JP Morgan launches first public international longevity index

Investment bank JP Morgan yesterday launched the first publicly available international index to trade longevity risk, in a bid to lead the development of a derivatives market.

The LifeMetrics Index will initially calculate death rates in the US, in England and in Wales, but will be expanded to other countries in the coming months. Pension consultants Watson Wyatt and the Pensions Institute at Cass Business School in London helped to develop the index.

JP Morgan aims to launch hedging instruments based on the index, and is encouraging other banks to co-operate in recognising the index as an industry benchmark. The bank intends to launch longevity swaps later this year.

Credit Suisse launched a longevity index based on US mortality data in December 2005, but did not make it available to the public, nor launch other indexes or related derivatives.