mortality swap


Hannover Re completes capital markets mortality swap

German reinsurance firm Hannover Re has successfully completed a retrocessional transfer of extreme mortality risks to the capital markets, through the placement of an index-linked mortality swap with largely institutional investors.The swap covers extreme mortality scenarios on a multi-year basis, hedging life insurance risks against a sudden and severe increase read the full article →

Fitch affirms Signum Finance on positive mortality experience

Fitch Ratings has again affirmed the rating of Signum Finance Cayman Ltd. Series 2010-09, a mortality linked life insurance securitization transaction. The ratings agency cited the positive mortality experience, which remains below 100% of the actual-to-expected figure and well below the trigger level.The Signum Finance Cayman Ltd. transaction is a read the full article →

Goldman Sachs issues mortality linked CDS under Signum Finance

Goldman Sachs has been involved in an interesting structured finance transaction recently. Through its special purpose vehicle, the Cayman Islands based, Signum Finance Cayman Ltd. Goldman Sachs has issue $200m of Series 2010-09 notes designed to provide it with a mortality hedge for a defined block of life insurance.This transaction read the full article →