Individual Results - ProVal 319

Individual Results are record-by-record results saved to a ProVal database during execution of the Gain/Loss Analysis command.

Check the Save Individual Results box to save results, on a record-by-record basis, to a ProVal database file.

Select the Database file name, the name of the file in which you wish to store the individual record results of the gain/loss analysis, or click the New button to create a new database file in which to store the output. Note that you cannot save the results directly into any of the census database files used by the beginning of period or end of period Valuations, although you can merge results afterwards by using the Merge Data command of the Database menu.

Check the Delete all existing records before processing box if the selected Individual Results database file already contains records and you wish to "wipe the slate clean" without preserving existing records or database field values. Otherwise, the gain/loss results will be merged into the existing records, using the key field(s) specified in the Basic Parameters topic.

The Gain/loss results parameter presents the list of fields to be saved to the selected database, along with the key field(s) specified under the Basic Parameters topic. Double-click an item’s row, or select an item and click the Edit button, to edit its Field name. For new fields: furnish a Description, format the field, and provide a column title for viewing the field values in the Individual Results database. The available Individual Results output variables include gain / (loss) amounts and explanatory values, such as assumed and actual decrements, mortality and benefit payments. The beginning of period liability and normal cost, expected end of period liability and actual end of period liability are also provided as Individual Results output when an immediate gain liability method is used. For gain/loss analysis over periods greater than 1 year, the results span the entire period. For example, inactive mortality is the probability of dying during the period, such as q(x) + [p(x) * q(x+1)] for a two year period.

Decrements and Mortality

The actual active decrement fields, zDret, zDtrm, zDdth, and zDdis, can be summed to match the decrementing active headcount in the gain/loss status reconciliation. They can also be compared with the assumed decrement fields zQret, zQtrm, zQdth, and zQdis. Where there are differences, there will be a corresponding gain/(loss) for active decrements. Note however, that zDret includes actives who retired even if they were not eligible to retire during the period, whereas zQret does not (these participants are included in zQtrm). Similarly, zDtrm includes actives who terminated even if they were eligible to retire during the period, whereas zQtrm does not (these participants are included in zQret).

Values of the actual inactive member mortality field, zDx, can be summed to match the inactive member death head count in the gain/loss status reconciliation. Similarly, the values in the actual inactive spouse mortality field, zDy, can be summed to get the inactive spouse death head count (but a corresponding value is not shown in the gain/loss status reconciliation). Values of the actual mortality fields, zDx and zDy, can be compared also with values in the assumed mortality fields, zQx and zQy. Where there are differences, there will be a corresponding gain/(loss) for inactive mortality.

Benefit payments

If actual benefit payments are entered in total in the Assets and Expenses topic (as opposed to specified by using a field or expected benefit payments), the following fields will be set to blank (missing value):

zGL_BenPay, which is the gain/(loss) for benefit payments;
zGL_TotGainLoss, which is the gain/(loss) in total, except for system changes;
ziB, which is the benefit payments with interest, actual; and
zAL1_exp, which is the expected end of period liability.

After saving gain/loss individual results, you can take the following steps to allocate the total benefit payments to each participant and fill in the blanks for the fields above:

Note the value of the total actual benefit payments with interest, as entered in the Asset and Expenses topic, for example, $1,000,000.
Use Descriptive Statistics to sum the values in the expected benefit payment field, ziEB. For example, the sum might be $2,000,000.
Use Define Field by Expression to compute the value of the actual benefit payments field, ziB, as (Actual benefit payments in total) * (Expected benefit payments field by individual) / (Expected benefit payments in total). For example:

$1,000,000 * ziEB / $2,000,000.

Use Define Field by Expression to compute the value of the “gain/(loss) for benefit payments” field, zGL_BenPay, as expected benefit payments minus actual benefit payments, with interest. For example:

ziEB – ziB.

Use Define Field by Expression to compute the value of the total gain/(loss) field, zGL_TotGainLoss, as the sum of values in all of the gain/loss fields. For example:

zGL_DataCorrect + zGL_ActDecRet + … + zGL_BenPay.

Use Define Field by Expression to compute the value of the expected end of period liability, zAL1_ exp, as the sum of the actual end of period liability and the total gain/loss. For example:

zAL1 + zGL_TotGainLoss.

Status transitions

zGL_StatusTransition is a coded field which indicates the status transition from beginning to end of period. If data corrections are valued, the beginning of period status will reflect the status on the corrected database. The status transitions correspond to the buckets listed under “6. Unreconciled amounts, by status transition” on the Liability gain/(loss) by source exhibit. For example, a participant with an unreconciled amount under “Retired to Retired” would have a “Retired to Retired” status transition. Two additional status transitions exist in this coded field which do not generate unreconciled amounts: Non-Participating to Active (which generates a liability under 5. New Entrants); and Non-Participating to Non-Participating (which generates no liability).

Cases Where Individual Gain/Loss Results May Differ from Aggregate Gain/Loss Results

Certain sets of assumptions may result in an expected liability that is different from the liability generated by a traditional roll forward. In other words, an expected gain or loss would occur even if all assumptions had been met. Examples include:

differing pre-decrement and post-decrement interest rates, in which case ProVal will use the pre-decrement interest rate to determine expected liability;
custom U.S. PIA operators that override salaries before decrement by projecting backwards from valuation date at a level rate;
U.S. PPA assumptions that reflect new accrual rates during the valuation year in PUC and UC liabilities.

In these cases, when the aggregate total gain/loss is broken down into categories, the amount in the “active decrements – retirement” category will include both the gain/loss due to retirement and the gain/loss due to inherent changes in between the beginning of the period and the end of the period (such as the ones described above). For example, in the case of differing pre-decrement and post-decrement interest rates, in order to determine the total gain/loss, ProVal rolls forward the expected liability and normal cost, in aggregate, using the pre-decrement interest rate. However, if all assumptions have been met, a portion of each participant’s liability will have increased over the period at the pre-decrement interest rate and a portion at the post-decrement interest rate. There is thus a difference between the expected end of period liability calculated in aggregate and the liability actually expected at the end of the period on an individual basis, if all assumptions have been met. This additional inherent gain/loss is included in the retirement decrement.

When individual results are run, for purposes of determining both the gain/loss in the retirement category on an individual basis (zGL_ActDecRet) and the total gain/loss (zGL_TotGainLoss), the expected end of period liability is calculated on an individual basis and takes into account whether the pre-decrement interest rate, post-decrement interest rate or both should apply. Therefore, the additional gain/loss due to inherent changes is excluded. As a result, the individual results for these two categories will differ from the aggregate results for these two categories.