GLOBAL – BNP Paribas says it has not had enough investor interest in its so-called longevity bond for UK pension schemes.

“We didn’t have enough investor interest to make a full issue so far, which we regret because it’s a good idea,” said Denis Autier, the bank’s head of global risk solutions.

It announced the bond in November 2004 and as recently as February this year told IPE that there was “a lot of interest” from trustees.

Autier added that the bank was still working on the project and that potential clients had expressed an interest in longevity.

“We are working at customising the product for various clients – the concept of longevity hedging is the same,” he said. He also said one of the problems was that asset managers don’t have the mandate to manage longevity risk.

The bank had designed the product to protecting schemes against longevity risk. It worked with the European Investment Bank, which would issue a 25-year £540m bond.

"Against the backdrop of the pensions crisis, this innovative structure is designed to help UK pension funds hedge their annuity liabilities and enable them to meet their pension promises," the bank said at the time.

"We believe that the longevity bond is a landmark product in the risk management of pension funds, by offering a hedge against the unexpected changes in longevity," said Jacques d'Estais, head of BNP Paribas' fixed income business.

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