Some Olympic figures

The success of Team GB reaching second place in the Rio Olympic got me curious. I wanted to put it in perspective, in multiple perspectives in fact.

First, how far did Team GB  came.

classic Ranking JO

36 in 1996 ! Yes it looks like something happened but still, they were 10+ from the last 70 years ! So getting number 2 is a massive achievement.

We can also see just how consistent the US have been. Americans often like to say it’s the greatest country on Earth, from an Olympic perspective they may be right.

It has been a record breaking in term of number of medals for France. Looking for some context I was interested in the overall number of medals won during the games. It’s growing fast ! Looking at it this way, we should have a record every year…

total number of medals

As always, once you start digging, you get more questions than answers. So how dominant was the most dominant country each games? Here is the percentage of medal won by the winning country:

percentage of medal for the winner

The 1904 games may not have been the most exciting ones with USA wining as much as 85% of all the medals. I guess Saint Louis was too far for everybody else to join… But overall happy to see the trend, looks like more and more countries are getting better and better results.

In my quest for context, I was interested to look at a rank that takes into account some characteristics of the countries. Life expectancy didn’t move enough, and is quite close for each top 20 countries. But looking at number of medals per capita gets a very different story:

JO population ranking

With this metric Team GB and France are doing well, but Jamaica and New-Zealand are the team to beat !

Unfortunately I only found a data set for population since 1960, so it reduces the time window, happy to redo the chart if anyone has a link with the info from 1896.

Where is the longevity Swap Market going?

Longevity Swap Market – June 2016Arrows

The Longevity Swap Market has rarely been so active in the last few months. 2016 might be another record year! The graph below shows longevity swaps transactions executed by UK pensions schemes since 2010.

Graph 1


Expectations are quite logically for the upward trend to continue. Longevity swaps now form part of the de-risking solutions that pension schemes commonly look at when executing LDI strategy and with longevity risk on top of the agenda the push towards such transactions should continue.

However the growth of the market is only sustainable on the long term if the “supply” for longevity risk protection remains strong. And the 1 trillion of UK defined benefits pension liabilities massively out-weight the estimated 100bn longevity capacity available from the reinsurers, the main suppliers of longevity risk for the time being.Graph 2

In the absence of additional capacity, the expectations are logically that at some point longevity pricing will increase making it less affordable/attractive for pension schemes to hedge their exposure. But at this time there are no such signs of reduced appetite from the reinsurance community.


Looking at the chart below, one might wonder if the constraining factor to the continuing growth of the longevity swap market is not going to arise first from the low number of intermediaries rather than the lack of longevity appetite from the reinsurers.Graph 3

When a pensions scheme enters into a longevity swap transaction, an intermediary is needed to transform the longevity risk into an insurance risk that can then be reinsured. There have only been few entities acting in this capacity and with more pressure coming from the regulator on balance sheet usage and credit risk concentration, couple of them have retreated with the last standing ones becoming quite selective on the transactions. Since 2015 only two insurance companies are active in underwriting longevity risk from pension schemes through longevity swaps transactions.

So why have we not seen already some signs of slowdown?

There are two explanations to the resilience of the market to the “disappearance of the intermediaries”:

  • Firstly a significant number of 2015 transactions have involved pension schemes liabilities where the sponsor was an insurance company. Under Solvency II, the new capital regulation for insurance companies that came in force in January 2016, insurance companies that are already exposed to longevity risk through their annuity portfolio had incentive to hedge the longevity risk of their own pension funds liabilities. In this specific situation a new solution emerged where the sponsor is used as the intermediary between the pension scheme and the reinsurers. The Axa and Aviva longevity swaps transactions are recent example of such a structure.
  • Another reason is the recent use of captives/insurance vehicles. Here the pension scheme faces an insurance entity specifically created for the longevity transaction. British Telecom and MNOPF have recently hedged some of their pension liabilities with the use of an offshore insurance company in order to transfer it to reinsurers.

Clearly the development of the captives’ solution might be the answer to the reduced number of active intermediaries. In addition under these structures there could be some cost efficiency to be gained. By outsourcing the calculation and valuation agent roles to companies dedicated to these tasks the total cost associated with a longevity hedge would be reduced.

The market is going to stay active for the next couple of years thanks to the des-intermediation of the traditional intermediaries and the development of companies using new technologies to automate the reporting and calculations required by longevity swap transactions.

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