longevity derivatives


Delta Lloyd & RGA in second €12 billion longevity swap deal

Dutch insurance, pensions and investments firm Delta Lloyd and Reinsurance Group of America (RGA) have entered into their second index-based longevity swap transaction, which again covers underlying longevity reserves of around €12 billion. Again, the transaction is a described as a longevity replication derivative based on Dutch population mortality data. It read the full article →

Delta Lloyd in EUR 12 billion index-based longevity swap with RGA Re

Dutch insurance, pensions and investments firm Delta Lloyd has entered into an index-based longevity swap transaction covering €12 billion of its longevity reserves with Reinsurance Group of America. It's the first longevity risk transfer or swap transaction which is linked to an underlying mortality index that we've covered in some time, read the full article →

OECD: Governments should stimulate market in longevity risk

The Organisation for Economic Co-operation and Development (OECD) has published a 230 page report looking at various issues affecting the pension markets and highlighting areas that need reforming in order for pension plans to meet their obligations and better serve their members. One of the issues covered in the bumper read the full article →

Longevity securitization attracting more attention in the U.S. – S&P

As well as the roundtable discussion on catastrophe bonds which we covered earlier here, Standard & Poor's also held a roundtable discussion on the topic of longevity securitization recently. Again the full publication of the discussion can be downloaded by subscribers to S&P's Global Credit Portal or purchased from S&P read the full article →

IRS proposes to treat weather, catastrophe and longevity derivatives as notional principal contracts

Newly proposed regulations from the U.S. Internal Revenue Service (IRS) could change the way certain over-the-counter derivative transactions are treated for taxation purposes. The proposal would generally allow for OTC derivatives which are based on objective non-financial information to qualify as notional principal contracts (NPC's). Law firm Sidley Austin LLP have read the full article →

Market for longevity risk set to grow

The market for trading and securitization of longevity risks has never really taken off as much as we initially thought it would. Most market participants have been waiting for capital to flood in as companies and pension fund managers discovered how easily they could hedge the risk of longevity amongst read the full article →