This index is intended to track the weekly Cap and Participation Rate for a 1-year point-to-point S&P 500 crediting strategy that would be offered in a market-consistent Fixed Index Annuity (FIA). We calculate these rates using the standard Black-Scholes formula.
Black-Scholes Option Valuation Formula Parameters
Volatility – 12 month SPX implied volatility using 3rd party institutional data
Risk-free Rate – 12 month CME Term SOFR
Dividend Yield – Nasdaq Data Link
Assumed FIA Option Budget
Net Investment Earned Rate – Moody’s Baa Seasoned Corporate Bond Yield
Life insurer spread – 1%
| Cap Account | Par Rate Account | Cap Account | Par Rate Account | ||
| Date | Option Budget | 0% Floor | 0% Floor | -10% Floor | -10% Floor |
| 3/22/2023 | 4.64% | 8.56% | 50.10% | 15.48% | 78.30% |
| 3/15/2023 | 4.73% | 8.67% | 49.07% | 15.53% | 76.46% |
| 3/8/2023 | 4.77% | 8.79% | 52.59% | 15.50% | 79.69% |
| 3/1/2023 | 4.85% | 8.65% | 52.88% | 14.14% | 75.59% |
| 2/22/2023 | 4.78% | 8.69% | 50.83% | 15.23% | 77.71% |
| 2/15/2023 | 4.63% | 8.35% | 52.22% | 14.67% | 79.25% |
| 2/8/2023 | 4.46% | 7.96% | 49.80% | 14.11% | 76.90% |
| 2/1/2023 | 4.30% | 7.75% | 50.10% | 14.01% | 78.08% |
| 1/25/2023 | 4.42% | 8.15% | 50.83% | 15.09% | 79.98% |
| 1/18/2023 | 4.38% | 8.11% | 46.73% | 15.23% | 75.88% |
| 1/11/2023 | 4.63% | 8.91% | 48.56% | 16.80% | 77.71% |
| 1/4/2023 | 4.76% | 9.30% | 47.24% | 17.72% | 76.39% |
| 12/28/2022 | 4.89% | 9.64% | 46.80% | 18.21% | 75.44% |
| 12/21/2022 | 4.69% | 9.06% | 45.56% | 17.09% | 74.12% |
| 12/14/2022 | 4.44% | 8.33% | 43.58% | 15.63% | 71.70% |
| 12/7/2022 | 4.37% | 8.25% | 41.67% | 15.65% | 69.29% |
| 11/30/2022 | 4.74% | 9.08% | 45.34% | 16.85% | 72.95% |
| 11/23/2022 | 4.73% | 9.16% | 46.14% | 17.14% | 74.41% |
| 11/16/2022 | 4.91% | 9.69% | 46.58% | 18.21% | 74.85% |
| 11/9/2022 | 5.45% | 11.30% | 48.85% | 21.26% | 77.27% |
| 11/2/2022 | 5.29% | 10.79% | 47.83% | 20.51% | 76.61% |
| 10/26/2022 | 5.37% | 11.16% | 48.19% | 21.00% | 76.71% |
| 10/19/2022 | 5.39% | 11.23% | 47.31% | 21.24% | 75.51% |
| 10/12/2022 | 5.18% | 10.69% | 45.19% | 20.41% | 73.54% |
| 10/5/2022 | 4.89% | 9.77% | 45.26% | 18.90% | 74.56% |
| 9/28/2022 | 4.97% | 9.96% | 45.12% | 18.95% | 73.68% |
| 9/21/2022 | 4.63% | 9.18% | 43.21% | 17.97% | 72.66% |
| 9/14/2022 | 4.56% | 8.91% | 45.73% | 17.38% | 73.39% |
| 9/7/2022 | 4.51% | 8.89% | 45.12% | 17.75% | 76.25% |
| 8/31/2022 | 4.33% | 8.28% | 42.86% | 16.45% | 73.10% |
| 8/24/2022 | 4.34% | 8.38% | 44.85% | 16.63% | 75.91% |
| 8/17/2022 | 4.13% | 7.91% | 44.00% | 15.93% | 75.28% |
| 8/10/2022 | 4.07% | 7.94% | 42.83% | 16.26% | 75.63% |
| 8/3/2022 | 4.20% | 8.27% | 44.72% | 17.22% | 75.21% |
| 7/27/2022 | 4.08% | 7.84% | 42.76% | 16.05% | 75.2% |
| 7/20/2022 | 4.24% | 8.40% | 42.76% | 17.21% | 75.2% |
| 7/13/2022 | 4.23% | 8.28% | 42.05% | 17.30% | 73.7% |
| 7/6/2022 | 4.32% | 8.66% | 43.18% | 18.38% | 77.1% |
| 6/29/2022 | 4.34% | 8.73% | 42.47% | 18.48% | 75.5% |
| 6/22/2022 | 4.33% | 8.75% | 42.83% | 17.99% | 75.6% |
| 6/15/2022 | 4.43% | 8.75% | 42.83% | 17.99% | 75.6% |
