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

New Features

Two-Dimensional Arrays

Two-dimensional arrays allow users to reference values from two different arrays within a single formula. This allows for the use of a single formula to calculate complex logic that varies by two different dimensions. Two-dimensional arrays help reduce the need for duplicated model logic and maintenance.

To learn how to setup and utilize two-dimensional arrays in your model, please review our support documentation here.

Portfolio Level Calculated Range Array Indexes

Calculated Range Array indexes can now be set using portfolio level variables to allow for more flexibility and minimize the need for extra array variables at the model point level.

Enhancements

Validation Updates

The following validation has been added in order to help our customers build and maintain more accurate models. Validation is added to prevent and alert our customers to invalid setups or configuration that could give incorrect or unexpected results.

• Variables that contain the ‘Projection Time Index’ system variable must have the ‘Force Recalc’ setting enabled.
• Cross level variables contained in a formula cannot reference different arrays (e.g. Product Variable formula references another product variable that uses one array as well as another portfolio variable that uses a different array).
• A standard variable cannot reference a post projection variable at another level.
• A non-time indexed variable cannot reference a time-indexed variable at another level.

Fixes

• Projection list loading times have been improved
• When uploading a new version of a file that is being used by an allocation, an error will no longer display.
• Output is now being written when an investment strategy errors after trying to sell more assets than are available.
• Now showing a descriptive error response on the Post Reports API endpoint when a workbook or element is not found

Enhancements

Mass Merge Arrays

The Governance module now allows users to merge multiple arrays at once so that each array does not have to be individually merged. Users can use the checkboxes next to the arrays to merge select arrays or all arrays.

Projection Optimizations

We have made several optimizations to projection runs. First, we are better handling runs with a large number of scenarios and ensuring that projection statuses and scenario statuses are updated accurately.

We have also optimized the “Prepare” step of projections, so that models with large numbers of decrement tables run successfully.

Fixes

• Slope now provides a descriptive error message when a projection cannot be duplicated due to the model permissions.
• The formula builder is now loading without intermittent slowness or freezing.
• Data tables will again successfully import when an account has a significant number of files.

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.

API

Update Data Tables API Endpoint

We have introduced a new API endpoint that allows you to update a data table using an existing file.

Workbooks

Customizable Table Styles (Beta)

Customize style and format settings for table, pivot table, and input table elements.

Calculation Columns in Input Tables

Calculation columns allow you to use formulas to populate input table column data. To utilize a calculation column, open the element menu, select Add new column > Calculation, then enter a formula in the formula bar.

Duplicate Input Table Columns

Duplicate columns in input table elements the same way you can in table and pivot table elements. Click the caret () in the column header to open the column menu, then select Duplicate column.

Highlight Rows with {value}

The highlight functionality allows you to quickly identify rows with a common value. Right-click any cell containing the value you want to highlight, then click Highlight rows with {value}. Sigma automatically creates a conditional formatting rule that can be modified or deleted in the Element format panel.

Fixes

• We are now correctly showing results of the target variable of a Goal seek with Output All Results enabled
• After merging between models, we are now retaining the filtering on the list of model differences
• Indirect array references are no longer getting incorrectly merged into variables

Updated Slope Life Library

Pricing Variables

Pricing variables across all liability products have been updated to work with a new Pricing Parameters input table that allows for the pricing basis to be set for each run. This includes specifying the basis under which pricing is being run as well as pricing targets.

The pricing variables have been updated to read from this table, but pricing logic is still only supported under US bases in this release. Additional calculation bases will be added in future releases.

Long-Term Care

• Added support for benefit pools that have been partially exhausted as of the projection start date. Users can now specify the amount of benefits remaining on a given policy, which will be used to limit remaining benefits projected on the policy.
• Corrected the calculation of in-force policy counts to correctly reflect all potential statuses, including continuation of joint benefit pool options.
• Corrected an issue with on-claim policies showing an incorrect number of in force lives
• Corrected the calculation of LTC benefits for policies with lifetime benefits

US GAAP LDTI

• New variables were added to all products to support additional disclosures under LDTI
• New discounting logic was added at all levels to support calculation of LDTI under Higher Performance Mode

Variable & Table Renaming

Numerous variables and tables have been renamed across the library to create consistency in naming conventions and provide greater clarity on the scope of the variables.

