Deutsche Bank closes EUR 12 billion capital market longevity solution
Deutsche Bank has completed a EUR12 billion longevity swap with AEGON, the first to be targeted directly to the capital markets and the first longevity transaction based on population data in Continental Europe. It represents a major step in helping pension funds and insurance companies provide solutions for an ageing population.
The transaction is based on Dutch population data which is applied to a synthetic portfolio and will enable AEGON to hedge the liabilities on a portion of its annuity book. By distributing the risk of the trade in the capital markets, Deutsche Bank is able to manage the longevity risk taken on through the transaction while also offering investors access to a new, diversified asset class. Use of the capital market significantly increases the capacity for hedging longevity risk that already exists in the reinsurance market.
Clare Hennings, Head of Structured Insurance Solutions at Deutsche Bank, commented: “Deutsche Bank continues to use its extensive experience in longevity risk management to address the complexities of the economic, regulatory and market environment faced by both our clients and investors. We believe this market will continue to grow as insurance companies and pension funds look at new ways to manage their liabilities while investors seek diversified investment opportunities.”
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