Insurers Face Hedging Squeeze On Annuities (DW)

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기사 중 일부

Insurers generally buy deep in-the-money puts on equity indices they know they can sell at a profit to pay policyholders back, according to one trader at a large insurer in New York. Some traders are now cutting corners and trying to cheapen trades by buying out-of-the-money puts, however. “It’s like trying to buy fire insurance while the house is on fire,” said the trader.
That is forcing insurers to hedge shorter-dated volatility, or vega, on policies already issued as well as those they are selling. Vega is the amount by which the price of an option changes relative to a 1% increase in implied volatility. “Insurers who hedge the liability vega need to own shorter dated options (three-to-seven-years) rather than longer dated (10-to-15 years) and they are having to rebalance in an extremely expensive environment,” said Michael Chun, managing director in institutional global derivatives sales at JPMorgan in New York.