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Version 2023.12 of the Slope Life Library has been unpublished so our users do not mistakenly utilize these invalid variables.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.
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
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
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.
This screenshot shows how new Investment Strategies are shown in green and can be merged from one model to another.
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.
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
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.
Select ‘Product Variables’ (or another level) on the left panel, check the checkbox for the desired variables and click the ‘Merge # Changes’ button to mass merge variables.
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.
The orange arrow icon opens the selected Source or Target model in a new 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.
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.
New Formula Option: Dynamically Aggregate Array Values
The formula editor now has an option to take the sum, product, minimum, maximum or average across all array values. Similar to using a SUMIF or other conditional formulas in Excel, this new operand allows for conditional operations or manipulations across the array values.
The Dynamic (Array) Aggregation Options are found under the Math Functions (Calculator Icon) > Aggregate Calculation (Sigma Icon) option in the formula wheel.
In this example, we are doing a dynamic summation across a data table array.
Change
Changed Validation Error to Warning
Users will now be warned when an Investment Strategy Portfolio variable references a product aggregate with ‘After Investment’ timing set. This is to inform users of potential misconfigurations.
Fixes
Merge mapping logic has been updated to better handle name changes.
Updated the Debug View to show all fields for Present Value and Goal Seek formulas.
User will no longer get an unknown error when merging a variable that does not have an array set in the variable properties of the source model and does have an array set in the variable properties of the target model.
Resolved a temporary issue resulting in unknown errors on the run logs.
Merge Multiple Table Structures and Data Tables at Once
The Governance module now allows users to merge multiple table structures and data tables at once so that each data table and table structure does not have to be individually merged one at a time. All nested table structures included in the mass merge will be automatically mapped for a more efficient merge experience.
Select Table Structures on the left panel, check the checkbox for desired structures and tables, and click the ‘Merge # Changes’ button to mass merge table structures and tables.
In addition to the mass merge capabilities, the merge module now refreshes the items in the left hand panel upon merging to remove the changes that no longer exist between the two models.
In-App Resource Center
The new Resource Center provides integrated support article searching and highlights new features within the Slope Application. Walk throughs and additional onboarding content will be available in the Resource Center in the future.
Enhancements
Copy and Paste Workbook Elements and Worksheets
Workbook elements (tables, visualizations, etc) can no be copied and pasted for easy repurposing and editing. You can also copy and paste worksheets.
Delete Workbook Folders
Folders can now be deleted from My Documents or your account’s workspace from within the Workbooks module.
Export All Elements in a Workbook to Excel
You can now export all elements (tables, visualizations, etc) to a single excel file with the ‘Send Now’ functionality. Each element will be sent in a different worksheet of the same excel file.
Fixes
Pasting a part of a formula in the editor will no longer clear out the operator.
Consistently showing the correct variable name in the error message when an aggregate calculation has an empty value.
Resolved an issue in which a renamed variable was listed multiple times when merging model changes in the Governance module.
Corrected the headers on the grouped projections view in the Projections module.
The state of the ‘is required’ property can now be merged in the Governance module.
Users can now merge model point field change if the alias on target model matches a name change.
Validation has been added to workflows to notify users that workflows have a limit of running 40 projections at once.
Large scenario tables should no longer cause projection delays.
Slope now offers both a Random Number Generator and Statistical Distribution function in the formula editor so that they can be used to run Monte Carlo Simulation. Slope supports Probability, Cumulative and Inverse Cumulative function types and the following distributions: Beta, Binomial, Exponential, Gamma, Lognormal, Normal and Poisson.
The Statistical Distribution Function can be found by typing “Statistical Distribution” after opening the Formula Wheel or by clicking on the Math Functions icon.
After selecting your desired distribution type, you can use the formula wheel to provide a value, calculation or variable for the additional distribution parameters. When the Random Number Generator is used in combination with the Statistical Distribution function, users can run Monte Carlo simulations to predict a variety of outcomes.
Click here for more information on Monte Carlo simulation in SLOPE.
Enhancements
In App Sorting and Filtering on Data Table Columns
Clients can now sort and filter on data table columns to more easily review, sort and edit data without having to export their table to Excel. Columns with a data type of string, decimal, integer, boolean, date and drop down list can be sorted or filtered.
Sort order updates and ‘clear column’ changes can be saved by using the save button but data value filtering will not persist upon save.
Clicking the arrow next to the header label will allow you to filter the columns using a value or a condition or clear the data from the column completely.
Click on the header label for any data table column (that is not a decrement or data table column type) to sort in ascending order. Click a second time for descending order and a third time to remove the sorting and return the data to the original order.
Improved Error Information for High Performance Mode (HPM) Projections
High Performance Mode (HPM) now offers improved error reporting. HPM errors are found on the Run Logs tab and Projection Run Summary on the Workbooks tab. A new ‘Error Report – HPM’ tab on the Projection Run summary will show new columns to provide additional info for troubleshooting. New columns include: variable name that errored, time index that the error occurred, data table and table structure (if the variable was a data table read), portfolio name, product name, model point record # and current array value when applicable. Errors are also grouped by the variable where the error originated.
High Performance Mode projections will show the variable errors grouped by the variable that the error originates from. Expanding the variable will show all the variables impacted as well as relevant details on scenario number, time index, model point record number, etc.
High Performance Mode errors can be found on the ‘Error Report – HPM’ tab of the Projection Run Summary.
On the Debug View for HPM projections, ‘Projection Time’ has been added and shows the time period that the projection was processing when the result was calculated. The column formerly called ‘Time’ has been updated to ‘Time of Result’
Easily Filter Workbooks to show Monthly, Quarterly or Annual Results
Workbook data tables and visualizations can now be easily filtered to view monthly, quarterly or annual results using a ‘View By’ control. Instructions on how to setup the control and filter the data are available here.
The Income Statement and Balance Sheet workbooks (e.g. GAAP IS/BS) found in the Slope System workspace provide an example of a workbook with a View By control.
Changes
The Operator Control is now integrated into the end of a formula instead of inserted in between two operands to better align with the typical order of operations for creating a formula.
Non breaking spaces on Data Table Data and Index columns are now being converted to a standard space so they do not result in an error retrieving records at runtime.
The Bond Equivalent option for Yield Curve Rates will automatically be selected when rates are fetched from the Treasury for scenario generation.
Note: The change to always calculate variables that are non time indexed has been put on hold. This will allow clients an opportunity to update their models to prevent excessive errors on variables or specific model points for a variable that did not need to be calculated. Communication with timelines and model update recommendations will be sent via email to all clients well in advance of this change.
Fixes
Slope will now return a descriptive error message when there is an invalid nested data table.
The validation message for an empty table will now be cleared when importing a ‘File Only’ table over top of an empty table.
The correct time index is again being reported in errors when using a non-default data table.
A complex array aggregation configuration will no longer result in an unknown error at runtime.
Calculating a table formula for the first time within a goal seek chain will no longer result in an unknown error at runtime.
