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.
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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.
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:
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.
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:
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
Previous versions of the Slope Pension Library have been renamed to the “Slope Pension (Governmental) Library” to distinguish and prepare for the public release of the private sector pension plan library.
Fixes
Corrected references to 415(b) limit inputs in global variables so that the table is nested in Plan Definition Table and not a separate reference in the projection inputs
Corrected Annuity calculations to coordinate COLAs during guarantee periods
Corrected the interpolation of missing years of compensation history
Version 2024.01 of the Slope Governmental Pension Library has been unpublished so our users do not mistakenly utilize these invalid setups. If you require a copy of this version prior to the fixes, please contact support@slopesoftware.com.
Fixed the formula setup of two Solvency II-related Company variables (“Solvency II BSCR Modules Without Reinsurance” and “Solvency II Life Sub-Modules Without Reinsurance”) which were flagged as invalid due to recent updates to the model validation features within SLOPE.
Version 2023.12 of the Slope Life Library has been unpublished so our users do not mistakenly utilize these invalid variables. If you require a copy of the version Slope Life Library 2023.12 (prior to the fixes), please contact support@slopesoftware.com.
Slope has published a standard library model for US Governmental Defined Benefit Pension Plans to illustrate an example of how such plans could be modeled in SLOPE. This library model includes the following functionality:
Single year valuation and multi year projection of liabilities
Customizable Funding Calculations
Entry Age Level Accrual Methods
If you would like more information regarding SLOPE’s pension capabilities and how to set up a model, please contact the Slope team.
Updated Slope Life Library
IFRS 17
A new “Data Product” was created to enable the integration of the external data for aggregation to high levels and allocation to more granular levels of detail within SLOPE. You can find this Data Product in the list of liability products. Example use cases for this Data Product include uploading:
Experience Data for Experience Adjustments
Bottom up model point aggregation of actual premiums, claims, expenses
IBNR
Bottom up model point aggregation of IBNR
Company Expense data
Top down allocation of Company level expense data to cohorts using allocation formulas
Bermuda
Calculations for Bermuda reporting requirements have been merged into the standard Slope Life Library model. Library includes support for:
Calculations under the Bermuda Solvency Capital Requirements (BSCR) framework, including the Scenarios-based Approach (SBA)
Full asset-liability management across the Bermuda standard scenarios
New Run Controls
New Projection Output switches have been introduced to control turning on/off the calculation of each accounting basis. This enables users to have their models focus only on calculations that are relevant for them, which should speed up model run times by having irrelevant calculations disabled. These are configured in the projection settings by setting the data table within the Projection Output Set table structure equal to the desired bases for the run.
For example, if you wish to only run best estimate cashflows only, you would set the data table under Projection Output Set to point to “Default – Cash Flows Only”. See support article on Run Settings for more details
Data Mapping for Gender and Modal Frequency
Data mapping tables have been introduced to map from different data coding standards for both Gender and Modal Frequency (e.g. Premium Mode/Frequency) coming from policy admin systems to standard convention that is used in SLOPE. This enables users to accelerate model development by allowing them to not need to set up variable formulas within SLOPE or ETL scripts to process these data fields to be used in the SLOPE calculations. These mappings are automatically used in the SLOPE Life Library calculations and can be customized to suit each user’s unique needs. This is done in the projection settings by editing the data tables within the “Data Mapping – Gender” and “Data Mapping – Mode-Frequency” table structures.
Product Specific Updates and Fixes
Whole Life product now includes Pre-1980 Reserve and Nonforfeiture methods for US reporting
Individual Disability Income product updated to use calculated range arrays for claim calculations
Fixed an issue related to the timing of reported investment income that occurred when buying an inforce bond on dates other than the coupon payment date
New Workbooks
Governmental Pensions
Pension Trace Lives (Active, Retirees)
Multiple Trace Lives Summary
Pension Liabilities by Benefit Definition
Pension Liability by Participant Presents a single summary of liability for each valued participant by status
Note: New workbooks for Pensions can be found in the “Slope Pension & OPEB” workspace folder which can be accessed via the folder icon in the lower left corner of the Projection Modules in the Workbooks tab. If you would like access to the Pension workbooks for your workspace, please contact the Slope team.
