The expected hedge cost for a hypothetical lifetime GMWB block (see Index Methodology) is estimated to be 123 bps as of the end of January 2017, down 1 bps from the previous month, driven by an increase in long-term swap interest rates.
About the Author(s)
Hedge Cost Index January 2017
The expected hedge cost for a hypothetical lifetime GMWB block is estimated to be 123 bps as of the end of January 2017, down 1 bps from the previous month, driven by an increase in long-term swap interest rates.
Daren Lockwood, Xiaohong Mo, Adam Schenck