先日、mortality bonds について書きましたが、今日のファイナンシャルタイムズ１面トップも同じような death risk に関する記事でした。来年以降、ロンドンで death risk の証券化市場が急拡大していくだろう、といった内容です。
mortality bonds に対する反対側の商品が longevity bonds （長生き債？、前回に引き続きこれもまだ正式な訳語はないと思われます）で、あらかじめ決められた死亡率ほどには死亡者が出なかった場合にデフォルトを起こすような債券です。これらの mortality derivatives 商品を Deutsche Bank や BNP Paribas などが開発していると述べられています。
保険会社からしてみれば想定よりも多くの人が死亡してしまうことが、そして年金からしてみれば想定よりも多くの人が生きのびてしまうことが、それぞれ損失につながってしまうということです。これらのリスク要因をうまく相殺する形でそれぞれがヘッジできるようなスキームを提供するのがこういった longevity derivatives なのだと思います。
Trading in death risk offers boom for London
By David Wighton in New Yorkand Gillian Tett in London
Published: November 23 2006 02:00 | Last updated: November 23 2006 02:00
London is set to become the centre of a potentially huge new global market in trading “longevity risk” faced by pension funds, industry experts predict.
Leading investment banks and insurance companies are working on the design of new securities expected to be launched next year. The moves come as the pension industry is frantically looking for ways to meet its growing obligations.
David Blake, professor of pension economics at City University, forecast the new market would eventually outstrip credit derivatives, which have ballooned to $26,000bn. “The potential is enormous and it will start to happen very soon.”
The market is expected to start in London rather than New York partly because of a favourable regulatory regime. Analysts say prescriptive pensions legislation and the threat of class-action lawsuits make US pension schemes nervous of innovation.
This week, Hank Paulson, US treasury secretary, warned the rule-based approach to regulation in the US was undermining the competitiveness of its capital markets.
Partha Dasgupta, head of the UK Pension Protection Fund, the statutory safety net for schemes, said the fund was encouraging investment banks to co-operate in designing the securities.
He is optimistic that a market will develop to allow pension funds to offload some of the risk that their members live longer than expected.
The new securities are likely to include variations of “mortality bonds” – whose value falls if deaths occur earlier than expected – and “longevity bonds” – which move the opposite way. Banks such as Deutsche Bank and BNP Paribas are working on “mortality derivatives”.
The move comes as the pension industry faces a growing asset-liability mismatch – partly because pensioners are living longer – and accounting rules are encouraging companies to reduce their exposure to pension risks.
A wave of new insurance companies has been formed to take over UK corporate pension schemes and these are expected to have a more creative attitude towards managing risk than traditional pension trustees. At the same time, a flood of hedge fund money is looking for new investments. Hedge funds have piled into catastrophe bonds, which bet on natural disasters.
Rob Procter, a former Morgan Stanley analyst who now runs Securis Investment Partners, a hedge fund investing in insurance risk, said the buy-out vehicles would look to securitise some of their pension-related risk.
Some bankers are sceptical about how quickly the market will take off and point to the mixed success of previous efforts. But Professor Blake, who is a consultant to a number of leading investment banks, said the market reception to a mortality bond issued last week by Axa, the French insurer, showed there was “a very significant market”.
Copyright The Financial Times Limited 2006