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Considerations for LIBOR transition and U.S. Variable Annuity Guarantee Valuations

By Ram Kelkar and Poojan Shah

04 January 2021

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Considerations for LIBOR transition and U.S. Annuity Valuations

There are significant implications of the impending discontinuation of LIBOR and transition to SOFR for U.S. annuity liability valuations.

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This paper discusses risk-free curve selection and setting of the discounting spread (over the risk-free rate) for variable annuity fair valuation.

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About the Author(s)

Ram Kelkar

Chicago Tel: 1 312 7260677

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Poojan Shah

Chicago Tel: 1 312 5772853

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