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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 Black-Scholes with the following parameters calculated on the specified date:

  1. Implied volatility using 3rd party institutional data
  2. 12 month LIBOR as a proxy for the Risk Free Rate
  3. A hypothetical insurer new money option budget equal to:
    1. 70% of the current Moody’s Aaa yield plus
    2. 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.

DateOption BudgetMarket Index CapMarket Index Par Rate10% Cap Price
9/8/20212.76%5.2%41%4.6%
9/1/20212.75%5.2%42%4.6%
8/25/20212.79%5.3%43%4.6%
8/18/20212.74%5.2%40%4.7%
8/11/20212.86%5.5%45%4.5%
8/4/20212.69%5.2%41%4.5%
7/28/20212.73%5.3%42%4.5%
7/21/20212.80%5.3%43%4.5%
7/14/20212.82%5.5%44%4.5%
7/7/20212.77%5.4%44%4.4%
6/30/20212.86%5.6%46%4.4%
6/23/20212.92%5.6%47%4.5%
6/16/20213.00%5.8%47%4.5%
6/9/20213.01%6.0%46%4.5%
6/2/20213.13%6.3%49%4.4%
5/26/20213.09%6.2%48%4.5%
5/19/20213.24%6.4%46%4.6%
5/12/20213.27%6.4%44%4.7%
5/5/20213.09%6.4%47%4.4%
4/28/20213.13%6.4%48%4.4%
4/21/20213.12%6.4%48%4.3%
4/14/20213.12%6.5%47%4.3%
4/7/20213.16%6.5%49%4.3%
3/31/20213.26%6.5%49%4.5%
3/24/20213.24%6.4%44%4.7%
3/17/20213.38%6.8%46%4.6%
3/10/20213.20%6.4%42%4.6%
3/3/20213.14%6.1%39%4.8%
2/24/20213.08%6.0%39%4.7%
2/17/20212.89%5.5%36%4.8%
2/10/20212.80%5.3%35%4.8%
2/3/20212.84%5.4%35%4.8%
1/27/20212.65%5.0%30%4.9%
1/20/20212.68%5.0%36%4.8%
1/13/20212.68%5.1%36%4.7%
1/6/20212.65%5.0%34%4.8%
12/30/20202.49%4.6%33%4.8%
12/23/20202.56%4.8%34%4.8%
12/16/20202.54%4.7%34%4.8%
12/9/20202.56%4.9%35%4.7%
12/2/20202.53%4.8%34%4.6%
11/25/20202.54%5.0%34%4.6%
11/18/20202.56%5.0%33%4.6%
11/11/20202.72%5.2%36%4.7%
11/4/20202.61%5.0%32%4.7%
10/28/20202.65%5.0%28%4.8%
10/21/20202.72%5.2%33%4.8%
10/14/20202.60%5.0%32%4.7%
10/7/20202.72%5.3%31%4.7%
9/30/20202.66%5.2%30%4.8%
9/23/20202.63%4.9%29%4.9%
9/16/20202.63%5.0%31%4.7%
9/9/20202.69%5.1%31%4.8%
9/2/20202.57%4.9%30%4.8%
8/26/20202.69%5.0%34%4.8%
8/20/20202.63%4.9%32%4.8%
8/12/20202.49%4.6%31%4.8%
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%
1/8/20203.27%6.2%55%4.6%
1/2/20203.30%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%4.6%
5/16/20193.97%7.8%64%4.8%
5/1/20193.99%7.7%67%4.7%
4/18/20194.03%7.8%67%4.6%
4/12/20193.96%7.8%63%4.6%
3/27/20193.98%7.6%63%4.7%
3/20/20194.14%8.5%68%4.7%
3/13/20194.12%8.2%66%4.7%
3/7/20194.18%8.2%64%4.8%
2/27/20194.11%8.2%65%4.7%
2/15/20194.13%8.3%61%4.6%
1/30/20194.22%8.9%62%4.8%
1/23/20194.32%8.9%61%4.8%
1/16/20194.35%8.8%61%4.7%
1/2/20194.36%9.2%55%4.6%
12/12/20184.35%9.2%56%4.7%
11/14/20184.51%9.3%61%4.9%
10/17/20184.41%9.5%68%4.8%
9/12/20184.22%9.1%71%4.6%
8/15/20184.14%9.0%69%4.7%
7/18/20184.13%9.3%71%4.6%
6/13/20184.24%9.3%72%4.6%
5/16/20184.31%9.4%73%4.6%
4/18/20184.06%8.6%64%4.7%
3/14/20184.08%8.5%63%4.7%
2/14/20184.09%8.9%63%4.6%
1/17/20183.72%8.7%71%4.2%
12/13/20173.69%8.2%71%4.3%
11/15/20173.80%8.2%68%4.4%
10/18/20173.79%8.9%75%4.2%
9/13/20173.87%9.2%73%4.2%
8/16/20173.84%9.1%75%4.2%
7/12/20173.93%9.4%75%4.2%
6/14/20173.86%9.0%72%4.2%
5/17/20173.98%9.1%69%4.3%
4/12/20174.06%9.8%73%4.3%
3/15/20174.26%10.4%76%4.3%
2/15/20174.22%10.5%77%4.2%
1/18/20174.13%9.5%70%4.4%
12/14/20164.31%10.2%70%4.4%
11/16/20164.13%9.3%66%4.5%
