Ergo plans convexity treasury

Ergo, the Dusseldorf-based primary insurance subsidiary of Munich Re, is setting up a derivatives treasury operation in order to pre-hedge new guarantee-based life savings products to be sold to German retail customers. The move comes in the wake of the EUR12.5 billion swaption hedge purchased in 2005 to hedge interest rate guarantees promised to existing Ergo customers (Life & Pensions, May 2006, p17).

According to Dietmar Osenberg, head of strategic asset allocation and ALM at Ergo, the 2005

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