REMINDER: Important information about new warnings and errors on your models. 

On September 25^th, we released a new validation feature related to calculated range arrays used in formulas. This validation is designed to prevent users from accidentally projecting range array values that don’t exist at certain time periods. On October 23^rd, these validation warnings become errors for Cores and HPM Projections. See this post for more information and contact us at support@slopesoftware.com with any questions.

Enhancements

Better Searching in Formula Builder

It’s now easier to find the functions you need in the Formula Builder. We have added several new keywords to help build your formulas faster. For example, looking for the “Minimum” function? Search “Minimum” to find the “Aggregate (Minimum)” function.

Set Specific Module Permissions on a Model Shared with Everyone

For models that are shared with everyone, permissions can now be configured for individual modules (e.g. Model Development or Assumption Management). This granularity allows you to quickly enable and disable access for specific modules for all users in the workspace providing more efficient and granular control.

Aggregate Product Level Range Array Variables at the Portfolio Level

It is now possible to reference a product variable that’s aggregated and uses a product level calculated range array within a portfolio variable.

Additional Enhancements

• Searching is now supported in the list of Table Structures so you can type in the name of a table structure to filter down the list.
• The selected Table Structure will now show as highlighted in grey in the Table Structure list.
• Links to Investment Strategies now show on projections for ease of navigation

• Data Table columns in a Table Structure will show the Table Structure name of the nested table on hover

• Older versions of scenario tables can be selected in scenario table columns in table structures

Fixes

• We are now correctly ignoring non-required model point fields that are set to scale on purchase or sale when issuing new business
• Model Point Files are no longer being marked as “not validated” when they are moved in file manager
• We are again correctly validating a formula when it has a one dimensional array set in the properties and an invalid reference to Dimension 2 in the formula
• We fixed a formatting issue when viewing formulas from the Table Structure Relationship View
• Resolved an issue with newly introduced validation that resulted in a temporary result discrepancy on pension projections that used range arrays run on Thursday, September 26.

Please read this important communication as you may soon start to see new warnings and errors on your models. 

On September 25^th, we will be rolling out a new validation feature related to calculated range arrays used in formulas. This validation is designed to prevent users from accidentally projecting range array values that don’t exist at certain time periods. Today, if you don’t use an array aggregation and you project backwards or forwards in time, you might cause certain array values to be calculated when those array values didn’t previously exist at the referenced time period.

When this validation goes live, you may see some additional warnings in your Cores projections. Initially, these warnings will not prevent you from running your projections. You will have until October 23^rd to resolve these warnings. After that, we will enforce these warnings as errors. Note that warnings will only be visible for projections run using Cores, but errors will show in Cores and High Performance Mode.

September 25^th: New validation warnings for Cores Projections

October 23^rd: Validation warnings become errors for Cores and HPM Projections

Why are there errors in a model that I copied from the Slope Library?

The Individual Disability Income product in the Slope Life Library  (versions 2024.03 and earlier) contains variables that use calculated range arrays, project forward or backward, and do not use array aggregation. A new version of the Slope Life Library (2024.10) will be published in October with a modification to the Individual Disability Income product. Once it’s released, you can use the Governance module to merge these changes from the new Slope Library model to your models.

What sort of formula will cause this warning/error?

Formulas that use calculated range arrays and incorrectly project backwards or forwards to time periods where the current array value doesn’t exist may start to see these validation messages.

Example

Below is a section of the Time in Benefit Period End variable formula where the array set in the variable properties is a Calculated Range Array. Today, this setup will not cause an error, but it may calculate array values that don’t exist for a given time period. With the new validation, this will result in a warning, and eventually an error. 

For demonstration purposes, if we modify this formula to use a Single Value (Formula) aggregation, we can replicate the behavior of the new validation we will be rolling out.  With this set up, if the formula encounters an array value that doesn’t exist at the given time, it will (correctly) error.

What do I need to do in the short term?

When the new validation goes live, you may start to see new warnings on projections run using Cores. We suggest you resolve these warnings before they become errors on October 23^rd. 

Why don’t I see warnings in HPM?

Warnings are not currently supported for High Performance Mode runs. When the validation begins, you will only see warnings if you run your model using Cores. After October 23^rd, the warnings will become errors. The errors will be visible whether you run a projection in Cores or HPM.

If you have any questions, or if you need help updating your model, please reach out to us at support@slopesoftware.com.

