AbstractThis paper examines the utility indiﬀerence price of interest rate productsand the risk associated with these. Such products can be compared withput options and are here considered to be written on a non-tradeable assetwhich can be hedged with a correlated asset. Initially, we look at the casewhere both the tradeable and non-tradeable assets can be modeled by twogeometric Brownian motions. This model is later extended to the casewhere it is assumed that the tradeable asset follows a Lévy process. The paper is based on the article ’Utility indiﬀerence pricing of interest-rate guarantees’ by Fred Espen Benth and Frank Proske, but is meant tobe an independent paper. The deﬁnitions of the utility indiﬀerence priceand the residual risk remaining after hedging are the same as in their paper.The residual risk is measured with several different risk measures such asValue at Risk, Conditional Value at Risk and Expected Shortfall. Thesemeasures, with others, are closely examined and evaluated.Numerical examples are included showing that the utility indifference priceis lower for negative correlation than for positive and that the price canbe even lower if the tradeable asset follows a Lévy process. Thus, if e.g. life companies can hedge in assets allowing jumps, and that are negativelycorrelated with their pension fund, they may offer lower prices with prac-tically unaltered measures of risk.Analysis of the pricing and hedging of interest rate guarantees are not onlyrelevant for life companies, but also for other ﬁnancial institutions oﬀeringinvestment products where there is a guaranteed least rate of return.