Author: Arthur da Silva

Posted on

Life Library Update 2026.02: VM-20 Templates, Automation Examples, Waterfall Chart Example, US STAT Exhibit Improvements, and More

This release adds VM-20 workbook and templates along with a published Github repository containing end-to-end automation examples leveraging the SLOPE API. Updates also include a new waterfall visualization example workbook, multiple asset enhancements and fixes, and improvements to the US STAT Exhibits workbook.

New VM-20 Templates and Workbook

Added VM-20 projection templates to help users understand how to set up VM-20 projections and the asset collar solve for starting assets:

  • VM-20 Stochastic Reserve containing an example stochastic reserve run under VM-20
  • VM-20 Asset Collar Solver Template which is paired with the previous template as part of a broader starting asset solver workflow to satisfy the asset collar test. This workflow is automated using Python scripts in a newly published Github repository (see further below) that interacts with the SLOPE API

Results can be reviewed in workbook VM-20 Reserves (found in folder Slope System / US STAT). This workbook covers:

  1. Summary of reserve results, including the CTE(70) stochastic reserve result
  2. Stochastic Reserve details by scenario
  3. Stochastic Exclusion Test details
  4. Asset Collar test details
  5. VM-20 starting asset automation inputs for the iterative solver script contained in the published GIthub repository (see next section)

Published Github Repository With Example End-to-End Automation Workflows

Published a Github repository that contains a number of end-to-end workflow examples in Python leveraging the SLOPE API. This complements our existing published Github repository which focuses on smaller example code snippets across multiple programming languages. The recently published repository currently contains:

  1. A VM-20 starting asset automation workflow to produce the final VM-20 reserves that satisfies the asset collar requirements.
  2. A Bermuda SBA BEL iterative solver for specified time points in a projection.
  3. SLOPE API wrapper functions to make it easier for users to authenticate and call the SLOPE API as part of these automation workflows.

New Waterfall Visualization Example Workbook

Added a waterfall workbook example which provides a reference for building waterfall visuals. See workbook Workbook Visualization & Element Examples in Slope System / Training & Onboarding)

Bonds & Other Asset Updates

Enhancements

  • Created separate spread input source parameterization for inforce/starting assets vs. assets purchased after projection start for non-callable bonds. See variable Spread Input Method.
  • Added an option for non-callable bonds to read spreads from a scenario table providing a template for more sophisticated spread assumptions (e.g. varying by yield curve tenor and time index).
  • Adjusted Spread goal seek settings when using the solve option on the bond products, which makes the solver converge more reliably.
  • Added a Time of Processing Start variable (Max(Time of Issue, 0)) for the non-callable bond products, which simplifies triggering calculation logic at projection start for starting assets model points or at time of issue for bonds purchased after time zero.
  • Adjusted Always Calculated and Output Variable properties on the bond products to align with workbook output requirements and for consistency between products

Fixes

  • Fixed Spread solve behavior at time 0 for inforce/starting non-callable bond assets to properly initiate the goal seek when the solve for spread option is used.
  • Set the Spread model point file input to Optional for products with this input field, which avoids requiring spread inputs when the model does not need them (e.g. when solving for spread).
  • Fixed non-callable bond model point record #2 in several projection templates containing this product since the record matured before projection start date on those templates. The record was adjusted by postponing the issue year to 2016 from 2006.
  • Turned off Always Calculate on the Spread variable for all bond and commercial mortgage products, which reduces the chance of Spread being evaluated when it is not required (e.g. past maturity date).
  • Fixed PSA Prepayments variable on the structured asset products (Asset Backed Security, Collateralized Loan Obligation, Mortgage Backed Security) to reflect the intended formula for the prepayment assumption.

US STAT Exhibits Workbook

Enhancements

  • Updated workbook with a ReadMe tab and usage guidance (e.g. use of US STAT Exhibits product output grouping).
  • Added an Exhibit 6 summary bar to help users more easily validate aggregate amounts.

Fixes

  • Fixed variable US STAT Valuation Basis to properly reference variable US STAT Mortality Table Name to both produce the correct groupings for the US STAT Exhibit groupings and to improve debugging of US STAT mortality assumptions
  • Updated workbook by removing unused outdated tables and fields, reducing potential confusion for users.

General Updates

Enhancements / Changes

  • Centralized Initial Asset Scaling inputs into a single table structure Initial Asset Scaling instead of being split between separate Portfolio Parameters table structure to enable a more intuitive setup for users.
  • Added various new initial asset scaling features (e.g. scaling based on US STAT Reported Value instead of Market Value), making different setups easier to configure
  • Replaced the standard Level Single Scenario to start from time index -9999 instead of -240, which supports calculations that require older historical yield curves.
  • Added missing Input tags and updated product variable documentation for various products, which improves usability and ease of onboarding.

