Long-Duration Target Improvements


Long-Duration Target Improvements (LDTI) is a challenging GAAP regulation which will add new reporting requirements to U.S. life and annuity products in 2025. Conning’s GEMS® Economic Scenario Generator (GEMS®) is ready to help with a major piece of this change: market-related benefits (MRBs). With its risk-neutral capability, GEMS® can help companies easily generate the scenarios needed to perform these market-based calculations.

Conning’s LDTI Offering

Conning is not just about software: we’re all about solutions, and for LDTI, that means going beyond the basics. Our service includes delivery of fully calibrated parameters for the US economy on the first business day after the quarter close. Don’t have the internal expertise to onboard a new piece of software? Conning’s team will generate the data for you in your preferred file format (e.g. CSV, AGU, FAC/FAS). Need help understanding how changing market conditions will impact your reserves? Conning can help you generate shock scenarios to understand those changes.


Roll Forward

One major concern with LDTI implementation is the new accounting requirements, especially the MRB Roll Forward. This new report requires companies to break down the change in their MRB reserve between a number of factors, including changes in interest rates, equity markets, and equity index volatility. Conning has developed an approach that allows our clients to minimize both the cost and the amount of time necessary to create this new analysis.



For many of our clients, LDTI is their first introduction to risk-neutral scenarios. As such, they have a lot of questions, like, “How do I know that these scenarios are risk neutral?” and, “How do I know what market prices are being used in the calibration?” To help answer these questions, Conning’s LDTI package includes a complete set of reports as part of each delivery.

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Conning realizes that our LDTI clients face tight timelines to turn this new analysis around. That’s why we are committed to delivering our part of the process as quickly as possible. We get most of our clients the information they need as early as the first business day after the end of the quarter.



GEMS® Economic Scenario Generator

Conning’s award-winning GEMS® Economic Scenario Generator provides advanced modeling, simulation, and calibration capabilities for the entire range of real-world and risk-neutral applications. With model delivery now available on the second calendar day of each quarter, users can meet previously unattainable reporting deadlines while using some of most technologically advanced risk models in the industry.

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Historical Data

While companies are only required to restate a few years of their earnings and balance sheets under LDTI regulations, most auditors and risk managers aren’t satisfied with the minimum; instead, they want to be able to go back over a decade to see how these regulations would have affected the company’s financial position through both good and bad market conditions. Conning makes this easy with quarterly calibrations going back to 2008.

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Custom Assets

The products covered by LDTI are still evolving, and companies are constantly incorporating new, customized investments that will need to be modeled. Conning’s scenario package includes the same investments as provided in the ESG files supplied to the NAIC for its use in its RBC calculations. These include:

  • Treasury bonds of different maturities
  • Investment-grade corporate bonds of those same maturities
  • High-yield bonds
  • Multiple US equity returns
  • Two international equity indices: MSCI EAFE and MSCI Emerging Markets

This package can also be easily extended to cover your company’s full range of needs (for example, volatility-controlled funds).

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