Inflation Derivatives and LDI Solutions - Euromoney Conferences

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uttonma [printed: February 1, 2007 1:46 PM] [saved: February 5, 2007 1:06 PM] C:\Documents <strong>and</strong> Settings\buttonma\Local Settings\Temporary Internet Files\OLK1C4\Risk_Feb07_slides.ppt Estimated liability profile for UK PLC We chart below a rough estimate of the liability cashflow profile for UK PLC. Annual flows, £bn 45 40 35 30 25 20 15 10 5 0 Projected benefits at 2.5% inflation 0 10 20 30 40 50 60 70 80 Term in years Actives Deferred Pensioners 15
Estimating a single-period hedge buttonma [printed: February 1, 2007 1:46 PM] [saved: February 5, 2007 1:06 PM] C:\Documents <strong>and</strong> Settings\buttonma\Local Settings\Temporary Internet Files\OLK1C4\Risk_Feb07_slides.ppt We estimate the cashflows under a range of inflation outlooks £ flows, bn 140 120 100 - 80 60 40 20 Annual cashflow projections (by inflation assumption) 0 10 20 30 40 50 60 70 80 Horizon, yrs 0.0% 2.5% 5.0% 7.5% 10.0% 16
Page 1 and 2: Inflation Derivatives and LDI Solut
Page 3 and 4: SECTION 1 Defined Benefit Outline
Page 5 and 6: What Is A Liability? buttonma [prin
Page 7 and 8: uttonma [printed: February 1, 2007
Page 11 and 12: Key Assumptions Typical To LDI Key
Page 15: uttonma [printed: February 1, 2007
Page 19 and 20: SECTION 4 Risk budgeting the curren
Page 21 and 22: Risk Exposures buttonma [printed: F
Page 23 and 24: SECTION 5 Structuring
Page 33 and 34: SECTION 6 Rich/Cheap: Exploiting di
Page 37 and 38: SECTION 7 UBS Resources
Page 45 and 46: UBS inflation-linked strategy The R
Page 47 and 48: UBS inflation-linked strategy Quart
Page 49 and 50: UBS inflation-linked strategy UILR
Page 51 and 52: Contact Information UBS AG 100 Live

Inflation Derivatives and LDI Solutions - Euromoney Conferences

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