The Organisation for Economic Cooperation and Development has released a working paper which argues that, while there is a clear need to better protect retirement income from financial market volatility, the costs and benefits of investment return guarantees should be carefully evaluated. Investment return guarantees offer protection from adverse investment performance but can be costly. The report calculates the market price of different guarantees in the form of a charge on member savings or contributions paid into the pension plan, which ultimately reduce the expected level of benefits. The higher the return guaranteed and the shorter the investment horizon, the greater their cost, and hence the less attractive they become for members. The report finds that the cheapest guarantee is a protection of the nominal amount of contributions (a capital guarantee). With a 40 year contribution period, a capital guarantee would cost less than 10 basis points. Such a guarantee can be very attractive for plan members: it protects contributions and can thus foster confidence in retirement savings products, as it makes them at least as attractive as keeping the money “under the mattress”.