Case study LDTI Case Study

The Client

A mid-sized US-based life insurer providing traditional life and annuity products.

The Ask

Develop a LDTI prototype model and reporting process that can be replicated by internal resources for all business streams.

Project Breakdown

Discovery and Design Phase

Identify LDTI inventory in the prototype model, including:

  • Riders, non-forfeiture options and other guarantee features
  • Reinsurance
  • Alignment with ledger
  • Cohort structure

Review existing valuation and accounting configurations, including:

  • Processes for upstream modeling data and ledger inputs
  • Existing AXIS and DataLink configurations
  • Format and granularity of accounting entries used for historical actuals under LDTI

Map out end-state solution, including:

  • Optimal AXIS model configuration
  • Data warehousing plan
    • Where will data reside and who will own what?
  • How accounting data will feed valuation and vice versa

Define and coordinate processes and activities to manage project flow, including:

  • Identifying workstreams and developing a resourcing plan
  • Developing a detailed project plan
  • Developing project communication protocols

Development Phase

AXIS model development:

  • Reconfigure existing model to facilitate optimal legacy/LDTI reporting process
  • Co-develop AXIS enhancements with Moody’s to address unique characteristics of the client’s business
  • Facilitate reporting process automation with SQL query build-out
  • Customize AXIS reports for back-end reporting, analysis and validation

EnterpriseLink development:

  • Configure the US GAAP Data Manager (i.e. historical actuals)
  • Reconfigure E-Link jobs to include LDTI-specific processes

SQL Server development:

  • Co-develop front-end and back-end data requirements with IT
  • Develop data interfaces
  • Explore opportunities for data/model control automation

Validation Phase

Conduct LDTI impact analysis:

  • Monitor and assess transition impacts, including DPL/DAC/VOBA/reinsurance
  • Conduct LFPB roll-forward analysis

Implement waterfall validation to assess the impact of modeling system changes:

  • Conduct incremental walk from A to B
    • A. FAS60/FAS97 legacy reserve
    • B. LFPB under LDTI

Perform and document user acceptance testing:

  • Ensure end-to-end process is valid and appropriate for each use case
  • Confirm reporting is sufficient for regulators and management
  • Ensure reporting granularity is sufficient for analysis

Delivery Phase

Develop comprehensive model conversion document:

  • Deliver document providing all development and validation details for LDTI project

Update user guides and model documentation:

  • Create valuation process document that summarizes reporting processes and controls
  • Describe go-forward model development and testing protocols

Train staff and provide change management support:

  • Conduct formal and informal staff training
  • Provide on-demand Q&A support during LDI build-out for other legal entities


The project was completed on time, within our initial budget range and with positive feedback from the project’s model stewards, who noted that the exercise had expanded their understanding of the options available in AXIS. Results included the following:

  • Model reconfiguration reduced statutory reporting work effort by approximately 50%.
  • Automation of policy audits significantly reduced work effort of quarterly auditor requests.

In the process of addressing the unique needs of the client’s business, we also assisted Moody’s in improving their AXIS LDTI solution by co-developing and reviewing certain AXIS enhancements, including:

  • Enhancing reporting granularity above the cohort level
  • Improving policy movement table functionality, allowing for nonforfeiture behavior to be isolated
  • Developing roll-forward enhancements to further break out the “experience update” into various components (e.g. death, lapse, other)