New Life Settlement Index Now Available

“The US secondary market for traded life insurance policies has reached a respectable size and matured significantly over the last decade. Given this trend a broad range of products have been developed and launched offering investors access to life settlements as an alternative asset class, however, investors have thus far lacked a reliable benchmark which reflects the performance of the various funds dedicated to this market. This issue has been solved with the launch of the AAP Life Settlement Index, “says Beat Hess, Managing Partner of AA-Partners Ltd.

Reasonable Index Composition

The AAP Life Settlement Index was developed to provide investors a transparent, representative benchmark of different investment funds that are majority invested in the area of traded US life insurance policies. The index is constructed and calculated following clear rules. Along the lines of other well known indices in the area of non-traditional investment strategies, the AAP Life Settlement Index reflects the performance of the according fund universe.

A fund qualifies for the index if it meets ALL of the following conditions:

(a) The fund follows a strategy in the area of traded US life insurance contracts. The part of other strategies in the portfolio is permanently smaller than 25% of the fund volume.

(b) The fund is open-ended, which means it accepts new investors and allows redemptions. Funds with a soft-closing or restricted liquidity for the investors still qualify for the index.
(c) Subscriptions can be made at least quarterly.
(d) Redemptions can be made at least quarterly.
(e) The fund calculates monthly a NAV in USD and the NAV is publicly available or is provided for the calculation of the index.
(f) The fund is not US domiciled.
(g) The fund is not a fund of funds. The fraction of open-end or closed-end funds is persistently smaller than 33%.

Index calculation

The AAP Life Settlement Index is calculated using the NAV of the index components. The index components are equally weighted as per each calculation date. The index is calculated in USD and starts with a value of 100 as per the end of December 2006. If a new fund is enclosed, the historic index values will not be recalculated using the historic performance data of the new fund. The same is true if a fund is excluded from the index; the historic index values will not be recalculated without this fund.

The AAP Life Settlement Index is calculated by Structured Solutions, AG and is fed into Reuters and Bloomberg. AA-Partners, Ltd acts as index advisor. The index has the following codes:

Bloomberg Code: AAPLIFE;

Reuters Code: .AAPLIFESETTLEM;

ISIN: DE000A0X7H31;

WKN: A0X7H3.

Information with regards to the index is available with AA-Partners Ltd or with Structured Solutions, AG.

About AA-Partners Ltd

AA-Partners Ltd (AAP) is a Zurich, Switzerland based independent investment boutique. AAP is specialized on wealth and fund of funds management with open-ended funds which follow a strategy in the area of traded life insurance policies.

About Structured Solutions, AG

Structured Solutions, AG is an integrated service provider in the derivatives business located in Frankfurt. The company’s main activities are indexing and structuring services for institutional clients.