New

Multi-Year Projections

There is now a toggle to calculate multi-year projections and a column for the ‘Years to Capture Results’ on the Liability Calculation Controls table.

The “Multi-Year Projection” workbook can now be found in the Slope Pension & OPEB folder. This workbook includes the present value of Future Benefits, Accrued Liabilities, Service Costs, Expected Benefit Payment Streams, Future expected salary levels and future expected head counts.

Enhancements

Non-Compounding COLA for Active and Vested Terminated Payment Forms

The library now includes parameters on the “Benefit Definition – Payment Form” table to permit non-compounding Cost of Living Adjustments for payment forms for active and vested terminated benefit definitions.

Updated Compensation History Interface

A second new interface to define compensation history using a flat participant data file for all participant data that has been provided. This serves as an easier to use alternative to the old interface.

Modified Cash Refund Annuity for Active and Vested Terminated Records

The parameters for Modified Cash Refund Annuity forms of payment have been refined to allow more granular control for Active and Vested Terminated records.

Change

Update to the Projection Limit (time) Variable”

Projection Limit (time) will now stop the projection calculations at the later of the time the participant or his/her beneficiary achieves age 115. Previously, projection calculations were terminated at the earlier of the time the participant or spouse achieves age 115.

Other product variables impacted: “Age Beneficiary (Unrounded)”,  “Age (Unrounded)”

New product variable: “Age Beneficiary (Unrounded) preliminary”

Fixes

• “Age Beneficiary Unrounded” logic has been corrected to avoid inconsistency in projections of beneficiary ages for a very specific configuration of retiree parameters.

New

Academy Interest Rate Generator

The 2024, 2023, and 2022 versions of the Academy’s Interest Rate Generator are now available in Economic Scenario Generation.

Enhancements

Additional Settings for Internal Rate of Return Formula

Users can now configure a maximum number of iterations, seed values, and tolerance within the IRR formula.

Additional Enhancements

• Links to Table Structures now show on projections for ease of navigation
• Various enhancements to HPM stability and performance

Change

Scenario Tables on Projections have moved! Now configure your scenario table with the other tables in your projection.

Fixes

• Data tables are now being versioned correctly after deleting or updating a decrement table, improvement scale, or scenario table
• Scenario tables are again showing in run projections after being deleted
• Better error handling when array lookup fails due to a blank table value
• We now show specific validation when a scenario file does not contain the scenario number in the filter

New

Export Variable Properties and Formulas for Model Documentation

Users can now extract a list of their variables with the properties, tags, documentation, formula, last modified date and user to provide model documentation for audits, regulators, internal review and troubleshooting. Learn more here.

Multi-Factor Authentication

Slope users can now setup multi-factor authentication (MFA) without having to be on Single Sign On. To configure MFA, click the user menu in the top right of the application > Administration > Privacy and Security tab.

New API Endpoints

• Copy Projection Endpoint: Allows users to copy an existing projection ID instead of having to create a projection template.
• Get Decrement Table Endpoint: Allows users to get the decrement tables on their model including the ID, name, type, improvement year and select period frequency.

Read more about the available Slope API Endpoints here.

Enhancements

Use Annual Effective Rate for Short-Term Interpolation on Scenario Tables

Users can now specify how the short-term spot rates (durations 0-5 months) on scenario tables are calculated. In the past, the short term interpolation method was always from zero. Now users can select to interpolate from zero or use the annual effective rate.

All existing scenario tables will remain set to ‘from zero’ but newly created tables will have ‘Use annual effective rate’ selected by default.

NOTE: This parameter will be added to the Post and Patch Scenario Table endpoints on the API in the future. In the interim, the API will default to using the annual effective rate for the short term interpolation method.

Additional Enhancements

• A model copy performance improvement was made to reduce the time users need to wait for their model to finish copying.
• Only the headers and elements with errors on the validation details screen will show in red to prevent users from thinking there are errors on objects that do not have any errors.
• The model point default value will be used when the column does not exist in the model point file and the field is not required on the model point file definition.

Fixes

• API users will no longer get a 500 error when uploading the same model point filter on two products at once.
• Resolved a ‘No data table found’ error on some projections with long running static products.
• Resolved a ‘Failed to start’ error on projections when the scenario structure does not have any yield curve points on it.
• Resolved a model copy issue that was resulting in the copy hanging when projection templates were included.
• Data table headers are no longer case sensitive on import.
• Extra columns in a file are again being ignored when uploading a data table.

