E-27 — Liability Profile
The actuarially-projected stream of future benefit or claim payments a liability-relative strategy is built against — the projected cash flows and their sensitivity to interest rates and inflation. The subject a liability-driven or insurance strategy targets, made first-class.
Purpose
A defined-benefit pension scheme and an insurer do not invest against a return target alone — they invest against a stream of future liabilities: the benefits a scheme must pay its members, the claims an insurer must meet. The investment strategy hedges and funds that stream, and to do so it must represent it: the projected cash flows year by year, and how their present value moves with interest rates and inflation. The Liability Profile is that representation — the projected benefit / claim cash-flow stream with its rate and inflation sensitivities and its valuation basis.
The liability is to a liability-driven strategy what the benchmark is to an asset-only allocation: the thing the whole strategy is measured and built against. Yet the model carried no representation of it — the actual cash entity (E-06 Cash Flow Event) records realised, dated movements, not a forward projection. The Liability Profile fills that gap. It is the subject of the strategy, ingested from the scheme actuary’s or the insurer’s projection and consumed by the strategy that targets it.
Attribute schema
| Column | Type | Definition |
|---|---|---|
liability_profile_id | varchar | Primary key. |
subject_type | varchar | What the liability is for — pension_scheme / insurance_book / mandate (E-03). |
subject_id | varchar | The identifier of the scheme, book or mandate. |
as_of_date | date | The date the projection is as of. |
projection_basis | varchar | The basis the cash flows are projected on — funding / accounting / solvency / best_estimate. |
cash_flows | document (JSON) | The projected stream — the projected benefit or claim amount per future period. |
pv01 | decimal | The present-value sensitivity to a one-basis-point parallel shift in interest rates. |
key_rate_durations | document (JSON) | The sensitivity decomposed across the key points of the rate curve. |
inflation_sensitivity | decimal | The sensitivity of the present value to a change in the inflation assumption. |
discount_curve_ref | varchar | The discount curve the present value is computed on. |
present_value | decimal | The present value of the projected liabilities on the stated basis. |
currency | char | The currency the liabilities are denominated in. |
actuary_source | varchar | The actuary or actuarial function the projection came from. |
version | varchar | The version of the projection; a re-projection is a new version. |
Notes
- Versioned, append-by-version. A liability is re-projected periodically — as members age, as assumptions are updated, as experience emerges. Each re-projection is a new version; the prior is retained, so a strategy decision stays traceable to the liability profile in force when it was taken.
- The cash flows are a projection, not realised movements — this is the distinction from E-06 Cash Flow Event, which records actual dated cash. The Liability Profile is forward-looking and aggregate; E-06 is realised and transactional.
- The sensitivities (
pv01,key_rate_durations,inflation_sensitivity) are what a liability-driven strategy hedges against — the hedge portfolio is constructed to match them, and the glidepath is run relative to the funding position they imply.
Out of scope
- The realised, dated cash movements a scheme actually pays or receives — those are E-06 Cash Flow Events; the Liability Profile is the projection of future benefits, not the realised cash.
- The hedging strategy and glidepath built against the liability — those remain analytical artefacts of the strategy Service Domains; E-27 is the liability the strategy targets, not the strategy itself.
- The capital-market assumptions the projection’s discounting relies on — those are inputs administered elsewhere in the strategy domain; E-27 references the discount curve, it does not own the assumption set.
Owned and consumed by
- Owned by: co-owned by SD-01.7 Liability-Driven & Cash-Flow-Driven Strategy and SD-01.8 Insurance Investment Strategy — a single concept with two co-equal owners, the pension-scheme view and the insurance-book view of the same kind of liability stream. The full pattern is documented in
ownership-map.md. - Consumed by: SD-01.4 Strategic Asset Allocation (liability-relative allocation), SD-05.6 Liquidity-Aware Portfolio Management, SD-07.1 Market Risk Management (rate and inflation risk relative to the liability), SD-16.2 Owner & Investor Reporting.
Open extensions
- The cash-flow document grammar — the typed structure of the projected stream per projection basis.
- The funding-level model — the relationship between the Liability Profile and the asset value that funds it, and the glidepath triggers it drives.
- The relationship between a liability re-projection and the strategy decisions taken under the prior version.