We examine the value of guaranteed lifetime withdrawal benefit (GLWB) options embedded in variable annuities in two different tax regimes. The New Zealand (NZ) system taxes investment income when it is earned, whereas the system in the United States defers taxes on annuity investment income until it is paid out. We examine the effects of these tax differences on the charges collected by the issuer as well as on the value of the contract to the policyholder. We find that the issuer’s charges are typically lower (higher) in the NZ tax regime when the expected fund earnings are low (high) or the fund volatility is high (low). On the other hand, the value to the policyholder is always lower in the NZ tax regime due to the earlier tax payments.We also find that the value of the GLWB in the NZ tax regime is nearly always below the value of an ordinary payout annuity with the same tax rules.