It has been exactly one year since insurance institutions entered the market of government bond futures.

Although not long, insurance institutions have entered the stock index futures market for 8 years. As a "big man" in the financial market, insurance institutions have higher requirements for income stability and risk management due to the requirements of capital attributes. In the process of using financial derivatives, it has played a role in the rich allocation strategy of derivatives and risk hedging, and it is becoming an increasingly important participant in the derivatives market.

In the past ten years, the income has increased and the effect of the derivatives has appeared. Investors changed their cautious attitude and actively encouraged investment managers to use stock index futures. However, as more and more insurance institutions begin to explore the use of derivatives, calls for further improvement of the derivatives market varieties and rules have gradually increased.

The reporter's interview found that institutions generally feel that: the variety of the derivatives is not abundant, and the red line that pension funds cannot be used for long-position hedging of stock index futures, restricts the space for the investors to operate. Several interviewees told reporters that they hope to increase the variety of stock index futures, such as the science and technology innovation board and the ChiNext stock index futures, and also look forward to increasing the number of hedging underlyings.

Entry|

Gradually enter the derivatives market and increase returns

Insurance institutions have gone through a process of gradual liberalization when entering the market for derivatives.

In 2010, China's stock index futures were launched, and the Shanghai and Shenzhen 300 stock index futures were officially listed for trading. Two years later, the former China Insurance Regulatory Commission issued the "Regulations on Insurance Funds Participating in Stock Index Futures Trading", marking that insurance funds were officially allowed to participate in stock index futures trading.

And in 2013, the government bond futures trading had been rebooted. Only in 2020 the insurance companies had been allowed into the government bond futures market.

The reporter learned that in only one year, some insurance institutions have begun to use government bond futures for multiple purposes. An asset management company disclosed that it is currently in the process of applying for eligibility. The preparations for the system have been basically completed, and in the future it is ready to actively participate in government bond futures trading.

In contrast, after years of evolution, stock index futures have become an important tool for insurance institutions to enrich their allocation strategies and hedge their risks.

Taking the China Securities 500 Index as an example, the long-term discount range was 10%-12% before, and it is currently 5%-7%. If an insurance institution uses the CSI 500 Index as the benchmark and long-term holding a long position in the CSI 500 stock index futures, the long-term allocation of insurance institutions is more meaningful.

From a bearish perspective, insurance funds mainly use stock index futures for long-term portfolio risk smoothing and expansion strategies for income sources. At present, insurance institutions participate more in A-share new IPO share purchase, and the successful rate of offline IPO share purchase is higher, and the income is relatively certain, but the renewal has requirements on the market value of the other stocks positions. Institutions can use stock index futures to hedge against the risk of market value fluctuations in new open positions. This is equivalent to if the stock positions partly lose money, the futures part will make money, so as to ensure that the overall market value of the holding positions does not lose. And if the hedging strategy is appropriate, and futures may be used to increase the overall profits.

Regarding the effect of using stock index futures for hedging, a certain pension fund began to formally operate and operate hedging strategies in February this year. Judging from the performance of products using hedging strategies, most of the company's products are benchmarked against the CSI 300 Index. From February to July this year, the CSI 300 fell by about 6%. In the same period, the company's hedging strategy return rate was higher than 2%, showing a certain income enhancement effect relative to the underlying index. At present, the funds using such hedging strategies are still increasing steadily.

An asset management company also took a positive attitude towards the application of stock index futures. In 2015, they issued the first quantitative hedging portfolio insurance asset management product in the insurance asset management industry. In 2017, they issued the industry's first quantitative hedging equity pension product. In 2019, they also allocated stock index futures in the occupational annuity.

In the opinion of the relevant person in charge of that fund, the use of derivatives for risk control helps the market to maintain stability. When there is a major decline in the market, he will not directly reduce the stock positions, but to use more derivatives for hedging operations.

