Having applied securitization to its vehicle insurance book last year via the innovative FCC Sparc deal, AXA now plans to offload mortality risk to the capital markets via a synthetic securitization to be arranged by Ixis CIB, Lehman Brothers and Swiss Re Capital Markets. The two types of risk are very different: the FCC Sparc deal dealt with high-frequency, low-severity claims whereas the mortality deal looks to address lower-frequency, higher-severity cover.
Mortality risk has been securitized before, principally via Swiss Re’s Vita Capital deals. The drivers for an insurance company to offload mortality risk include...
