mortality swap

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.

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 to give themselves enough protection […]