The person in charge explained that this situation is due to systemic risks caused by short-term market fluctuations, not because of the fundamental changes in the stock itself. If you sell the stock, you may have to buy it back after the volatility ends. If the position is relatively large, the cost of this process is very high, so in many cases, futures will be used for hedging.

Explore|

Pension and annuity investment "embrace" derivatives, and short-term assessment pressure is high

Among all types of insurance funds, pensions and annuities have higher requirements for risk control and return stability, hence there’re higher requirements for the use of derivatives in the management process.

Annuity and pension management institutions are also undergoing a "offensive and defensive" change in customer attitudes in the trial phase of the application of derivatives.

According to the relevant person in charge of an asset management fund, the use of stock index futures in the annuity management industry has been relatively active in the past two years, mainly due to the good results obtained from the application of stock index futures in annuity management in the past few years.

Take the industry's first quantitative hedge pension product as an example. Since its establishment, the annualized rate of return has exceeded 8%, the maximum drawdown is around 4%, and the risk taken is relatively limited. Quantitative hedging pension products are biased towards absolute returns. Many trustees are optimistic about these products and hold them for a longer time.

The process of funds using stock index futures tools for annuities is gradually advancing. Annuity customers for certain funds are all entrusted by third parties, and the principal or agent entrusts the annuity assets to a legal person trustee institutions (referred to as the trustees) that meets the national regulations. The trustee is generally a bank or pension insurance institution. The trustee then signs an investment management contract with the investment manager. The asset management company plays the role of an investment manager.

The department of the relevant person in charge is mainly responsible for annuity management. According to his introduction, the assessment cycle of annuities is shorter than that of other insurance funds. The assessment period for insurance funds generally may be 3 to 5 years, but the longest assessment period for annuities is only one year.

In addition, due to the general public perception that “annuity money cannot be lost”, Annuity investors pay more attention to the absolute returns.

Under this kind of assessment pressure, customers ultimately compare the absolute income levels of the annuity managers in a short period of time. Even if the overall market declines, positive returns needed to be guaranteed, and financial derivatives play an important role. If there is a sharp decline in the market, derivatives can be used to hedge against the downside risk of market.

However, the short-term assessment model also brings challenges to the investment management of the institution. The assessment mode has become a major factor affecting investment operations. Under the model of pursuing absolute returns, many investment managers will inevitably rely more on timing of the trade, chase the hot stocks, and deviate from the originally set investment scope. The current short-term assessment pressure in the annuity industry has caused annuity management institutions to pursue short-term gains, making it difficult to truly make long-term investments, and it also affects the long-term capital attributes of insurance funds.

To solve this problem, we need to work hard on investor education. We can refer to the life cycle or target date management mode of foreign pensions. In foreign countries, the pension management model is generally divided into several different grades according to the life cycle of customers, and different asset allocations are carried out. Among them, for the age group between 25-35 years old, the risk tolerance level is the highest. At this time, pension assets can be allocated with a higher upper limit of equity exposure. Since then, as the age increases, the equity ratio of pension assets will automatically shrink when they are 35-40 years old. By the age of 60 and 65, the equity ratio drops to zero and only a fixed income assets can be allocated.

The assessment cycle under this foreign pension management model is also relatively long-term, and may be a cycle of 5-10 years. Different assessment standards are carried out for the corresponding risk levels of different age groups. In this case, the investment behavior of the pension management institutions can also be more long-term oriented.

Practice|

The cost of hedging is high, and institutions look forward to the “unwinding” of insurance long hedging limit

At present, China's financial derivatives cover three major stock index futures varieties: one option product and three government bond futures products, forming a basic framework. This is not enough in the view of the institutions.

The current requirements for futures-spot matching imposed some restrictions on institutions. The index constituent stocks of the three listed stock index futures are in the same scope as the constituent stocks of the CSI 800 Index. Under the requirements of futures and spot matching, if investors want to short stock index futures, investors must hold 800 constituent stocks of the China Securities Index, which means that only 800 stocks can actually be hedged.