New

High Performance Mode Available for Projections with New Business

High Performance Mode (HPM) now supports projections that include New Business so that users can dynamically issue new sales (model points) in their projection when running in HPM. For more information on High Performance Mode and which projections are supported, visit our support article here.

Enhancements

Variable List Now Shows Error Count

Users will now see an error counter at the top of the variable list to indicate the number of variables that have errors on them.

API Update: GET Projection Endpoint Additions

API users will now be able to get the following portfolio and product information from the GET Projections endpoint:

API Update: GET Data Tables/List Endpoint

API users will now be able to get a list of data tables either for a specific table structure or model ID. Learn more on our API documentation page.

Reporting: Repeat Row Labels

Users can now format pivot tables with multiple pivot rows to repeat row labels within their workbook element.

Reporting: Placeholder Text in Control Elements

Users can now customize the placeholder text for any input-based control elements (List Values, Text Input, Number Input, Date, and Date range) to provide context about the expected input.

Merge Differences in Tags on Variables

The model governance module will now show tag differences between two variables (with the same name) and allow the user to merge the tag to the target variable.

Fixes

• Debug view is now updating the formula with a different formula per array value for the second dimension of 2 dimensional arrays.
• Reduced Failed to Start Errors resulting from AWS request denials.
• Improved run log and debug tab loading performance.
• Again showing ‘Out of Memory’ message when a projection runs out of memory while finishing the inserting of results.
• Model point filters will apply the correct filter field when duplicating a projection and filtering on a field that is not the first field.
• Variables only referenced by a sales allocation variable will again display in the output.
• Now showing the correct result for projections run in Cores when forward projecting a company array variable with a Single Value (formula) aggregate that relies on a two dimensional aggregate variable.

Updated Experience Study Library 2024.05 and Documentation

We have published a new version of the Experience Study Library Model, named “Experience Study 2024.05”, which includes the following updates and fixes:

Updates

• Can now filter inputs by status codes in addition to Plan and Policy IDs
• Added a full set of generic rate inputs for Claim Incidence in addition to the existing mortality and lapse rate inputs. This can be used for any measurement of claims incidence rate such as disability or other policyholder election rates.

Fixes

• Fixed calculations that sometimes resulted in slightly more/less exposure being attributed to a policy year in leap years for policies issued in the month of February.
• Corrected an issue in the conversion from annual to monthly factors for mortality and lapse rates.

Additional Documentation

Additionally, we have published three new articles for Experience Studies on the Slope support site:

• Overview of the Experience Study Library
• Experience Study Parameter Details
• Guide to Setting Up an Experience Study

New Bermuda BSCR Workbook

A new “Bermuda Capital” workbook has been published to show the details of the Bermuda Solvency Capital at a Company level.

This workbook is available in the Slope System workspace under the Bermuda folder.

Note that this workbook does not yet support additional requirements from the Bermuda Consultation Paper dated July 28, 2023 (CP2). An updated version of this workbook will be published alongside upcoming updates to the Life Library to calculate these additional requirements.

New

Re-Run a Projection with a Different Model

You can now re-run a projection using a new model. This is often done to try and reproduce or compare results after making updates to a model copy. When switching a model, Slope will attempt to map the settings, scenario table, variable scoping controls, portfolios, sales allocations, investment strategies, products and data tables using the name. Learn more here.

Enhancements

Mass Merge Decrement Tables

The governance module now allows users to select multiple or all decrement tables from one model and merge them into another mode.

Miscellaneous

• The target model in the governance module will now show the full name upon hover.

Fixes

• Assumption sets will again allow the user to view and change the table selected in the assumption set.
• Debug view will no longer erroneously show ‘No Result Available’ when a result is available.
• Corrected an issue in which an error message was not providing the correct error source for a Calculated Range where the start and end values were matching.
• Debug view is now showing products that are not directly configured on a portfolio (e.g. investment products)

Enhancements

Performance Improvements

• A behind the scenes update to data tables was made to improve performance loading data tables, copying models with data tables and running projections with data tables.
• Product Aggregate performance improvements have been made to High Performance Mode (HPM) projections to help further reduce runtimes.
• Improved performance of Core projections with very large arrays.

Two-Dimensional Array Enhancement

Two-dimensional arrays can now be created with a product level data table array and a product output grouping array.

