IUL Benchmark Index

This index is intended to track the weekly Cap and Participation Rate for a 1-year, point-to-point S&P 500 indexed crediting strategy that would be offered in a market-priced Indexed UL product using the following parameters calculated on the specified date:

  1. Actual market option prices on the S&P 500, calculated as the average of the bid and ask for each strike to determine implied volatility.
  2. The floor option (0%) is priced using the nearest to the money option and, if directly in between, both strikes on either side of the spot price are used. The cap option is priced using the nearest strike, rounding up.
  3. 1-year LIBOR as a proxy for the Risk Free Rate
  4. Black-Scholes formula used to precisely fit option costs to a 1 year crediting segment at exact strike prices for the cap
  5. A hypothetical insurer option budget equal to 70% of the current Moody’s Aaa yield and 30% of the current Moody’s Baa yield

While no methodology can perfectly reflect the many factors that play into each carrier’s decision about how to set caps and participation rates, this index can serve as a check on what is “fair” in today’s market.

The cap below assumes a 100% participation rate. The participation rate below assumes no cap.

DateOption BudgetMarket Index CapMarket Index Par Rate10% Cap Price
8/5/20202.36%4.3%29%4.9%
7/29/20202.37%4.3%28%4.9%
7/22/20202.43%4.4%30%5.0%
7/15/20202.51%4.6%29%5.0%
7/9/20202.60%4.8%30%5.0%
7/2/20202.75%5.0%31%5.0%
6/24/20202.78%5.1%30%5.0%
6/18/20202.78%5.1%29%5.0%
6/11/20202.82%5.2%34%4.9%
6/4/20202.82%5.3%33%4.9%
5/27/20202.82%5.2%32%5.0%
5/20/20202.91%5.4%32%5.0%
5/13/20203.09%5.8%28%5.1%
5/6/20203.04%5.8%28%5.0%
4/29/20202.83%5.3%30%5.0%
4/22/20202.83%5.4%25%5.0%
4/16/20202.78%5.3%26%4.9%
4/9/20203.15%6.1%30%4.9%
4/2/20203.30%6.5%26%4.9%
3/25/20203.84%8.0%34%4.7%
3/18/20203.73%7.0%23%5.2%
3/12/20203.01%5.9%24%4.9%
3/4/20202.89%5.3%42%4.8%
2/26/20202.96%5.4%43%4.8%
2/20/20203.01%5.8%52%4.5%
2/5/20203.11%5.9%54%4.5%
1/29/20203.12%5.8%53%4.7%
1/23/20203.17%5.9%55%4.6%
1/16/20203.22%6.1%56%4.5%
01/08/20203.27%6.2%55%4.6%
01/02/20203.30%6.2%55%4.6%
12/18/20193.28%6.1%54%4.7%
12/13/20193.23%6.0%52%4.7%
12/3/20193.30%5.9%50%4.9%
11/27/20193.26%6.0%53%4.7%
11/20/20193.34%6.2%53%4.7%
11/13/20193.40%6.4%53%4.7%
10/31/20193.35%6.2%54%4.6%
10/24/20193.30%6.1%52%4.7%
10/16/20193.34%6.2%52%4.8%
10/9/20193.20%5.8%46%5.0%
10/2/20193.24%6.0%46%4.9%
9/24/20193.28%6.0%48%4.9%
9/4/20193.13%5.9%47%4.7%
8/27/20193.17%5.9%45%4.8%
8/21/20193.18%6.0%49%4.7%
8/14/20193.28%6.3%48%4.7%
8/8/20193.40%6.7%54%4.6%
7/25/20193.61%7.0%62%4.5%
7/9/20193.55%6.9%61%4.5%
7/3/20193.54%6.9%63%4.5%
6/26/20193.62%7.2%59%4.6%
6/20/20193.72%7.7%64%4.4%
6/12/20193.80%7.6%61%4.6%
6/5/20193.83%7.6%61% 
5/16/20193.97%7.8%64% 
5/1/20193.99%7.7%67% 
4/18/20194.03%7.8%67% 
4/12/20193.96%7.8%63% 
3/27/20193.98%7.6%63% 
3/20/20194.14%8.5%68% 
3/13/20194.12%8.2%66% 
3/7/20194.18%8.2%64% 
2/27/20194.11%8.2%65% 
2/15/20194.13%8.3%61% 
1/30/20194.22%8.9%62% 
1/23/20194.32%8.9%61% 
1/16/20194.35%8.8%61% 
1/2/20194.36%9.2%55% 
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