Other Updates

• Inputs to control the method of dividend payments on the Whole Life product were moved to a new Dividend Payment Method table which is now referenced from the Whole Life Plan Code table.
• Data Defaults were added to liability products to provide a default value of Policy Counts (1), Plan Code (“DEFAULT”), and Premium Mode (“DEFAULT”). These values can now be excluded from model point files without causing errors.
• Variable tags were updated on multiple liability products to ensure complete coverage when utilizing variable tag controls on projections.
• US Valuation interest rates were updated through November 2023.
• A number of variables with Present Value functions were revised such that the present values are calculated over a time period up until the end of the policy termination rather than a constant 100 years
• For Externally Projected Liabilities and Externally Projected Assets, created a new Cash Flow Projection Boundary variable to limit the present value of specific market value metric variables. This variable is currently set to a constant 100 years and will be updated in a future release to allow for more configuration setups.
• A number of variables referencing a USD currency were revised to reference an appropriate currency variable such that a user only needs to configure the currency in one place.
• Corrected some inconsistencies in the plan code table relating to the benefit periods and maximum benefit ages for some plans codes
• Added a few model points to the LTC model point file to illustrate on-claim model points and lifetime benefits
• Miscellaneous clean-up in the LTC product variables that do not affect results

Bug Fixes

• The initial asset scaling will no longer cause a duplication of assets in the portfolio at time 0.
• Excluding Pricing variables on annuity products with the variable tag controls will no longer cause an error.
• Monthly lapse rates on fixed premium products (Term, Whole Life, CI, LTC, IDI, and Hospital Indemnity) that lapse at times corresponding to the time of premium payment were corrected to reference the prior year’s annual lapse rates. This change is consistent with the default lapse rate timing to occur at the beginning of the year for these products.

Experience Study Analysis

Experience Study Model

Slope has published a standard library model for performing experience studies. This library includes the following functionality:

• Selection and categorization of actual claims/experience data transactions
• Construction of expected values and exposure records
• Calculation of actual rates, actual vs. expected rates, and credibility analysis
• Splits by any data category desired

Experience Analysis Workbooks 

Two new workbooks have been added to the Slope System workbooks in the Experience Study folder:

Experience Study Results provides tools to analyze results of the experience study library runs including calculations of actual rates, actual vs. expected values, and credibility calculations. The workbook includes dynamic grouping values to calculate results by age and/or duration groups.

Experience Study Validation provides a framework for running validation analysis across the set of actual transaction and expected data records. This includes data validation rules and statistical information to help analyze the data being processed through the experience study.

New & Updated Workbooks

Asset Purchase/Sale Details

This investment details report provides details on the amount of assets being purchased and sold and how those investments are applied down to the model point level. This report is helpful in understanding how your investment strategies are operating.

LDTI

New workbooks to show results of US GAAP LDTI have been added. These include analysis and disclosure based output.

Bermuda

New workbooks have been added to the Bermuda folder that provide details for the calculation of the Best Estimate Liability (BEL) under the Scenarios Based Approach (SBA).

Indexed Annuity

Indexed Annuity Single Policy Details

Fixed Annuity

Fixed Annuity Single Policy Details

Coming Soon

• Additional IFRS 17 validation workbooks
• Example design patterns for reporting workbooks to more easily illustrate how to create custom workbooks
• Projection comparison workbook(s)
• Example ALM setup

New

Merge New Investment Strategies and Asset Allocations

Slope will now show Asset Allocation and Investment Strategy adds, changes and deletes and will allow clients to merge new Asset Allocations and Investment Strategies from one model to another. This is done using Compare & Merge Models found in the Governance Module.

