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

Updated Slope Pension Library

General update

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.

Updated Slope Life Library

Fixes

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.

New Pension Library Model

US Governmental Defined Benefit Pension Plans

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.

Coming Soon

• Experience Study Module
• Additional IFRS 17 validation workbooks