Members secured

25,000 (44% of benefits)

Value

£3bn

Type

Synthetic buy-in & longevity swaps

Impact

  • Innovative structure allowed the Scheme to take advantage of market dislocation and volatility
  • Transactions avoided immediate additional funding requirements on the corporate sponsor

Highlights

Innovative structure

The transaction structure removed all longevity, inflation and interest rate risk associated with 20% of the pension benefits in exchange for a series of pre-determined regular premium payments
Regular premium payments are in line with the cash flows on specific index-linked gilts that the Trustees invested in to take advantage of the then-existing dislocation in the gilt market

Execution occurred only when it could be achieved without requiring an additional contribution from the corporate sponsor

Dislocation and volatility in the index-linked gilt markets provided an opportunity to de-risk using Rothesay’s innovative structure

Repeat transaction to increase the proportion of benefits covered

Further transaction in December 2011 covering a further 20% using a pure longevity swap arrangement
Subsequent transaction with Rothesay in December 2013 to increase the insurance of pension payments from 40% to 44%