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Products March 13, 2007
JP Morgan Puts Out Longetivity Risk Index
March 13, 2007 (PLANSPONSOR.com) - JPMorgan on
Tuesday unveiled its LifeMetrics Index that it says is
designed to benchmark and trade longevity risk.
Reported by Fred Schneyer
A JPMorgan news release said its LifeMetrics Index is part of a LifeMetrics platform aimed at measuring and managing both longevity and mortality exposure.
According to the announcement, the new index is designed to create securities, derivatives and other structured products. LifeMetrics will enable pension plans to calibrate and hedge the risk associated with the longevity of their beneficiaries, the bank said.
The index incorporates historical and current statistics on mortality rates and life expectancy across genders, ages and nationalities. The index is available for the U.S., England and Wales.
The index is calculated by an independent calculation agent and will be governed by an international advisory committee including experts from different organizations.
“We believe this index will facilitate the development of a market in tradable longevity risk,” said Patrik Edsparr, global head of Rates, Securitized Products, Proprietary Positioning and Principal Investment businesses at JPMorgan, in the announcement.
The LifeMetrics platform, developed with advisors Watson Wyatt in the U.K. and U.S. and the Pensions Institute at Cass Business School, will also provide clients with a framework to manage longevity risk that includes analytics and software to model current exposure and forecast future exposure, the announcement said.
More information is available at www.jpmorgan.com/lifemetrics .
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