundsClosed-endfundsETFsGSEREITsBrokersanddealers:382005•––55060bp80110bp•–BBB100bp–148bp100bpAA5.57.710.93AA16.48.130.41A5.67.921.14A15.28.350.63BBB5.78.261.48BBB15.48.741.02BB6.810.513.81BB17.710.122.52B7.412.345.64B13.312.144.54357101544.736451.777656.32460.13661.86520.916921.403821.959822.872127.798437.5158458.1237482.234523.135772.71-17.08-27.19-28.17-31.32-60.6690.9997.4497.5993.7398.221118.411294.441408.11503.41546.62525252525:87-98:02-03LehmanBrothersDatabase392005MBS•MBS10.1%–MBS11MBS03MBS18.40%10.10%8.80%4.90%5.30%3.20%7.00%%0.70%2.40%6.70%1.80%0.70%0.80%BankslifeInsurancePensionFundsSavingsandLoansForeignInvestorsPrivateInvestorsMutualFundsFederalCreditUnionsFHLBanksFN/FHPortfolioMBSDealersREITSFinanceCompaniesOthers9%1%42%3%7%25%2%1%3%2%3%2%CheckabledepositsandcurrencyMoneymarketfundsharesOpenmarketpaperTreasurysecuritiesAgency-andGSE-backedsecuritiesMunicipalsecuritiesCorporateandforeignbondsPolicyloansMortgagesCorporateequitiesMutualfundsharesMiscellaneousassets22%21%0%17%7%8%11%6%6%2%CheckabledepositsandcurrencySecurityRPsTreasurysecuritiesAgency-andGSE-backedsecuritiesMunicipalsecuritiesCorporateandforeignbondsCommercialmortgagesCorporateequitiesTradereceivablesMiscellaneousassets:MBS::402005MBS•90MBSCMOMBS8899315•MBS136bp•MBSMBS19909.48.021.3819917.886.611.2719927.466.181.2819936.515.241.2719948.677.720.9519956.895.711.180.2319966.965.931.031.0619976.815.940.871.231998