Goldman Sachs launches tradeable mortality index
18 Dec 2007, Alexander Campbell, Risk magazine
The QxX index, the first tradeable mortality index, is based on a pool of 46,290 people over 65 in the US, and will be tracked and updated monthly. The bank says it will produce vanilla swaps based on the index to allow investors to hedge or increase longevity exposure. The index is underwritten by AVS Underwriting.
QxX is the first in a series of indexes, Goldman Sachs said, but it refused to provide details of future indexes. Nor did it address one of the largest problems with trading longevity - the issue of basis risk between the traded hedge, normally a population-wide longevity index, and the hedged exposure, such as clients of a particular pension fund.
See also: A long way to go
PensionsFirst aims to trade pension fund longevity risk
JP Morgan launches longevity index
Time of life
CSFB launches longevity index