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London Market Monitor – 31 May 2022
Our May review of the markets and Solvency II discount rates.
The expected hedge cost for a hypothetical GLWB block (see Index Methodology) is estimated to be 168 bps as of the end of March 2022, down 13 basis points from the previous month, driven by an increase in long-term interest rates. The Index Methodology provides additional details about the assumptions and methodologies underlying the Milliman Hedge Cost Index.
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Hedge Cost Index March 2022
The expected hedge cost for a hypothetical GLWB block (see Index Methodology) is estimated to be 168 bps as of the end of March 2022, down 13 basis points from the previous month, driven by an increase in long-term interest rates.
Daren Lockwood, Xiaohong Mo, Adam Schenck