Posted on by Arthur da Silva

Life Library Update 2025.05: Beta release of Variable Annuity, Combined Fixed/Indexed Annuity products

This release introduces beta versions of two new products: a Variable Annuity product (includes RILA support) and a combined Fixed/Indexed Annuity product. Additionally, updates include updated Life & Annuity US Stat/Tax Interest Rates, clean up and fixes to asset product calculations, and more.

Variable Annuity product beta release

A new product within the Life Library has been released under beta status which covers Variable Annuities and Registered Indexed Linked Annuities (RILAs). This product offers the following:

  • Tracking of multiple investment accounts and tracking of individual deposits within each investment account
  • Support for GMAB, GMDB and GMWB/GLWB riders
  • Deposit level cashflows and guarantees
  • Fixed account components
  • Deposit specific assumptions and parameters (e.g. partial withdrawal rates, market value adjustments, and surrender charges)
  • Tracking of potential GMWB election dates through the projection, including the use of different lapse rate assumptions for each potential election path

Note that the beta status means features have not yet been fully tested and the models may produce erroneous results in some instances. If you find any issues, please report them to us at support@slopesoftware.com

Combined Fixed/Indexed Annuity product beta release

A new product within the Life Library has been released under beta status which covers a combined product for all Fixed and Indexed annuities. This product is intended to replace the Fixed Annuity and Indexed Annuity products currently in our library. The two legacy products will be sunset sometime (timeframe TBD) after the combined Fixed/Indexed Annuity product is moved out of beta status.

This combined Fixed/Indexed Annuity products offers many new features, including:

  • Easier management of policies with both fixed and indexed components
  • Support for GMAB, GMDB and GMWB/GLWB riders
  • Deposit level tracking of cashflows and guarantees
  • Deposit specific assumptions and parameters (e.g. partial withdrawal rates, market value adjustments, and surrender charges)
  • Tracking of potential GMWB election dates through the projection, including the use of different lapse rate assumptions for each potential election path

Like with the Variable Annuity product, this product is in beta status. If you find any issues, please report them to us at support@slopesoftware.com.

New Workbook

A new workbook has been created to analyze results from the Fixed/Indexed Annuity product. It covers the following:

  • Single policy projected cash flows and policy counts
  • Projected account value rollforward
  • Projected account value for each investment account and deposit
  • GMWB details including projected GMWB elections and details for each projected election date
  • US STAT CARVM reserve details for AG33 and AG35, including inner loop calculations for each timestep of the projection
  • US GAAP ASC 815 (formerly FAS 133) details

Asset Clean Up

Fixes

  • Updated Realized Book Value used in the Realized Gain/Loss for Non-Callable bonds to default to Book Value instead of US STAT reported value to resolve errors that occur when US STAT results are not calculated.
  • Resolved inconsistencies with Default Rate Annual and Default Rate Monthly formulas across asset products by setting their properties to:
    • Output = True
    • Always Calculate = False
  • Fixed Initial Asset Scaling variables in 4 asset products (Asset Backed Security, Collateralized Loan Obligation, Mortgage Backed Security, Stock Option):
    • Set the variable to equal 1 (i.e. do not scale) for reinvestment assets
    • Set Model Point Aggregation Method to None (from First Value) to prevent unnecessary aggregation of this variable
  • Corrected the Default Rate Monthly in the Collateralized Loan Obligation product to properly reflect a conversion from an annual to monthly default rate
  • Removed outdated and irrelevant references in the documentation for Default Rate Annual and Monthly variables that have not applied for quite some time.

Changes

  • Replaced references in the asset products to the product instance name system variable with a new Product Definition Name variable to resolve errors that occur when the product instance name is modified on a projection. This new variable references a new Asset Product Definition Names array whose values correspond to product definition names in the Slope Life Library. 
  • Updated Initial Asset Scaling formulas to reference new Asset Product Definition Names array and to be consistent across all asset products
  • Added more flexibility to management of Default Rate assumptions such that you can now specify separate default tables for each asset product rather than use a single table with an asset product index column. Changes related to this include:
    • Added records in the Standard Assumptions table of the Asset Assumptions table structure to split out each assumption by the Asset Product Name index column rather than use a default across all products.
    • Added a Default Rates Table data table column in the same table as the previous bullet and assigned tables corresponding to the library assumption for each asset type (default rate assumption remains unchanged from before)
    • Default rate product variables in each asset now reference this nested table structure via a new Default Rate Table data table variable 

Other Changes

Fixes

  • Fixed the Indexed Annuity option cost calculations in both the combined Fixed/Indexed Annuity product and the legacy Indexed Annuity product. The fix moves the participation rate outside of the brackets to apply to both the base and cap option costs and not just to the base option. Three variables are affected in each product, found by searching for “option cost”.

Changes

  • Added Life & Annuity US Stat and Tax Interest Rates for 2024 (Life, Annuities, SPIA) and for 2025 (Life) in table structures
    • US STAT Valuation Rates – Life
    • US STAT Valuation Rates – Annuity
    • US STAT Valuation Rates – SPIA
  • Renamed the array options in Indexed Annuity US STAT Valuation Method from AG33 to AG33/AG35 with the release of the combined Fixed/Indexed Annuity product. In that product, one of AG33 (for Fixed) or AG35 (for Indexed) is applied based on the investment account type being valued. In the future, this array name will be renamed to Fixed/Indexed Annuity US STAT Valuation Method for clarity.

Coming Soon

  • Projection result comparison workbook
  • Other asset-related updates
  • Pension Risk Transfer library model