Fixes

  • Fixed an issue causing GMWB account value to double every month in the Fixed/Indexed Annuity product’s interest crediting logic in variable GMWB Interest Credited Per Policy.
  • Fixed an issue in the Fixed/Indexed Annuity product where GMWB variables were inadvertently calculated for policies without a GMWB rider or during ineligible periods for the GMWB.
  • Corrected Term product’s Cash Flows – Liabilities variable to include surrenders and reinsurance cash flows.
  • Fixed US STAT Assets Before Investment in the Assumed Reinsurance portfolio to include Cash Before Investment, now consistent with the Inforce Portfolio. This sets the variable to reflect a total asset position for determining surplus positions in VM-20 and VM-22 calculations
  • Set the Term Life product’s Initial Premium model point file field to Optional, which supports cases where that field is not used to determine premiums.

Posted on

Pension (Governmental) Library Update 2025.11 – Additional Flexibility, Enhanced Controls for Entry Age Accrual Methods, Output of Substatus, and Performance

This release introduces significant improvements to runtime performance, granular controls around the Entry Age accruals, and a stream of annual expected benefit payments, giving actuaries more precision and flexibility in pension valuations and projections. New features also include several updates to standard reporting/workbooks.

Enhancements

The library model has several enhancements that provide additional options and features:

  • The ability to remove compensation limits from average compensation when calculating benefit amounts
  • Additional granular controls for use with Entry Age accrual method related to accrual period, interest timing, timing of salary increases.
  • A new product variable, Participant Substatus, is captured in results representing the model point field that determines status. This will allow tracking of results separately between substatus. For instance Active Employees, and Active Employees currently in the DROP.
  • For Active and Vested Terminated records, users now have more flexibility for defining temporary annuity payment forms.

Option to Remove Compensation Limits in Average Compensation

The library model now contains a toggle switch to remove compensation limits when calculating an Average Compensation. See toggle in column Remove Compensation Limits? in table structure Plan Structure – Final Average Earnings Plan. 

More Granular Entry Age Accrual controls

Users can now use newly created table structure Entry Age Parameters to adjust the timing by a fraction of a year for interest discounting, salary increases, and decrements used when measuring Present Value of Future Benefits at Entry and the Present Value of Future Compensation at Entry. In addition, this new table structure provides for two accrual period options using the Entry Age method, the first is from First Funding Age to Ultimate Retirement Age, the second option is from First Funding Age to last age with a future benefit. This table structure is nested within the top level table Adjustments for Annual Valuation Systems in column Entry Age Parameters.

Additional Result Splits by New Participant Substatus

The value of the model point field that determines participant status is now captured in the product variable results of a projection. This enables the separation of results into different categories of the same status. For instance, separating results for Active employees and Active employees who have entered a DROP.

Additional Parameterization for Temporary Annuity Forms of Payments 

A new table structure Annuity Temporary Table adds support for annuity temporary periods defined via tables (not only integer ages), which expands flexibility for payment form definitions. This new table structure is nested within table structure Annuity Form Details.

New Workbook

Pension Trace Life New Entrant

Published new standard workbook Pension Trace Life New Entrant that is compatible with multi-year projections with new entrants. The new workbook allows users to trace individual new entrant lives and compare outcomes across entry timing scenarios, which improves validation of new entrant assumptions. 

Changes and Fixes

  • Separated the standard 100-year expected benefit payment stream from other calculations so it can be produced from a standard 1-year valuation run, which simplifies generation of this common review output. Expected benefit payment stream is reported by benefit definition.
  • Modified Product variable Decrements to be compatible with:
    • 100% rates of decrement prior to ultimate retirement age.
    • 100% rates of decrement and a retirement date provided by a model point field.
  • Streamlined payment form factor calculation chains for:
    • Post-decrement death annuities to provide a factor based on annual payments. See variables beginning with “Post Decrement Death Annuity”.
    • Life insurance forms to provide a factor based on annual payments. See variables beginning with “Life Insurance”.
  • Product variables Expected Benefit Payment stream to match PVFB for Actives or VTs – Lump Sum and Expected Benefit Payment stream to match PVFB for Actives or VTs have been modified to resolve an issue when using mid-year decrement timing to produce lump sums payments deferred to a specific age.
  • Fixed product variable Compensation Participant History Interpolated to return correct interpolated compensation amounts between reported annual compensation amounts
  • Modified multiple product variables associated with the benefit formula component “Alternate Salary” to be compatible with future new entrants in a multi-year projection of an open employee group.
  • Modified product variable Age Beneficiary (Unrounded) to be more efficient and to prevent errors when there are significant age differences between participant and beneficiary.
  • Fixed product variable Annuity 70 PV Expected Stream of Unit Benefits to correct for potential errors at assumed ultimate retirement age when using mid-year decrement timing to produce the returned payment form factor. 
  • Corrected product variable Average Compensation Lookback period for potential errors when current years of service is less than the averaging period in the average compensation calculation.
  • Modified the product variables associated with the Present Value Factor benefit formula component. The revisions increase efficiency and align results with prior benchmarks. See variables beginning with “PV Factor”.
  • Modified product variables associated with Cash Balance Plan benefit formula components. The revisions increase efficiency and align results with prior benchmarks.
  • Fixed product variable Benefit Definition Eligibility to properly handle mid-year decrements and benefit eligibility in the assumed year of ultimate retirement.
  • Modified product variable In Pay Record 91 –  Expected Benefit Stream to include lump sum payments to retirees.
  • Corrected an issue with multi-year projections using mid-year decrements and deferred annuities in producing expected benefit payment streams. See product variable Multi Year 02 VT Expected Benefit Payment | t .
  • Updated the Pension Liabilities by Benefit Definitions dashboard to exclude vested terminated compensation from the “Rate of Pay at Valuation Date” field, which improves reported values for affected plans.