There are more than 4,000 A-share stocks. With the development of the A-share market, including the implementation of the registration system, the number of targets that need to be hedged has far exceeded the CSI 800 constituent stocks. Institutions wish to have more diversified hedging instruments.

If the CSI 1000 Index is included, then 1,800 stocks can be hedged.

Nowadays, the high cost of using stock index futures to hedge has also become a problem for institutions.

In hedging products, institutions hold long stock spot positions and short stock index futures with the similar market value. The discount on stock index futures is the cost of hedging operations. Taking the CSI 500 as an example, assuming that the stock spot long positions with the CSI 500 index as the tracking benchmark can generate 15% excess returns in a year relative to the benchmark index, the annualized hedging cost of the CSI 500 stock index futures is calculated at 7%. The 15% yield is 8% after subtracting 7% hedging cost. Calculated on the basis of 70% of the position ratio, only 5.6% remains. After deducting management fees, custody fees, etc., the final rate of return is only about 5%, and the cost-effectiveness of the entire product is greatly affected.

The institutions believed that the main reason for this result is that the entire market now has fewer tools for hedging. A large amount of hedging demand is concentrated in the stock index futures market, leading to long-term mismatch of the long and short forces in the stock index futures market.

To put it simply, long hedging is to lock in the future buying price at the current point in time. Assuming that the Shanghai and Shenzhen 300 Index is currently 5000 points, the price of the stock index futures contract is 4800 points, and there is a discount of 200 points. At this time, investors can buy stock index futures at a cheaper price, and expected future futures prices will return to the index spot price. The part of such futures converge to spot is the excess return.

Under the premise of the existence of futures discount to spot, if an institution spends part of its funds for long-term long hedging, it can earn a stable excess return that exceeds the index increase. However, the current regulations have drawn a red line, and pension management agencies cannot carry out long-term long hedging operations. This makes it impossible for institutions to earn excess returns through such operations. To enable the long hedging has become another big expectation of institutions.

China's derivatives market system, rules, and varieties are in the process of continuous improvement and innovation. Looking ahead, with the advancement of financial system reforms and the development of the financial derivatives market, derivatives will play an increasingly important role in the modern financial system.

Jiang Yang, former vice chairman of the China Securities Regulatory Commission, once referred to the derivatives market as the risk management financial market, juxtaposed with traditional indirect finance and direct finance. The three markets have different functions. The indirect financial market focuses on bank financing, the direct financial market focuses on capital market financing, and the risk management financial market focuses on price discovery and risk management. The three markets complement each other and are all different and connected. He proposed that the development of China's derivatives market should be gradually promoted in accordance with the maturity of the market economy, the needs of the real economy, and the depth and breadth of the capital market, so as to make progress while maintaining stability.

