Recently, the Bank and Insurance Regulation Committees drafted the Notice on matters related to insurance fund's participation in Treasury bond futures trading (Draft for comments) and answer the detailed rules for the implementation of insurance fund's participation in treasury bond futures trading. According to the draft, insurance group (holding) companies, insurance companies and insurance asset management institutions established in accordance with the law in China can use their insurance funds to participate in the Treasury bond futures listed on the China Financial Futures Exchange (including 2-year, 5-year and 10-year varieties).

1、 Emphasis on the risk management measures of insurance funds participating in treasury bond futures trading
It is emphasized that insurance funds should be used for hedging or avoiding risks, not for speculation. Including: (1) hedging or avoiding the interest rate risk caused by the existing asset risk or asset liability mismatch; (2) hedging the asset risk to be purchased in the next half year, or locking its future transaction price. The assets to be purchased shall be the assets that the institution has decided to buy according to its investment decision-making procedure. If the company fails to buy the asset within half a year from the date of decision, or gives up buying the asset within the specified period, it shall terminate, liquidate or close the related derivatives within 10 trading days after the end of the specified period or the date of decision.
It emphasizes risk management in advance, requires independent trading account, reasonable trading strategy, clear risk hedging scheme, complete delivery rules, and strictly implements internal decision-making and approval procedures. According to the draft, the insurance fund should independently open and manage the Treasury bond futures trading account for the determined asset portfolio, formulate reasonable trading strategies according to the requirements of asset allocation risk management, and perform the internal decision-making procedures. Risk hedging plan, evaluation standard and approval system shall be established. For the strategy of hedging the interest rate risk caused by asset liability mismatch, insurance companies should also analyze the scenario test that the risk hedging strategy may have an adverse impact on the company's solvency and asset liability matching. In addition, it is also required to establish relevant delivery rules for Treasury bond futures, fully evaluate the delivery risks and make contingency plans for the varieties of physical delivery.
Three proportions of 100%, 50% and 20% shall be set up to strictly prevent and control the speculative trading of insurance funds with treasury bonds and futures, so as to avoid the sharp depreciation of assets caused by misjudgment of direction. It is stipulated in the opinion draft that insurance funds participate in Treasury bond futures trading. At the end of any trading day, the contract value of selling Treasury bond futures held by any asset portfolio shall not exceed the book value of the underlying bonds and bond fund assets, the contract value of buying Treasury bond futures held and the balance of investment funds held, and the total value shall not exceed 50% of the net assets of the asset portfolio. Among them, the contract value of selling Treasury bond futures and the contract value of buying Treasury bond futures shall not be calculated by combining netting. At the end of any trading day, the total value of the Treasury bond futures contract and the balance of the investment funds held by the insurance group (holding) company and the insurance company after the calculation of the consolidated balance shall not exceed 20% of the total assets of the company at the end of last quarter.
It emphasizes the risk control during the event, requires dynamic monitoring of relevant risk control indicators, timely risk warning of transactions according to market changes, and sets the proportion of liquidity in the portfolio account to prevent the risk of compulsory closing of treasury bond futures due to insufficient margin. According to the draft, when insurance funds participate in treasury bond futures trading and any asset portfolio is settled on any trading day, after deducting the trading margin required by treasury bond futures contracts, it shall maintain cash, central bank notes, money market funds or government bonds and policy bank bonds with a maturity of no less than one time of the trading margin, and effectively prevent compulsory closing position risk.
Set thresholds for institutions, systems and personnel to improve the professionalism and standardization of operation. The opinion draft requires that insurance institutions participating in Treasury bond futures trading should be equipped with professional management personnel and information systems (including trading, valuation, risk management and settlement system) that meet the requirements, and clear cooperation agreements with trading settlement and asset custody institutions. In addition, the insurance fund shall be a class a futures company established for more than 5 years, and its net capital at the end of last quarter shall be more than 300 million yuan (including), and not less than 8% of the total equity of customers. Relevant futures companies shall make a written commitment to accept the inquiry and inspection of the Bank and Insurance Regulation Committees, and truthfully provide the Bank and Insurance Regulation Committees with various materials related to insurance institutions' participation in Treasury bond futures trading.

近日，银保监会起草了《关于保险资金参与国债期货交易有关事项的通知（征求意见稿）》，解答保险资金参与国债期货交易的实施细则。根据征求意见稿，在中国境内依法设立的保险集团（控股）公司、保险公司以及保险资产管理机构可运用其保险资金参与中国金融期货交易所上市的国债期货（包括2年、5年及10年三个品种）。
一、重点强调保险资金参与国债期货交易中的各项风险防范措施
强调保险资金参与国债期货交易，应当以对冲或规避风险为目的，不得用于投机目的。包括：（一）对冲或规避现有资产风险或资产负债错配导致的利率风险；（二）对冲未来半年内拟买入资产风险，或锁定其未来交易价格。拟买入资产，应当是机构按其投资决策程序，已经决定将要买入的资产。未在决定之日起的半年内买入该资产，或在规定期限内放弃买入该资产，应当在规定期限结束后或决定之日起的10个交易日内，终止、清算或平仓相关衍生品。
强调事前风险控制，要求交易账户独立、交易策略合理、风险对冲方案明确、交割规则完备，并且严格履行内部决策和审批程序。根据征求意见稿，保险资金应为确定的资产组合独立开设和管理国债期货交易账户，并根据资产配置风险管理要求，制定合理的交易策略，并履行内部决策程序。要制定风险对冲方案、评估标准以及审批制度。对于对冲资产负债错配导致的利率风险的策略，保险公司还应当分析风险对冲策略对公司偿付能力和资产负债匹配状况可能产生不利影响的情景测试。此外，还要求建立国债期货有关交割规则，对实物交割的品种，应当充分评估交割风险，做好应急预案。
划定100%、50%、20% 三个比例，严格防控保险资金运用国债期货进行投机交易，避免方向判断失误带来的资产大幅贬值。意见稿规定，保险资金参与国债期货交易，任一资产组合在任何交易日日终，所持有的卖出国债期货合约价值，不得超过其对冲标的债券及债券型基金资产的账面价值，所持有的买入国债期货合约价值及融入资金余额，合计不得超过该资产组合净资产的50%。其中，卖出国债期货合约价值与买入国债期货合约价值，不得合并轧差计算。保险集团（控股）公司、保险公司在任何交易日日终，持有的合并轧差计算后的国债期货合约价值及融入资金余额，合计不得超过本公司上季末总资产的20%。
强调事中风险控制，要求动态监测相关风险控制指标，及时根据市场变化对交易作出风险预警；设置资产组合账户内流动资金比例，防范国债期货因保证金不足而被强制平仓的风险。征求意见稿规定，保险资金参与国债期货交易，任一资产组合在任何交易日结算后，扣除国债期货合约需缴纳的交易保证金，应当保持不低于交易保证金一倍的现金、中央银行票据、货币市场基金或到期日在一年以内的政府债券及政策性银行债券，有效防范强制平仓风险。
设置机构、系统及人员门槛，提升操作的专业性和规范性。意见稿要求参与国债期货交易的保险机构应配置满足要求的专业管理人员和信息系统（包括交易、估值、风险管理以及结算系统），并且与交易结算和资产托管机构明确合作协议事项。此外，保险资金应选择成立5年以上的A类期货公司，其上季末净资本应达到人民币三亿元（含）以上，且不低于客户权益总额的8%。相关期货公司需书面承诺接受中国银保监会的质询检查，并向中国银保监会如实提供保险机构参与国债期货交易涉及的各种资料。