Posted on

Life Library Update 2025.12: Bond Workbook and Cash Flow Testing Workbook

This release contains two new published workbooks to enable users to:

  1. Analyze bond cash flows and results more quickly
  2. Review Cash Flow Testing results for US STAT reporting

New Bond Workbook

Published a Bond workbook designed to accelerate user review of specific bond details (e.g. market values, amortized cost) and cash flows for each asset model point and scenario.

This workbook is initially targeted to non-callable bonds and will be expanded to other bond types (i.e. callable, sinking funds, floating rate) soon.

Cash Flow Testing Workbook

Published a Cash Flow Testing workbook that summarizes Cash Flow Testing results for US STAT reporting and enables users to analyze individual scenarios’ financial statement results driving projected Stat surplus.

Posted on

Life Library Update 2025.11: Cash Flow Testing Template, IDI Workbook, Term Life Workbook Updates, Fixed/Indexed Annuity Updates

The release contains new Cash Flow Testing resources, a new Individual Disability Income (IDI) workbook, updates to Term Life workbook for VM-20 NPR, updates to Fixed/Indexed Annuity product, and a new Fixed/Indexed Annuity orientation article. Additional updates were made to clean up documentation, improve clarity and quality of life.

Cash Flow Testing Examples & Support Article

Published new resources to help set up and review Cash Flow Testing results for US STAT reporting:

  1. Projection template, named US STAT Cash Flow Testing, illustrating how to set up the SLOPE Life Library model to run a projection for Cash Flow Testing purposes
  2. Support article with step-by-step instructions for setting up a Cash Flow Testing projection using the library model

Accompanying analysis workbook to be published soon.

Individual Disability Income (IDI) Workbook

Published the IDI workbook to enable users to review:

  • Single policy cashflows
  • Benefit details by projected time of claim incurral
  • US STAT reserves for both Active Life Reserves (ALR) and Disabled Life Reserves (DLR) along with associated cashflows

Term Life Workbook Update (VM-20 NPR)

  • Added tab US STAT VM-20 NPR to facilitate the review of single policy Net Premium Reserves (NPR) under VM-20.
  • Added indicator column in tab US STAT Reserve Summary to show when the ½ cx floor is applied to the Basic Reserve Per Policy.

Combined Fixed/Indexed Annuity product updates

New orientation article

A new article to help new users orient themselves to the combined Fixed/Indexed Annuity product has been published on our support site. This article provides an overview of: inputs & assumptions, Model Point File inputs, modeling mechanics, and calculation timing.

Fixes

  • Fixed various results to reflect the projected GMWB election paths rather than only look at the base policy path, which excluded portions of the policy that went down projected GMWB election paths. Several GWMB specific variables were added to help track these for each GWMB time of election.
  • Fixed various issues causing run errors for policies issued after the projection start date
  • Fixed an issue causing run errors for policies terminating before the end of the guarantee period and the projection period 
  • Corrected Par Rate and Cap Solver calculations to multiply the Par Rate to both the Base and Cap calls and to now divide the Par Period (in months) by 12.
  • Added missing Maximum Participation Cap column to Indexed Account Parameters table structure used when solving for the participation cap
  • Removed default of zero from Model Point fields for Premium Allocation since the correct behavior should point to the Investment Accounts table if these fields are left blank.
  • Fixed Cash Flows – Liabilities variable to properly reflect Reinsurance Cash Flows. Added new Gross Cash Flows variable to show gross cash flows without reinsurance.
  • Corrected variable Investment Account Has Market Value Adjustment? by reversing the IF condition
  • Corrected Investment Account Nonforfeiture Surrender Value to now apply the Nonforfeiture premium percentage of 87.5% to Investment Account premiums added in the month
  • Corrected US GAAP Host Contract Value Per Policy to not sum New Investments across Investment Accounts since the variable was supposed to be an Investment Account level rollforward.