进场|
渐进式迈入衍生品市场，收益增强
保险机构入市衍生品，历经逐步放开的过程。
2010年，中国股指期货推出，沪深300股指期货正式上市交易。两年后，原保监会发布《保险资金参与股指期货交易规定》，标志着保险资金正式获准参与股指期货交易。
2013年6月，中国平安获批开展股指期货业务，成为保险业内首家获批机构。也是在这一年，国债期货重启。不同于“小跑”进场参与股指期货，时隔七年，保险才获准进入——2020年7月，《保险资金参与国债期货交易规定》落地，继商业银行试点进入国债期货后，保险机构终于可以正式参与国债期货交易。自此，保险行业基本完全进入衍生品市场，保险机构所能使用的风险管理工具愈加完备，衍生品市场的投资者结构也更加丰富。
贝壳财经记者采访了解到，仅一年时间，部分保险机构已经开始使用国债期货。华泰保险旗下资管公司华泰资产透露，目前处于申请资格过程中，系统准备工作已经基本完成，未来准备积极参与国债期货交易。
相比之下，多年演进，股指期货已经成为保险机构丰富配置策略、进行风险对冲的重要工具。
中国人寿养老保险股份有限公司量化投资负责人刘强告诉贝壳财经记者，除年金、养老金以外的保险资金既可以做多股指期货，也可以做空股指期货。从多头来看，目前保险资金主要利用股指期货来满足多头对冲的配置需求。当机构具有相对长期的指数增强配置需求，而股指期货又存在一定贴水时，保险机构可以通过股指期货以一个折价来长期持有指数，未来可享受期货与现货价格逐渐统一的溢价收益。
刘强以中证500指数举例称，此前长期贴水幅度达10%-12%，目前为5%-7%，如果保险机构以中证500指数为对标，长期持有中证500股指期货的多头，对保险机构的长期配置比较有意义。
而从空头来看，保险资金主要将股指期货用于长期的组合风险平滑，以及扩充策略的收益来源。目前保险机构参与A股打新较多，网下打新中签率较高，收益也相对较为确定，但打新对底仓市值有要求。机构可以用股指期货对冲打新底仓的市值波动风险，相当于如果股票部分亏损，期货部分会赚钱，以此保证底仓整体市值不亏损，对冲策略得当，可能还会通过期货增加收益。
对于使用股指期货进行对冲的效果，刘强告诉记者，国寿养老今年2月开始正式操作和运营对冲类策略。从采用对冲策略的产品业绩表现来看，公司产品大部分对标沪深300指数，今年2月至7月沪深300下跌约达6%，而公司同期的对冲策略收益均高于2%，相对标的指数表现出一定收益增强效果。目前国寿养老使用对冲策略的账户仍在稳步增加。
华泰资产在股指期货的应用上同样持积极态度。2015年华泰资产发行了保险资管行业内第一个量化对冲组合类保险资管产品，2017年发行了业内第一个量化对冲股票型养老金产品，2019年在职业年金中也配置了股指期货。
在华泰资产量化投资部负责人李陈成看来，使用衍生品进行风险控制有助于市场保持稳定。当大盘发生较大下跌时，他不会直接降低股票仓位，更多的是利用衍生品进行套保操作。
李陈成解释称，这种情况是短期市场波动带来系统性风险，而不是因为股票本身的基本面变化，如果卖掉股票的话，在波动结束之后可能还要买回来，持仓占比较大的话，这一过程带来的成本非常高，所以很多时候会选择用期货做套保。

探究|
养老金和年金投资“拥抱”衍生品，短期考核压力大
各类保险资金中，养老金和年金对于风险控制和收益稳定性的要求更高，管理过程中对于衍生品的运用需求也更高。
年金和养老金管理机构对于衍生品的应用摸着石头过河，也正经历客户态度的“攻守”转变。
华泰资产李陈成介绍，近两年来年金管理行业对股指期货的使用较为积极，主要归因于过去几年在年金管理中应用股指期货收获的良好效果。
以华泰资产2017年成立的业内第一只量化对冲养老金产品为例，自成立以来年化收益率超过8%，最大回撤在4%左右，而且承担的风险比较有限。量化对冲养老金产品偏向绝对收益，很多受托人看好这类产品，持有的时间也比较长。
李陈成表示，年金运用股指期货工具的过程是逐步推进的。华泰资产的年金客户均来自第三方委托，委托人或代理人将年金资产委托给符合国家规定的法人受托机构（简称受托人），受托人一般是银行或养老保险机构，受托人再与投管人签订投资管理合同，华泰资产扮演的就是投资管理人的角色。
刘强所在部门主要负责年金管理。据其介绍，年金的考核周期相对于其他保险资金来说更短，一般保险资金的考核周期可能是3年至5年，但年金最长考核周期也只有一年。
此外，由于公众存在“养老钱不能亏”的普遍认知，年金投资者更看重绝对收益。
这种考核压力下，客户最终比较的是年金管理人在短期限内各自的绝对收益水平。即使整体市场出现下跌，也需要保证正收益，其中金融衍生品就充当了重要角色。如果大盘出现大跌，通过衍生品对冲，就可以规避掉市场行情下跌风险。
然而，短期考核模式也给机构的投资管理带来挑战。刘强表示，考核模式已经成为影响投资操作的一大因素。在追求绝对收益的模式下，导致很多投资经理不可避免会去择时、追风口，偏离原本设定的投资范围。目前年金行业的短期考核压力致使年金管理机构更加追求短期收益，很难真正进行长期投资，也影响险资长期资金属性的发挥。
刘强建议，解决这一问题，需要在投资者教育上下功夫。可以参考国外养老金的生命周期或目标日期管理模式。在国外，养老金管理模式一般根据客户的生命周期分成几个不同档次，进行不同的资产配置。其中，对于25-35岁之间的年龄层，风险承受等级是最高的，此时可以将养老金资产配置较高的权益上限。此后，随着年龄的增长，到35-40岁的时候，养老金资产的权益比例就自动缩减。等到60岁、65岁，权益比例降为零，只能配固收。
刘强称，国外这种养老金管理模式下的考核周期也是较为长期的，可能是以5-10年为一个周期，对不同年龄层对应的风险等级进行不同的考核口径，这种情况下，管理养老金的机构的投资行为也可以更加长期化。