Fixes

• The ‘Always Calculate’ setting is now staying enabled when the ‘Global’ variable setting is enabled.
• Switching the static array used in a two-dimensional array is now updating the array value tabs for a formula using the array and set to ‘formula per array value’.
• When a variable directly references a two-dimensional array there will no longer be an erroneous ‘Invalid Array Aggregation Type’ error message.
• Using a product data table array in a two-dimensional array will no longer result in a projection error.
• The Governance module is now detecting different dimensions for two-dimensional arrays.
• When the result of a complex array lookup cannot be determined in the debug view, we are again showing ‘??????’.

Slope Academy Course – Building Reports

We have introduced a new Slope Academy video series course “Building Reports in Workbooks” to help users understand the structure of the Slope data model and build reports in Workbooks. You can find the course in Slope Academy in this link. 

Updated Slope Life Library

ALM Example

Added an example setup to showcase how a user can set up a run incorporating interaction between assets and liabilities. You can find the following in the Assumptions Development section illustrating this:

• Projection template – “ALM – Pro-Rata Reinvestment Strategy example”
• Investment/Disinvestment module – several example Investment Strategies and example reinvestment Asset Allocations covering non-callable bonds and equities 

A few workbooks that are useful to review for such calculations include: ALM, Portfolio Summary, and Asset/Purchase Sale Details.

For more detailed information on how to utilize investment and disinvestments, please refer to our support site.

Other Updates

• Updated Life Onboarding Model to be consistent with 2024.03 Life Library model
• Added additional parameters to the Whole Life product to provide additional pre-built logic around different death benefit patterns
• Modified several Whole Life product variables and added an additional table “US STAT AG25 Rates” to enhance modeling capabilities around US STAT AG25 for Pre-need products
• Renamed all product variables and table columns from Smoker Status to Tobacco Status
• Updated all references to Smoker/Tobacco Status to reference a Tobacco Status array, with the status options referencing a limited set of options for consistency across the library model. Different tobacco statuses coming in from user inputs are mapped to this limited set in the “Data Mapping – Tobacco” table.
• Updated all references to Mortality Age Basis to reference an Age Basis basis array with possible values Age Last Birthday and Age Nearest Birthday to maintain consistency across the library model.
• Indexed Annuity US STAT Reserve can now be set as a choice between the Account Value or Cash Surrender Value
• Modified the Indexed Annuity Plan Code table column names to clarify that specific columns are related to US GAAP or US STAT
• Renamed specific Indexed Annuity US STAT Valuation Method array values to clarify that their usage is for AG35
• “Asset Type” column in the Externally Projected Assets table structure has been split into two columns: “Asset Type” and “Calculate Market Values from Cash Flows?”. Format also moved from integer to a dropdown list with text descriptions for each option to make the options more intuitive throughout the library model.
• Portfolio Summary workbook now has an additional field in the tooltip showing total invested assets for the period across all asset products
• ALM workbook now has a “View By” frequency control to dynamically switch the results view between Annual, Quarterly, and Monthly periods.
• Added minor enhancements and clarifications to the Indexed Annuity workbook around per policy calculations vs. decremented calculations.

Fixes

• Company Cash Flow Allocation company variable no longer has the Tax tag, which wasn’t consistent with the current usage of this variable
• Added missing US GAAP and US Stat product variable tags to a small number of corresponding US GAAP and US Stat related variables
• Externally Projected Asset product variable Time of Maturity now correctly references an optional Maturity Date model point file field instead of product variable “Term in Months”. If this field is not provided in the model point file, Time of Maturity defaults to 1200 (i.e. 100 years from projection start date).
• Externally Projected Liability product variable and table structure column “Risk Adjustment” renamed to “Market Value Spread” to avoid confusion with other uses of the term Risk Adjustment. This column’s intent is to specify the spread over risk free rates when calculating market value metrics.
• Whole Life product variable “Death Benefit Ratio Guaranteed” now references Issue Age product variable field rather than the model point field, allowing the calculation to work when a user provides Date of Birth rather than Issue Age in the model point file.
• Long Term Care model point field Tobacco Status set to not required which is consistent with the design of the library calculations.
• Portfolio Summary workbook no longer double counts results in the Invested Assets by Product visual when product output groupings are used in a projection.

New Workbooks

The following workbooks can now be found in the Slope System folder within sub-folder “Liability Products”.

Universal Life

Universal Life Single Policy Details

Whole Life

Whole Life Single Policy Details

Coming Soon

• Various onboarding initiatives to make it easier for users to find what they need as well as get up to speed with how to work in SLOPE
• Variable Annuity product
• IFRS 17 updates