Enhancements / Changes

  • Added the Black Scholes Projection Method (BSPM) for AG35 under US STAT reporting
  • Turned on Output Variable setting for a couple of VM-20 portfolio variables that will be needed for a future VM-20 workbook
  • Added Maturity Term column to the Plan Code – Fixed/Indexed Annuity table for fixed term annuities that have a maturity benefit after a specified number of years after issue.

General Updates

Fixes

  • Cleaned up various missing Input tags and documentation through the library products and tables

Enhancements / Changes

  • Changed Gross Premium Method from numeric representation to string values from dropdown list to make the options more readable at first glance.
  • Added Index Participation Cap and Index Participation Rate columns to Deposit History table to allow users to input distinct projection start values by deposit.
  • Added Tax Jurisdiction column to Company Properties table to move the input from a constant in model for ease of configuration.
  • Added a Maturity Term variable and column in the Plan Code – Fixed/Indexed Annuity table.
  • Removed deprecated columns Guaranteed Rate and Initial Credited Rate from the Plan Code – Fixed/Indexed Annuity table. Note that the guaranteed rate is now set on the Investment Accounts table and credited rates are set in the Credited Rate History table and/or the Deposit History table.
  • Renamed Rate column in the Deposit History table to Current Credited Rate for clarity.
  • Renamed Minimum Participation Rate column in the Indexed Account Parameters table to Guaranteed Minimum Participation Rate for consistency.
  • LTC: Renamed the Long Term Care Claim Status array to Long Term Care Site of Care for clarity.

Coming Soon

  • Cash Flow Testing system workbook to use a starting point for analyzing Cash Flow Testing results
  • Updated Bond workbook with more details (e.g. market value roll-forward, etc.)
  • VM-22
  • Projection result comparison workbook
  • Other asset-related updates

Posted on

Life Library Update 2025.08: Updates to Variable Annuity, Combined Fixed/Indexed Annuity products; LDTI fixes

This release contains updates to the beta versions of the Variable Annuity product and combined Fixed/Indexed Annuity product in addition to various LDTI fixes.

Variable Annuity beta product updates

Fixes

  • Corrected product variable Base Policies Inforce containing a duplicate reference to Base Policies Deceased to point to Base Policies Lapsed instead
  • Fixed an issue where Investment Account Policy Charges was potentially double counting guarantee fees in the Account Value rollforward and added a check to limit the investment account charges to be capped at the total policy-level account value
  • Corrected logic of conversion of annuitization rates from annual to monthly
  • Fixed an issue with Gross Premium Per Policy to calculate appropriate amount at time index 0 and certain edge case policies where premium payment falls on time index 1
  • Fixed an infinite loop issue related to product variable Guarantee Base Roll-up that occurred at time of issue in some instances where the account value variable was referenced by guarantee fees which also affected the account value.
  • Fixed an issue in the GMxB Value variables that produced errors in dynamic HPM runs in cases where the AV went to zero prior to policy termination. These variables now always reference the end of the guarantee period.
  • Corrected a couple of product variables that should be referencing decremented guarantee fees rather than undecremented.
  • Corrected an issue with variables Guarantee Fees at Projection Period End that produced errors in HPM runs in certain circumstances
  • Fixed an issue where GMWB election paths were starting before the start of the GMWB eligibility period
  • US GAAP / LDTI related fixes:
    • Updated a couple of US GAAP LDTI variables based on current discount rates to have Force Recalculation turned on to be consistent with current model design.
    • Corrected reference to US GAAP MRB PV Fees in the US GAAP Market Risk Benefits variable
    • Fixed the US GAAP Market Risk Benefits variable to calculate after time of issue by setting it to Always Calculate
    • US GAAP LDTI DAC now calculates correctly for policies issued after projection start date
    • Adjusted US GAAP FAS 133 references from best estimate to US GAAP version of the guaranteed surrender value (i.e. new variable US GAAP Non-Forfeiture Surrender Value) to be used separately for FAS 133 calculations in order to exclude future premiums, consistent with the rest of the FAS 133 calculations
    • Modified US GAAP Investment Contract calculations to be done at policy level rather than investment account level in alignment with US GAAP requirements
    • Added missing US GAAP tags to a couple of US GAAP variables

Enhancements / Changes

  • Added US GAAP LDTI Market Risk Benefit (MRB) logic
  • Removed unused product variable GMWB Election Rate Cumulative

