Dutch insurers halve risk to falling interest rates with derivatives
Despite an increase in long-dated interest rates in 2009, the Dutch life insurance sector halved its exposure to declining interest rates last year by massively increasing its use of interest rate derivatives, according to The Dutch Central Bank (DNB).
In its June Quarterly Statistical Bulletin, the DNB said that in addition to an unspecified “augmentation” of their bond and mortgage loans portfolio, Dutch insurers increased their interest rate hedging use to the extent that a 1% decline in
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