Goldman Sachs Launches Tradeable Index for Longevity and Mortality Risks

NEW YORK--(BUSINESS WIRE)--The Goldman Sachs Group, Inc. (NYSE: GS) today announced that it has launched the first index that will allow market participants to measure, manage, and trade exposure to longevity and mortality risks in a standardized, transparent, and real-time manner.

Longevity and mortality are the risks that realized lifespan differs from expected lifespan, creating an economic consequence, often a price change in an asset or liability. Holders of mortality risk -- typically institutions such as insurance carriers and reinsurers -- are economically exposed to a decrease in lifespan, while holders of longevity risks -- pension funds, annuity writers, the social security trust fund or life settlement investors -- are exposed to an increase.

QxX.LS, the first in an expected series of indices, will be a representative sample of the US senior insured population over the age of 65. The initial index will reference a pool of 46,290 de-identified lives.

QxX.LS is based on a population designed to address risks to which major market participants are exposed and is independently tracked monthly, providing real-time publication of mortality information. The results will be periodically verified by a third party. Published index rules and trading calculators are available on Bloomberg at (QXX (GO)) and on the QxX website at http://www.qxx-index.com, ensuring observability and transparency.

Up until now, holders of longevity and mortality risks have had no mechanism to dynamically manage their exposures in the capital markets.

Hedge funds, banks and asset managers with existing positions in the cash longevity market, or those with an interest in gaining synthetic exposure to this uncorrelated risk class, will be able to use the index to either hedge existing exposure or to initiate investments.

“We are excited about bringing this unique product to the market and believe that it will quickly establish itself as the market benchmark. This will result in more transparent pricing of longevity risk, should reduce transaction friction, and will likely lead to improved economics for market participants,” said Alex Dubitsky, head of Goldman Sachs’ Longevity Markets Group.

Dubitsky added, “Goldman Sachs is committed to helping our clients manage risk efficiently. We view this as the first step in bringing a suite of new risk management tools to an important asset class.”

Goldman Sachs is a leading global investment banking, securities and investment management firm that provides a wide range of services worldwide to a substantial and diversified client base that includes corporations, financial institutions, governments and high net worth individuals. Founded in 1869, it is one of the oldest and largest investment banking firms. The firm is headquartered in New York and maintains offices in London, Frankfurt, Tokyo, Hong Kong and other major financial centers around the world.