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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 →

Signum Finance ratings affirmed as mortality experience remains well below trigger

Fitch Ratings has reaffirmed the ratings of Signum Finance Cayman Ltd. Series 2010-09, a life securitization type transaction which provides Goldman Sachs with a mortality hedge for a defined block of life insurance. The latest assessment was based on two factors; the rating of issuer Goldman Sachs, as guarantor to read the full article →

Signum Finance mortality linked CDS finally downgraded by Fitch

Ratings agency Fitch Ratings have finally downgraded the ratings or Signum Finance Cayman Ltd. Series 2010-09, a life securitization type transaction which provides Goldman Sachs with a mortality hedge for a defined block of life insurance. The Signum Finance deal has been threatened for a while and Fitch placed the read the full article →

Signum Finance mortality linked CDS back on Rating Watch Negative

The Signum Finance Cayman Ltd. Series 2010-09 transaction which provides Goldman Sachs with a mortality hedge for a defined block of life insurance has been put back on a Rating Watch Negative status by Fitch Ratings. We first wrote about this interesting insurance-linked securitization almost a year ago and then read the full article →

Signum Finance mortality linked CDS ratings revised to stable outlook

Signum Finance Cayman Ltd. Series 2010-09 is not the best known insurance-linked security but it is an interesting transaction. We first wrote about the deal back in November 2010 when it was issued by Goldman Sachs. The transaction is designed to provide Goldman Sachs with a mortality hedge for a read the full article →

Life and Longevity Markets Association takes ownership of J.P. Morgan’s LifeMetrics Index

The Life & Longevity Markets Association (LLMA) announced a milestone in their plans for the development of a market in tradeable longevity and mortality risk instruments yesterday with the news that they were to take ownership of the LifeMetrics Index which was created by J.P. Morgan.All LifeMetrics Index data will 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 →

SCOR extends mortality swap to cover H1N1 flu virus

SCOR Global Life SE has added a new layer of cover to their existing four year mortality swap deal with J.P. Morgan. The new layer provides SCOR with an additional $75m cover for the rest of the deal which runs to 31st December 2011. By increasing its cover SCOR hope read the full article →