Goldman Sachs has launched a tradeable mortality index based on a pool of US senior citizens.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.
More on Structured Products
Software from Calastone seeks to bring structured products into the digital age
Regulation and low interest rates pose greatest challenge
Tim Mortimer on the value of put options in structuring
Morgan Stanley offers returns on the rise and the fall of the S&P 500
Sign up for Risk.net email alerts
Sponsored video: Tradeweb
Multifonds talks to Custody Risk on being nominated for the Post-Trade Technology Vendor of the Year at the Custody Risk Awards 2014
Sponsored webinar: IBM Risk Analytics
Nominated for two technology awards
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.