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:
- Summary of reserve results, including the CTE(70) stochastic reserve result
- Stochastic Reserve details by scenario
- Stochastic Exclusion Test details
- Asset Collar test details
- 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:
- A VM-20 starting asset automation workflow to produce the final VM-20 reserves that satisfies the asset collar requirements.
- A Bermuda SBA BEL iterative solver for specified time points in a projection.
- 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.
