The expected hedge cost for a hypothetical lifetime GMWB block (see Index Methodology) is
estimated to be 129 bps as of the end of September 2017, down 8 bps from the previous month, driven
by an increase in long-term swap interest rates.
About the Author(s)
Hedge Cost Index September 2017
The expected hedge cost for a hypothetical lifetime GMWB block (see Index Methodology1) is estimated to be 129 bps as of the end of September 2017, down 8 bps from the previous month, driven by an increase in long-term swap interest rates.
Daren Lockwood, Xiaohong Mo, Adam Schenck