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New SAPS mortality tables from the CMIB

On 31st October 2008 the CMIB published the new SAPS S1 mortality tables based on the mortality of defined-benefit pension schemes. These tables follow the previous release of the '00 Series' mortality tables based on the mortality of life-office pensioners. This page shows some sample annuity factors illustrative of life-company annuities and defined-benefit pensions. We will use the so-called amounts tables, i.e. mortality as weighted by the size of the annual pension, as this gives a better indication of the financial importance.

Figures are calculated using the S1PMA and S1PFA tables, with comparison to the previous PCA00 life-office tables. Life expectancies and annuity factors are approximate continuous-time values. Note that these figures are for information only, and they are provided without warranty of any kind. The annuity factors tabulated here include no allowance for future improvements, and are thus unsuitable for inference about any life-company annuity reserves, or the funding level of any defined-benefit pension scheme.

If you want to calculate your own annuity factors on other bases, try our on-line calculators. Alternatively, if you want a bespoke rating for your scheme's socio-economic mix, try mortalityrating.com. If your portfolio is large and has credible experience data, consider Longevitas.

Changes in mortality rates

The S1 tables show slightly higher mortality rates at post-retirement ages compared with the PCA00 tables, despite the SAPS data being more recent. This is likely due to the different socio-economic mix in the two data sets, with the SAPS data having a slightly greater weighting towards lower-status lives. The subject of allowing for socio-economic mix is discussed in detail in our paper on using postcodes.

Table 1. Mortality rates per 100,000 and relative difference

00 SeriesS1 SeriesDifference
AgeMalesFemalesMalesFemalesMalesFemales
65108768211247943%16%
7018521277197313327%4%
7533872419353824374%1%
8061364403626344452%1%
851048576591071578152%2%

Changes in life expectancies

If mortality rates change, then life expectancies do too. We can see here some small reductions in relative life expectancy.

Table 2. Life expectancies

00 SeriesS1 SeriesDifference
AgeMalesFemalesMalesFemalesMalesFemales
6518.420.918.120.6-2%-1%
7014.516.714.216.5-2%-1%
7511.012.910.812.8-2%-1%
808.19.77.99.5-3%-2%
855.97.05.66.8-4%-3%

Note: These are the life expectancies at current rates, i.e. with no allowance for any likely future improvements in mortality and life expectancy. These figures should therefore be treated as minimums, and the likely figures will be higher if future improvements are included. If you want to calculate your own life expectancies on other bases, try our on-line calculators.

Changes for annuities

Many life-company annuities are level, i.e. the income does not change from year to year. The table below shows level annuity factors under the new S1 Series tables for males and females at selected ages, and compares them with the equivalent annuity factors under the PCA00 tables.

Table 3. Annuity factors

00 SeriesS1 SeriesDifference
AgeMalesFemalesMalesFemalesMalesFemales
6511.4412.4011.3212.31-1%-1%
709.7510.749.6110.68-1%-1%
757.968.977.858.91-1%-1%
806.267.226.157.13-2%-1%
854.795.594.645.47-3%-2%

Note: Immediate level annuities paid continuously to single lives, discounted at 5.0% interest per annum. If you want to calculate your own annuity factors on other bases, try our on-line calculators.

Changes for defined-benefit pension schemes

Many defined-benefit pensions are at least partly inflation-linked, as are some life-company annuities, i.e. the income is increased from year to year. The table below shows escalating annuity factors under the new S1 tables for males and females at selected ages, and compares them with the equivalent annuity factors under the 00 tables.

As well as noting the same phenomenon of the greatest change for older males, we note that the changes tend to be larger than the equivalent figures above for level annuities. This is because the impact of increasing longevity is felt more with a lower effective interest rate (i.e. actual interest rate minus the escalation rate).

Table 4. Pension factors

00 SeriesS1 SeriesDifference
AgeMalesFemalesMalesFemalesMalesFemales
6514.2515.7514.0515.60-1%-1%
7011.7313.1711.5413.07-2%-1%
759.2810.649.1210.54-2%-1%
807.088.296.938.17-2%-1%
855.286.235.086.08-4%-2%

Note: Pensions in payment paid continuously to single lives, escalating at 2.5% per annum and discounted at 5.0% interest per annum. If you want to calculate your own annuity factors on other bases, try our on-line calculators.

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