Combined Fixed/Indexed Annuity beta product updates

Fixes

  • Corrected product variable Base Policies Inforce containing a duplicate reference to Base Policies Deceased to point to Base Policies Lapsed instead
  • Fixed an issue where Investment Account Policy Charges was potentially double counting guarantee fees in the Account Value rollforward and added a check to limit the investment account charges to be capped at the total policy-level account value
  • Corrected logic of conversion of annuitization rates from annual to monthly
  • Fixed an issue with Gross Premium Per Policy to calculate the appropriate amount at time index 0 and certain edge case policies where premium payment falls on time index 1
  • Fixed an infinite loop issue related to product variable Guarantee Base Roll-up that occurred at time of issue in some instances where the account value variable was referenced by guarantee fees which also affected the account value.
  • Fixed an issue in the GMxB Value variables that produced errors in dynamic HPM runs in cases where the AV went to zero prior to policy termination. These variables now always reference the end of the guarantee period.
  • Corrected an issue with variables GMxB Value at Projection Period End and Guarantee Fees at Projection Period End that produced errors in HPM runs in certain circumstances
  • Fixed an issue where GMWB election paths were starting before the start of the GMWB eligibility period
  • Fixed an issue where GMWB Payment At Risk never went above zero as a result of GMWB Account Value at Time of Election always being floored at zero
  • US GAAP / LDTI related fixes:
    • Updated a couple of US GAAP LDTI variables based on current discount rates to have Force Recalculation turned on to be consistent with current model design.
    • Corrected reference to US GAAP MRB PV Fees in the US GAAP Market Risk Benefits variable
    • Fixed the US GAAP Market Risk Benefits variable to calculate after time of issue by setting it to Always Calculate
    • Adjusted US GAAP FAS 133 references from best estimate to US GAAP version of the guaranteed surrender value (i.e. new variable US GAAP Non-Forfeiture Surrender Value) to be used separately for FAS 133 calculations in order to exclude future premiums, consistent with the rest of the FAS 133 calculations

Enhancements / Changes

  • Modified US GAAP FAS 133 rollforwards to be done at investment account level instead of policy level
  • US GAAP LDTI embedded derivative rollforward is now investment account-specific
  • Removed unused product variable GMWB Election Rate Cumulative

General Updates

Fixes

  • Changed index method on Effective Date column of US STAT Nonforfeiture Rates table in table structure US STAT Annuity Nonforfeiture Rates from Exact Match to Range Lower Bound
  • Add fallback pro-rata step to library example investment strategies that did not have one to prevent errors when the prior step could not buy/sell all assets to achieve the step’s targets
  • US GAAP LDTI net premium ratios now calculates correctly for future issues (i.e. when the issue date occurs after the projection start date)
  • US GAAP LDTI rollforward period now works for future issues
  • US GAAP LDTI DAC now calculates correctly for future issues
  • US GAAP LDTI DAC now appropriately calls the Grouped method when selected

Enhancements / Changes

  • Added an option to toggle the inclusion/exclusion of future premiums for LDTI calculations
  • Made the 30 day yield curve point in the Economic Scenario Structure optional to make switching between the AIRG and other scenario tables easier due to their differences in yield curve points

Coming Soon

  • Projection result comparison workbook
  • Other asset-related updates
  • Reinsurance updates
  • Pension Risk Transfer library model

Posted on

Life Library Update 2025.05: Beta release of Variable Annuity, Combined Fixed/Indexed Annuity products

This release introduces beta versions of two new products: a Variable Annuity product (includes RILA support) and a combined Fixed/Indexed Annuity product. Additionally, updates include updated Life & Annuity US Stat/Tax Interest Rates, clean up and fixes to asset product calculations, and more.

Variable Annuity product beta release

A new product within the Life Library has been released under beta status which covers Variable Annuities and Registered Indexed Linked Annuities (RILAs). This product offers the following:

  • Tracking of multiple investment accounts and tracking of individual deposits within each investment account
  • Support for GMAB, GMDB and GMWB/GLWB riders
  • Deposit level cashflows and guarantees
  • Fixed account components
  • Deposit specific assumptions and parameters (e.g. partial withdrawal rates, market value adjustments, and surrender charges)
  • Tracking of potential GMWB election dates through the projection, including the use of different lapse rate assumptions for each potential election path

Note that the beta status means features have not yet been fully tested and the models may produce erroneous results in some instances. If you find any issues, please report them to us at support@slopesoftware.com

Combined Fixed/Indexed Annuity product beta release

A new product within the Life Library has been released under beta status which covers a combined product for all Fixed and Indexed annuities. This product is intended to replace the Fixed Annuity and Indexed Annuity products currently in our library. The two legacy products will be sunset sometime (timeframe TBD) after the combined Fixed/Indexed Annuity product is moved out of beta status.

This combined Fixed/Indexed Annuity products offers many new features, including:

  • Easier management of policies with both fixed and indexed components
  • Support for GMAB, GMDB and GMWB/GLWB riders
  • Deposit level tracking of cashflows and guarantees
  • Deposit specific assumptions and parameters (e.g. partial withdrawal rates, market value adjustments, and surrender charges)
  • Tracking of potential GMWB election dates through the projection, including the use of different lapse rate assumptions for each potential election path

Like with the Variable Annuity product, this product is in beta status. If you find any issues, please report them to us at support@slopesoftware.com.

