The expected hedge cost for a hypothetical GLWB block (see Index Methodology1) is estimated to be 268 bps as of the end of February 2020, up 44 basis points from the previous month, driven by a decrease in long-term interest rates and an increase in market volatility.
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Hedge Cost Index March 2020
The expected hedge cost for a hypothetical GLWB block is estimated to be 268 bps as of the end of March 2020, up 44 basis points from the previous month, driven by a decrease in long-term interest rates and an increase in volatility.
Daren Lockwood, Xiaohong Mo, Adam Schenck