10/12/20163.77%7.7%59%4.6%
9/14/20163.77%7.6%55%4.7%
8/17/20163.59%7.4%58%4.5%
7/13/20163.52%7.6%59%4.4%
6/15/20163.75%7.4%53%4.7%
5/18/20164.02%8.4%60%4.6%
4/13/20163.95%8.3%63%4.6%
3/16/20164.22%9.0%64%4.6%
2/17/20164.46%9.4%57%4.7%
1/13/20164.33%9.2%56%4.7%
12/16/20154.46%9.9%68%4.5%
11/18/20154.50%10.4%70%4.4%
10/14/20154.32%9.6%63%4.5%
9/16/20154.56%10.3%65%4.5%
8/12/20154.33%10.4%75%4.3%
7/15/20154.52%12.0%81%4.2%
6/17/20154.43%10.8%75%4.3%
5/13/20154.33%10.2%72%4.3%
4/15/20153.77%8.4%65%4.3%
3/18/20153.86%8.8%67%4.3%
2/18/20153.99%9.2%67%4.3%
1/14/20153.75%8.2%57%4.4%
12/17/20144.05%9.3%61%4.3%
11/12/20144.21%10.9%75%4.1%
10/15/20144.02%8.8%57%4.4%
9/17/20144.43%12.4%83%4.0%
8/13/20144.30%11.1%76%4.1%
7/16/20144.34%12.9%87%3.9%
6/18/20144.42%14.5%88%3.8%
5/14/20144.31%12.6%82%3.9%
4/16/20144.39%11.9%81%4.0%
3/19/20144.66%13.7%84%4.0%
2/19/20144.69%14.0%84%4.0%
1/15/20144.72%15.5%89%3.9%
12/18/20134.86%14.6%87%4.0%
11/13/20134.90%14.6%85%4.0%
10/16/20134.80%13.7%83%4.0%
9/18/20134.87%14.6%86%4.0%
8/14/20134.80%13.8%84%4.0%
7/17/20134.58%12.9%78%4.0%
6/19/20134.57%11.6%73%4.1%
5/15/20134.18%11.7%72%3.9%
4/17/20133.94%9.7%64%4.1%
3/13/20134.25%12.0%76%4.0%
2/13/20134.23%11.3%74%4.0%
1/16/20134.02%9.4%63%4.2%
12/19/20124.03%9.3%59%4.2%
11/14/20123.75%8.2%51%4.3%
10/17/20123.87%8.9%58%4.3%
9/19/20123.94%8.7%56%4.4%
8/15/20124.07%8.8%52%4.5%
7/18/20123.80%7.9%50%4.5%
6/13/20124.07%8.2%44%4.9%
5/16/20124.11%8.7%48%4.7%
4/18/20124.28%9.1%55%4.6%
3/14/20124.51%9.6%59%4.6%
2/15/20124.20%8.8%50%4.7%
1/18/20124.20%8.8%49%4.7%
12/14/20114.26%8.6%41%4.8%
11/16/20114.29%8.6%40%4.9%
10/19/20114.40%9.1%41%4.8%
9/14/20114.50%9.4%43%4.7%
8/17/20114.64%10.0%52%4.7%
7/13/20115.11%12.3%68%4.4%
6/15/20115.19%12.7%69%4.4%
5/18/20115.18%12.9%73%4.4%
4/13/20115.43%13.5%74%4.5%
3/16/20115.29%12.3%62%4.6%
2/16/20115.53%16.0%85%4.2%
1/19/20115.34%13.7%72%4.4%
12/15/20105.50%14.0%72%4.4%
11/17/20105.29%12.6%61%4.5%
10/13/20104.97%11.2%56%4.6%
9/15/20104.94%10.8%54%4.7%
8/18/20104.78%10.2%48%4.7%
7/14/20105.16%11.1%51%4.8%
6/16/20105.37%11.7%56%4.8%
5/19/20105.22%11.6%49%4.7%
4/14/20105.60%14.9%77%4.3%
3/17/20105.48%14.5%76%4.3%
2/17/20105.76%15.2%71%4.4%
1/13/20105.61%14.7%74%4.3%
12/16/20095.62%13.7%63%4.4%
11/18/20095.52%13.2%60%4.5%
10/14/20095.59%13.6%61%4.4%
9/16/20095.54%13.1%59%4.5%
8/19/20095.61%13.1%56%4.5%
7/15/20096.04%14.0%58%4.6%
6/17/20096.12%14.2%55%4.6%
5/13/20096.18%14.7%52%4.5%
4/15/20096.21%14.8%45%4.5%
3/18/20096.37%15.1%47%4.5%
2/18/20096.02%13.4%41%4.7%
1/14/20095.76%12.9%38%4.6%
12/17/20085.92%13.5%37%4.6%
11/12/20087.16%15.9%43%4.8%
10/15/20087.12%16.0%48%4.8%
9/17/20086.08%13.8%56%4.7%
8/13/20086.15%14.2%67%4.7%
7/16/20086.15%14.0%65%4.7%
6/18/20086.12%13.6%65%4.8%
5/14/20086.02%14.6%73%4.7%
4/16/20086.11%14.7%69%4.6%
3/12/20085.91%13.4%60%4.7%
2/13/20085.91%13.4%63%4.7%
1/16/20085.66%12.6%59%4.8%
12/12/20075.86%12.4%61%5.0%
11/14/20075.80%12.1%57%5.0%
10/17/20075.91%12.8%66%5.0%
9/12/20075.92%12.4%63%5.1%
8/15/20076.14%13.0%62%5.1%
7/18/20075.98%13.3%74%5.0%
6/13/20076.15%14.6%84%4.9%
5/16/20075.73%12.7%82%4.9%
4/18/20075.69%13.2%85%4.9%
3/14/20075.57%12.5%78%4.9%
2/14/20075.67%14.9%87%4.8%
1/17/20075.71%13.7%85%4.9%

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