New Workbook

A new workbook has been created to analyze results from the Fixed/Indexed Annuity product. It covers the following:

  • Single policy projected cash flows and policy counts
  • Projected account value rollforward
  • Projected account value for each investment account and deposit
  • GMWB details including projected GMWB elections and details for each projected election date
  • US STAT CARVM reserve details for AG33 and AG35, including inner loop calculations for each timestep of the projection
  • US GAAP ASC 815 (formerly FAS 133) details

Asset Clean Up

Fixes

  • Updated Realized Book Value used in the Realized Gain/Loss for Non-Callable bonds to default to Book Value instead of US STAT reported value to resolve errors that occur when US STAT results are not calculated.
  • Resolved inconsistencies with Default Rate Annual and Default Rate Monthly formulas across asset products by setting their properties to:
    • Output = True
    • Always Calculate = False
  • Fixed Initial Asset Scaling variables in 4 asset products (Asset Backed Security, Collateralized Loan Obligation, Mortgage Backed Security, Stock Option):
    • Set the variable to equal 1 (i.e. do not scale) for reinvestment assets
    • Set Model Point Aggregation Method to None (from First Value) to prevent unnecessary aggregation of this variable
  • Corrected the Default Rate Monthly in the Collateralized Loan Obligation product to properly reflect a conversion from an annual to monthly default rate
  • Removed outdated and irrelevant references in the documentation for Default Rate Annual and Monthly variables that have not applied for quite some time.

Changes

  • Replaced references in the asset products to the product instance name system variable with a new Product Definition Name variable to resolve errors that occur when the product instance name is modified on a projection. This new variable references a new Asset Product Definition Names array whose values correspond to product definition names in the Slope Life Library. 
  • Updated Initial Asset Scaling formulas to reference new Asset Product Definition Names array and to be consistent across all asset products
  • Added more flexibility to management of Default Rate assumptions such that you can now specify separate default tables for each asset product rather than use a single table with an asset product index column. Changes related to this include:
    • Added records in the Standard Assumptions table of the Asset Assumptions table structure to split out each assumption by the Asset Product Name index column rather than use a default across all products.
    • Added a Default Rates Table data table column in the same table as the previous bullet and assigned tables corresponding to the library assumption for each asset type (default rate assumption remains unchanged from before)
    • Default rate product variables in each asset now reference this nested table structure via a new Default Rate Table data table variable 

Other Changes

Fixes

  • Fixed the Indexed Annuity option cost calculations in both the combined Fixed/Indexed Annuity product and the legacy Indexed Annuity product. The fix moves the participation rate outside of the brackets to apply to both the base and cap option costs and not just to the base option. Three variables are affected in each product, found by searching for “option cost”.

Changes

  • Added Life & Annuity US Stat and Tax Interest Rates for 2024 (Life, Annuities, SPIA) and for 2025 (Life) in table structures
    • US STAT Valuation Rates – Life
    • US STAT Valuation Rates – Annuity
    • US STAT Valuation Rates – SPIA
  • Renamed the array options in Indexed Annuity US STAT Valuation Method from AG33 to AG33/AG35 with the release of the combined Fixed/Indexed Annuity product. In that product, one of AG33 (for Fixed) or AG35 (for Indexed) is applied based on the investment account type being valued. In the future, this array name will be renamed to Fixed/Indexed Annuity US STAT Valuation Method for clarity.

Coming Soon

  • Projection result comparison workbook
  • Other asset-related updates
  • Pension Risk Transfer library model

Posted on

Pension (Governmental) Library Update 2025.03.01: Fixes

Fixes

  • Fixed an issue in the calculation of Product variable “Entry Age 02 – State – Head Count BOP (Actives)” affecting plans using the Misc 2 decrement where the Misc 2 decrement rate should have been subtracted rather than added
  • Fixed an issue where a $0 retiree benefit amount causes Retiree Payment Form Factors to divide by zero. See product variable “In Pay Record 26 – Payment Factor Annuity”.
  • Fixed an issue where providing no Social Security benefit table in table structure “Benefit Formula Table References Not Yet in Pay” causes product variable “Product Variable “Social Security 04.4 Age to start compensation history” to default to 0. The variable now defaults to the value of product variable “Age at Valuation Date” instead of 0

Version 2025.03 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.

