The expected hedge cost for a hypothetical lifetime GMWB block (see Index Methodology) is estimated to be 146 bps as of the end of April 2016, down 2 bps from the previous month, driven by a slight increase in long-term swap interest rates.
About the Author(s)
Hedge Cost Index April 2016
The expected hedge cost for a hypothetical lifetime GMWB block is estimated to be 146 bps as of the end of April 2016, down 2 bps from the previous month, driven by a slight increase in long-term swap interest rates.
Daren Lockwood, Xiaohong Mo, Adam Schenck