Hedge Cost Index December 2017

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By Ram Kelkar, Daren Lockwood, Xiaohong Mo, Adam Schenck | 04 January 2018
The expected hedge cost for a hypothetical lifetime GMWB block is estimated to be 128 bps as of the end of December 2017, up 1 basis point from the previous month, driven by a slight decrease in long-term interest rates.

Authors

Risk Management and Financial Services