实践|
对冲成本较高，机构期待保险多头套保“松绑”
目前，我国金融衍生品涵盖三大股指期货品种、一个期权品种、三个国债期货品种，构建了基本框架。这在机构看来还不够充分。
刘强提出，目前对于期现匹配的要求给机构带来一些限制。由于已上市的三个股指期货品种标的指数成分股与中证800指数成分股范围相同，在期现匹配要求下，如果要做空股指期货，必须持有中证指数800成分股，这意味着实际只有800只股票可以做对冲。
A股全部股票超过4000只，随着A股市场发展，包括注册制的落地，需要对冲的标的已经远远超过了中证800成分股，刘强希望能有更多元化的对冲标的。
李陈成表示，可以将中证1000指数纳入其中，这样就可以有1800只股票对冲。
如今，使用股指期货对冲成本较高，同样成为摆在机构面前的难题。
李陈成指出，在对冲产品中，机构持有的是股票现货多头，以及差不多等市值的股指期货空头，股指期货的贴水就是对冲操作需要付出的成本。以中证500为例，假设以中证500指数为跟踪基准的股票现货多头相对基准指数一年可以产生15%的超额收益，中证500股指期货年化的对冲成本按7%计算，15%的收益率减去7%后还剩8%；以七成仓位计算，就只剩5.6%。再扣掉管理费、托管费等，最终收益率就只有5%左右了，整个产品的性价比就受到了很大的影响。
李陈成认为，造成这一结果的原因主要在于现在整个市场可以用来进行套保的工具比较少，大量的套保需求集中在股指期货市场上，导致股指期货市场的多空力量长期不匹配。
多头套保简单来说就是在当下时点锁定未来的买入价格，假设沪深300指数目前是5000点，股指期货合约的价格是4800点，存在200点的折价，此时投资者可以以便宜的价格买入股指期货，未来期货价格会恢复到指数现货价格，这部分恢复就是超额收益。
在贴水存在的前提下，如果机构将一部分资金长期用来做多头套保，就能赚到稳定的超越指数涨幅的超额收益。但是目前规定已经画出红线，养老金管理机构不能进行多头套保操作，这就使得机构无法通过这种操作来赚取超额收益。放开多头套保，成为机构的另一大期盼。
我国的衍生品市场制度、规则、品种均在不断完善与创新的过程中。展望未来，随着金融体制改革的推进和金融衍生品市场的发展，衍生品将会在现代金融体系中发挥越来越重要的作用。
证监会前副主席姜洋曾将衍生品市场称为风险管理金融市场，与传统的间接金融、直接金融并列。三个市场承担的功能不同，间接金融市场以银行融资为主，直接金融市场以资本市场融资为主，风险管理金融市场则以价格发现和风险管理为主，三个市场互为补充，既有区别又有联系。他提出，我国的衍生品市场发展，应根据市场经济的成熟度、实体经济的需要度，以及资本市场的深度和广度逐步推动，稳中求进。