Posted on

Pension (Governmental) Library Update 2025.03: Advanced COLA capabilities for Retirees, single Benefit Definition covering both “Actives and Vested Terminated” records, Social Security PIA enhancements and more

Enhancements

The library model has several enhancements that provide additional options and features:

  • Advanced COLA limits for retirees
  • Single Benefit Definition covering both Active and Vested Terminated
  • Parameterization of Social Security PIA benefits for each benefit formula
  • Additional details of annuity payment form factors in workbook “Pension Trace Life Retirees”
  • Additional option to use a specified model point field as a source for:
    • Account balance at the valuation date for retiree benefits with an annuity payment form with a Modified Cash Refund feature
    • COLA anniversary date
    • Payment form for Active and Vested Terminated records

Advanced COLA Limits for retirees

The library model now comes pre-configured with a way to develop Cost of Living Adjustment formulas that are more complex than a simple rate increase for retirees in addition to Active and Vested Terminated. An example would be a limit of cumulative COLA to less than 2.5 times the benefit amount at retirement. See this support article for more details.

Single Benefit Definition can now cover “Active and Vested Terminated”

In the table structure “Benefit Definitions Not Yet in Payment”, the column “Active or Terminated Vested” now has a 3rd option “Active and Vested Terminated”. If this option is selected, both active and vested terminated records will be eligible for the particular benefit definition. This eases the maintenance of the model by reducing the number of configured benefit definitions for each plan. See this support article for more details.

Robust Social Security Primary Insurance Amount (PIA) for separate benefit formulas 

Parametrization of multiple Social Security PIA benefits is now included in the library model via a new column “Social Security Benefit” in table structure “Benefit Formula Table References Not Yet in Pay”. For each benefit formula, the column selects the Social Security parameters by referencing a data table from table structure “Social Security Benefit”.

A new benefit formula component “Social Security PIA at computation age *  Early Retirement * Inflation” can now be used within product variable “01 Benefit Formula Amount Annual – Actives and VTs”

Workbook “Pension Trace Life Retirees” has been modified to include details of annuity payment form factors.

The workbook has been enhanced to provide additional information around payment form factors for retiree annuities.

Retiree benefits with an annuity payment form with a Modified Cash Refund feature can now reference a model point field as the source for the account balance at the projection start date 

A new column “Account Value Data field override” has been added to the table structure “Retiree Guarantee Period”. The column is used to select a model point field which reports the amount of the current account balance when calculating the guarantee period of an annuity with a Modified Cash Refund feature.

Additional option to apply COLAs on the anniversary specified by a selected model point data field 

An additional option to apply COLAs on the anniversary of a specified date variable from the model point fields is now available within table structures “Benefit Definition – Payment Form” and “Retiree COLA Increase Details”. See this support article for more details.

Additional option to select the payment form for Active and Vested Terminated records using a model point field 

Users can now select the payment form for Active and Vested Terminated records by referencing a specified model point field. The selected model point field is configured in a new column “ModelPoint Field that varies Annuity Form” in table structure “Benefit Definition – Payment Form”. See this support article for more details. See this support article for more details.

Changes and Fixes

  • Product Variable “Time of First Funding Age” has been modified to correct certain situations where it was not returning the first anniversary of the valuation date subsequent to hire.
  • Product Variable “Array Reference Retirement Latest” has been modified to return the first day of the valuation year in which 100% retirement rate is assumed, but only for active records.
  • The product variable “Compensation Participant from Entry Age” has been modified to correct for certain situations where it was not recognizing parameters from data table structure “Compensation History Parameters”.
  • The product variable “Decrement Array Start” has been modified to address certain configurations where errors were returned for retired and nonvalued records.
  • The product variables “Decrement Array End” and “Decrement Array Step” have been modified to address certain configurations where errors were produced with middle of year decrement timing.
  • Added a default source for the “PV Factor – Interest Discount” variable to fetch the discount rate from Valuation Assumptions table rather than returning an error.
  • Revised product variable  “Entry Age – PVB at Entry Total” variable to include one half year of interest discounting when calculating participant contributions
  • Revised product variable  “EA Level Pct Pay 05 – Compensation Monthly Stream” to correctly calculate valuation year pay for mid year decrement timing
Posted on

Life Library Update 2024.12 Disability Income overhaul and cleanup, new Slope Academy video: Intro to Life Library Design

Individual Disability Income product overhaul

A number of changes were made to the IDI product, with the largest being the separation of Best Estimate, US STAT, and US GAAP calculations from each being contained in separate array values for each basis into separate sets of variables for each basis. This provides the ability to exclude a reporting basis using variable tags if the user does not want to run US STAT and/or US GAAP.

In addition, the model has been cleaned up substantially, including a refresh of the disability incidence and termination rate tables within the model.

