What we've been doing...
Re-hedging of guaranteed annuity option exposures using swaptions. Q4 2005 and reviewed periodically
Risk reduction and capital release from duration hedging in National Provident Life and Pearl Assurance. Q4 2005 and reviewed periodically
Mitigation of credit exposure. Q3 2006 and June 2007
and what it might mean
Reduction in exposure to interest rate changes, bringing forward estate distribution
Increase in security as a result of stabilising the financial position against changes in the level and shape of the interest rate curve
Substantial protection during summer of 2007 when credit assets fell sharply
Source: Cazalet Consulting, July 2007