Hi there, I'm fairly new to the area of longevity swaps. I understand that they are new instruments to the market and it has just been announced that CS traded the first longevity swap in the UK with Babcock. I was wondering how they work? My limited understanding is, that the floating leg adjusts the notional based on reference survival index. I was wondering if anyone could provide me some more insight in these instruments. How are the flows on both leg calculated, what are the most frequently used survival indices, what are the models used to project longevity, how is the basis risk determined between the survival index and an actual population, etc?Many thanks,Terence

Goldman Sachs is behind the Qxx.I don't know about any CS / Babcock business.

oops

Qxx provides exposure on US lives...as far as I'm aware GS doesn't have an index that provide exposure to UK longevity?

Try JP Morgan Lifemetrics for info.