IDI Changes

  • Moved array variables based on the Accounting Basis array to separate sets of variables for each basis.
  • Modified gross premium rates to set rates to 0 after time of premium cessation.
  • Added a default of $0 premium starting from Age 0 (lower bound) to table Library Premiums to Age 65 (previously named Flat_To65_EP90) in table structure IDI Premium Rates structure to prevent the table lookups from producing errors at younger attained ages.
  • Moved to a separate variable the reference to the A&H Open Claim Reserve within variable A&H Claim Reserve.
  • Removed unused Premium Type column from the library example Model Point File
  • Deleted unused Premium field from Model Point File definition.
  • The Model Point field for Initial Premium is now optional in the definition since this is only needed for Single Premium policies.
  • Renamed Claim Age variable to Age Attained on Claim to clarify that it represents attained age while on claim rather than age at claim incidence.
  • Renamed the Time of Claim Term variable to Time of Claim Expiry to clarify that it represents the time of expiry (i.e. end of benefit period) rather than a term length.
  • Renamed Incidence Tables table structure to IDI Incidence Tables for clarity.
  • Renamed table structure Inc and Term Table Lookup to Library Incidence and Termination Table Lookup for clarity.
  • Renamed misleading data table name from Flat_To65_EP90 to Library Premiums to Age 65 within table structure IDI Premium Rates.

IDI Fixes

  • All disability incidence and termination rate tables have been updated to correct various issues in the tables’ values.
  • Revised the Library Incidence and Termination Table Lookup table (previously named Inc and Term Table Lookup) to now contain all occupation classes.
  • Fixed inconsistencies in the sample IDI Plan Code Table.
  • Added a condition to several variables to not inappropriately calculate (by setting to zero instead) if irrelevant to the disability status at the projection start date. For example, if a life is Disabled at projection start, then variables specific to Active lives are now set to zero.
  • Modified variables relating to policies in force such that they only calculate for lives that are active at the projection start date, which is consistent with how these variables are currently used in the rest of the IDI product.
  • Fixed issues relating to Unearned Premium Reserve calculations for single premium policies. Corrected product variable US STAT Active Life Reserve – Unearned Premium per Policy and the example plan code table to calculate zero Unearned Premium Reserves for single premium business, which is now always assumed to map to Credit in the US STAT Line of Business column in the example Plan Code table.
  • Fixed an issue where US STAT and GAAP unearned premium reserves were trying to calculate a value after premium payment period ended.
  • Added missing monthly benefit to the library example Model Point File’s records #3 and #4.
  • Turned off Always Calculate switches on a number of variables which were causing unintended calculations in certain circumstances.
  • Added Maximum Coverage Age boundary to the incidence rate variables to prevent them from accidentally calculating incidence rates at unintended ages.
  • Modified the table within structure US STAT Mortality – Individual Disability Income (IDI) to work for issue years 2021 and beyond. Also, collapsed the table structure to use a Range Lower Bound match type rather than Exact Match.
  • Added Premiums Per Year alias to the Premium Mode model point field definition to properly capture the column in the sample Model Point File
  • Corrected variable Reinsurance US GAAP PV YRT Benefits which previously referenced US STAT mortality rather than US GAAP.
  • Corrected variable Maximum Coverage Age (renamed from Maximum Incidence Age) to reference column Coverage to Age from the Plan Code table rather than Maximum Age. This change was done to be more consistent with the Life Library’s design in that Maximum Age refers to the maximum age for model point processing (including the run off of all disability claims) while Coverage to Age refers to the last age of disability incidence. The variable rename clarifies the coverage period also specifies the last period of active life mortality in addition to disability incidence.

Other Library Changes

  • Renamed array value AG35 – CARVM-MVRM to AG35-MVRM in array Indexed Annuity US STAT Valuation Method to be consistent with other AG35 methodologies. 
  • Added new Policy Year column to the Policy Load table structure. As a result, UL variables have been modified to account for new structure.
  • Renamed table structure A&H Incidence Tables to CI Incidence Tables. References in the CI product variables will point to this renamed table.

Other Library Fixes

  • Added a Zero CSV plan code data table for Term Life so that Term Life runs that exclude US Stat variables do not produce errors.
  • Best Estimate Cash Flows templates in the Life Onboarding model references the Zero CSV plan code data table (from previous bullet) so that it does not produce an error when being run.

New Slope Academy video covering Intro to Life Library Design and Concepts

We have published a new Slope Academy video (~25 mins split into 4 parts) for new users of the Slope Life Library. This video covers the initial set up of the library model and a quick overview of the basics of the SLOPE platform in the context of the library model. It is useful for new users of SLOPE or those that are new to using the Slope Life Library and want a quick orientation of general design aspects of the library model. This video also provides ideas to reuse for user-created custom models built within the platform.

Coming Soon

  • Pension Risk Transfer library model
  • Revamped annuity product in Life Library model combining Fixed and Indexed Annuity products with enhanced deposit-based modeling
  • US STAT Updates
  • Bermuda CP2 Updates
Posted on

Slope Pension (Governmental) Library 2024.09: Multi-Year Projections, Non-Compounding COLAs and Other Enhancements

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.

Open image in a new tab to zoom in.

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.