Surfacing Relevant Support Documentation on Model Development Pages

When you are in the Models module and click the Resource Center (question mark found in the lower right corner of the application) and select the ‘Help Center’ section, you will now find relevant support documentation surfaced. In the next couple of weeks, you will see relevant support content surfaced for all pages of the support application.

Enhancements

Creating a New Table Structure Now Loads the Data Table on Screen

Now when users create a new table structure, give it a name and click save, they will see the table structure loaded on screen so they can immediately beginning editing and adding columns.

Fixes

• The default value rows when a data table is used as a data table array are now being excluded so that the debug view shows the expected result.
• Resolved an issue in which the second instance of a dynamic product was being processed statically.
• Terminated model points are now being filtered from target value match and pro rata investment strategy rules.
• Filtered pro-rata investment strategies will no longer fail when there is a backup sales step.
• The copy model page should now consistently load without requiring a page refresh.
• Images from support documentation are now loading properly within the Resource Center found in the lower right corner of the application.
• Validation will no longer incorrectly force variables referencing non-time indexed variables to be set as time-indexed.
• High Performance Mode post projection variables will no longer fail due to an incorrect missng array value.

New

Set Default Value for Empty Model Point Values

You can now set a default value for fields in your model point file definition. If your model encounters a row with missing data, it will apply the default value provided for that field. A default value can be provided on required and optional model point fields.

Enhancements

Import Any Age in Decrement Table or Improvement Scale

You can now import any integer value as an age in decrement tables and improvement scales. We previously limited ages to 120. The 120 age limit still exists in the interface but can be altered by importing a file.

Persist State of Projection Folders

When you have projection folders expanded, collapsed, or selected, that state will be retained as you navigate across the site and even when you log out and log back in.

Ordered Yield Curve Columns in Scenario File Template

When exporting a scenario file template, yield curve point columns will be in order of duration rather than the order they were entered in the template. Scenario files generated using scenario structures will also be ordered by duration.

New API Endpoints: Get Table Structures and Get Data Tables

We have introduced two new API endpoints. One endpoint returns the all table structures for a given model ID, and one endpoint returns all data tables for a given model ID.

Fixes

• References to global company variables from within product variables no longer improperly run the product dynamically
• Array values for range array variables and force recalc variables are again being properly written to results
• Changing a table structure column type between Index and Data works without error
• Inserting and pasting inside aggregate formulas no longer results in an invalid formula structure
• Goal Seek no longer results in infinite loop when time of target is different than time of goal seek
• Commas in Table Structure column name no longer result in errors

New

Mass Merge Product, Portfolio and Company Variables

The Governance module now allows users to merge multiple variables at once so that each variable does not have to be individually merged one at a time. Users can merge select or all variables at the same level (product, portfolio or company). All dependent variables included in the mass merge will be automatically mapped for a more efficient experience.

Model Links in Compare & Merge Models Module

Users can now open the source and target models in a new tab from with the Compare & Merge Models module so they can easily review the details of those models on another tab.

Input Tables on Workbooks

Input tables allow users to incorporate supplemental data into their reports. They allow users to integrate new data points into their analysis and augment existing data to facilitate rapid prototyping, advanced modeling, forecasting, what-if analysis, and more—without overwriting source data or having to incorporate input data into Slope models. 

For more information on incorporating Input Tables in your workbooks, visit our support article here.

Enhancements

• HPM now honors the error limit set on projections.

Fixes

• Model point file definition field names (headers) are now case insensitive for HPM runs.
• Merging a variable change consistently removes indirect array references as appropriate.
• Force recalc variables for dynamically run products are consistently being output for time periods during the projection period.
• Projection time is again being consistently set for force recalc variables for all time periods in the debug view.
• Main variable result is again showing at the top of the debug view when an array value is selected.
• Invalid product range array configuration is being consistently captured by validation.
• Drag and drop is no longer freezing when the user opens the relationship view in another tab while using the formula editor.
• Model point field merges are again successfully being merged.