This release contains updates to the beta versions of the Variable Annuity product and combined Fixed/Indexed Annuity product in addition to various LDTI fixes.

Variable Annuity beta product updates

Fixes

• Corrected product variable Base Policies Inforce containing a duplicate reference to Base Policies Deceased to point to Base Policies Lapsed instead
• Fixed an issue where Investment Account Policy Charges was potentially double counting guarantee fees in the Account Value rollforward and added a check to limit the investment account charges to be capped at the total policy-level account value
• Corrected logic of conversion of annuitization rates from annual to monthly
• Fixed an issue with Gross Premium Per Policy to calculate appropriate amount at time index 0 and certain edge case policies where premium payment falls on time index 1
• Fixed an infinite loop issue related to product variable Guarantee Base Roll-up that occurred at time of issue in some instances where the account value variable was referenced by guarantee fees which also affected the account value.
• Fixed an issue in the GMxB Value variables that produced errors in dynamic HPM runs in cases where the AV went to zero prior to policy termination. These variables now always reference the end of the guarantee period.
• Corrected a couple of product variables that should be referencing decremented guarantee fees rather than undecremented.
• Corrected an issue with variables Guarantee Fees at Projection Period End that produced errors in HPM runs in certain circumstances
• Fixed an issue where GMWB election paths were starting before the start of the GMWB eligibility period
• US GAAP / LDTI related fixes:
  • Updated a couple of US GAAP LDTI variables based on current discount rates to have Force Recalculation turned on to be consistent with current model design.
  • Corrected reference to US GAAP MRB PV Fees in the US GAAP Market Risk Benefits variable
  • Fixed the US GAAP Market Risk Benefits variable to calculate after time of issue by setting it to Always Calculate
  • US GAAP LDTI DAC now calculates correctly for policies issued after projection start date
  • Adjusted US GAAP FAS 133 references from best estimate to US GAAP version of the guaranteed surrender value (i.e. new variable US GAAP Non-Forfeiture Surrender Value) to be used separately for FAS 133 calculations in order to exclude future premiums, consistent with the rest of the FAS 133 calculations
  • Modified US GAAP Investment Contract calculations to be done at policy level rather than investment account level in alignment with US GAAP requirements
  • Added missing US GAAP tags to a couple of US GAAP variables

Enhancements / Changes

• Added US GAAP LDTI Market Risk Benefit (MRB) logic
• Removed unused product variable GMWB Election Rate Cumulative

Combined Fixed/Indexed Annuity beta product updates

Fixes

• Corrected product variable Base Policies Inforce containing a duplicate reference to Base Policies Deceased to point to Base Policies Lapsed instead
• Fixed an issue where Investment Account Policy Charges was potentially double counting guarantee fees in the Account Value rollforward and added a check to limit the investment account charges to be capped at the total policy-level account value
• Corrected logic of conversion of annuitization rates from annual to monthly
• Fixed an issue with Gross Premium Per Policy to calculate the appropriate amount at time index 0 and certain edge case policies where premium payment falls on time index 1
• Fixed an infinite loop issue related to product variable Guarantee Base Roll-up that occurred at time of issue in some instances where the account value variable was referenced by guarantee fees which also affected the account value.
• Fixed an issue in the GMxB Value variables that produced errors in dynamic HPM runs in cases where the AV went to zero prior to policy termination. These variables now always reference the end of the guarantee period.
• Corrected an issue with variables GMxB Value at Projection Period End and Guarantee Fees at Projection Period End that produced errors in HPM runs in certain circumstances
• Fixed an issue where GMWB election paths were starting before the start of the GMWB eligibility period
• Fixed an issue where GMWB Payment At Risk never went above zero as a result of GMWB Account Value at Time of Election always being floored at zero
• US GAAP / LDTI related fixes:
  • Updated a couple of US GAAP LDTI variables based on current discount rates to have Force Recalculation turned on to be consistent with current model design.
  • Corrected reference to US GAAP MRB PV Fees in the US GAAP Market Risk Benefits variable
  • Fixed the US GAAP Market Risk Benefits variable to calculate after time of issue by setting it to Always Calculate
  • Adjusted US GAAP FAS 133 references from best estimate to US GAAP version of the guaranteed surrender value (i.e. new variable US GAAP Non-Forfeiture Surrender Value) to be used separately for FAS 133 calculations in order to exclude future premiums, consistent with the rest of the FAS 133 calculations

Enhancements / Changes

• Modified US GAAP FAS 133 rollforwards to be done at investment account level instead of policy level
• US GAAP LDTI embedded derivative rollforward is now investment account-specific
• Removed unused product variable GMWB Election Rate Cumulative

General Updates

Fixes

• Changed index method on Effective Date column of US STAT Nonforfeiture Rates table in table structure US STAT Annuity Nonforfeiture Rates from Exact Match to Range Lower Bound
• Add fallback pro-rata step to library example investment strategies that did not have one to prevent errors when the prior step could not buy/sell all assets to achieve the step’s targets
• US GAAP LDTI net premium ratios now calculates correctly for future issues (i.e. when the issue date occurs after the projection start date)
• US GAAP LDTI rollforward period now works for future issues
• US GAAP LDTI DAC now calculates correctly for future issues
• US GAAP LDTI DAC now appropriately calls the Grouped method when selected

Enhancements / Changes

• Added an option to toggle the inclusion/exclusion of future premiums for LDTI calculations
• Made the 30 day yield curve point in the Economic Scenario Structure optional to make switching between the AIRG and other scenario tables easier due to their differences in yield curve points

Coming Soon

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