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Old 09-12-2019, 02:41 PM
sixt8 berd's Avatar
sixt8 berd sixt8 berd is offline
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Default LTD Statutory Interest Rates

Does anyone have the official link to the Moody's index used for the maximum Statutory interest rate?

I'm trying to determine what the maximum statutory interest rates are for 2018 and 2019 LTD incurrals. The valuation manual says:

I = .02 + .8 * (R - .03)
Where R is the average, over a period of 12 months, ending June 30 of the calendar year of the claim incurral date, of the monthly average of the composite yield on seasoned corporate bonds, as published by Moody’s Investors Service, Inc. and the results rounded to the nearer one-quarter of 1%).

I found an NAIC link which only shows a 2019 R value (3.75%) making the 2019 max rate 2.6%. (https://www.naic.org/research_moody.htm) However, I can't find a moody's index that agrees with the 3.75%. I tried https://fred.stlouisfed.org/series/AAA and https://fred.stlouisfed.org/series/WBAA. Any ideas?
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Old 09-13-2019, 09:50 AM
echo echo is offline
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I could be wrong, but I don't think the historical R values are published anywhere and the Moodys site just gives you the last 2 monthly values. My understanding is you would need to keep track of the monthly values to compute the average annual R value used in the calculation. Having said that, various consulting firms publish historical valuation rates and you can find them with a google search.

If you haven't already, read this. Q20 on pages 15-16 specifically talks about the valuation interest rate. https://www.actuary.org/sites/defaul...DPN_031218.pdf

PS. This thread may be useful for historical R values.
http://www.actuarialoutpost.com/actu...d.php?t=102583
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Old 09-13-2019, 10:43 AM
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Great, thanks for the outpost link, that is what I needed.
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