QxX Index Values for October, 2008:
QxX.LS: 45,395
5yr swap fixed spread: 400 bps
10yr swap fixed spread: 500 bps

For information on a recent mortality study produced by the QxX Index data provider, AVS, please refer to the Recent News section.

The Documentation section of QxX-Index.com includes Index Rules updated as of April 2008. The changes in the rules are not expected to have a material impact on the calculation of the Index. However, a copy of the rules as they were written prior to these revisions is available here for comparison, and parties should make their own assessment of the impact to the Index.

QxX

QxX is designed to allow market participants to measure, manage, and trade exposure to longevity and mortality risks in a standardized, transparent, and real-time manner

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

  • Reference pool consists of a rules-based set of lives, medically underwritten by AVS Underwriting, LLC
  • Published monthly, providing real-time mortality information
  • Mortality tracked by independent, third-party agent, based on the Social Security Death Index
  • Indices will roll on an annual basis, providing a continually updated reference pool, capturing market evolution and underwriting trends

Index computation will be subject to a set of transparent rules under the supervision of a board that includes outside and independent directors and subject to periodic third-party verification

QxX.LS

QxX.LS index swaps are designed to allow market participants to hedge or gain exposure to longevity and mortality risks, providing reliable, real-time pricing information and execution

  • “Fixed Receiver” sells mortality protection and is “long” mortality risk – receives a spread and makes mortality-contingent payments
  • “Fixed Payer” buys mortality protection and is “short” mortality risk / exposed to longevity risk – pays a spread and receives contingent payments
  • Spread to represent market-implied mortality of the reference pool
  • Net cashflows exchanged, representing the difference between the spread and the realized mortality
  • Swaps will trade with a defined term profile – swap maturities will be certain at the outset of each trade

Defined Terms

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 the lifespan of a pool of individuals

Holders of longevity risk -- pension funds, annuity writers, the social security trust fund or life settlement investors -- are exposed to the increase in the lifespan of a pool of individuals

A Word About The Data And Privacy

The Company has secured all rights to use the data underlying the QxX Index so that market participants can trade with confidence that they will have uninterrupted access to timely updates of the index.

In addition, given the sensitive nature of the data underlying the QxX index, such data is collected in a manner fully consistent with all applicable laws, particularly those addressing the privacy of health-related information. Rigorous procedures have been implemented to effectively separate the health and demographic data from all personal identifiers. The resulting "blind" or "de-identified" data can be used with confidence for the purposes of the index.

Disclaimers

QxX Index Co., LLC ("Index Co.") makes no representation whatsoever, whether express or implied, and hereby expressly disclaims all warranties (including, without limitation, those of merchantability or fitness for a particular purpose or use), with respect to each QxX Index or any data included therein or relating thereto, and in particular disclaims any warranty either as to the quality, accuracy and/or completeness of each QxX Index or any data included therein, the results obtained from the use of each QxX Index, the composition of a QxX Index at any particular time on any particular date or otherwise.

Index Co. is not liable (whether in negligence or otherwise) to the parties or any other person for any error in a QxX Index, and Index Co. is under no obligation to advise the parties or any person of any error therein. The data comprising the QxX Index has been obtained from third parties and the use thereof is not an endorsement of such third parties, the accuracy of the data or the methodologies used in collecting, verifying, analyzing or generating the data or any derivative thereof. Any longevity estimates provided are as of the date specified and no representation or warranty is made or given that such estimates are or were at the time produced an accurate measure of the estimated longevity of the associated reference life.