2004年北美精算师考试真题：Course8RC

SOA真题November2004Course8RC

　　COURSE8:Fall2004-1-GOTONEXTPAGE

　　RetirementBenefits,

　　ComprehensiveSegment-Canada

　　MorningSession

　　**BEGINNINGOFEXAMINATION8**

　　COMPREHENSIVESEGMENT-CANADA

　　MORNINGSESSION

　　1.(9points)ApensioncommitteememberatyourCanadianbasedclientbelievesthatthe

　　interestrateforthedefinedbenefitplanvaluationsistoolow.Hesupportshisviewby

　　statingthatahigherinterestratewouldlowerthecostoftheplan.Asecondcommittee

　　memberarguedagainstraisingtheassumption.

　　Thechairmanofthepensioncommitteehasaskedyoutoleadadiscussionatthenext

　　pensioncommitteemeetingregardingtheinterestrateassumptionsforfundingpurposes

　　andforaccountingpurposes,andtheireffectontheinterestedparties.

　　Outlineyourdiscussion.

　　COURSE8:Fall2004-2-GOTONEXTPAGE

　　RetirementBenefits,

　　ComprehensiveSegment-Canada

　　MorningSession

　　Questions2–6pertaintotheCaseStudy

　　2.(12points)TheCFOofNOChasdecidedtotakeamoreactiveroleinmanagingNOC’s

　　pensionplanassets.InreviewingtheperformanceoftheNationalOilFull-TimeHourly

　　UnionPensionPlan,heisdisturbedbytherecentabsoluteperformance.Heproposes

　　thattheassetsshouldbemovedto100%domesticfixedincomebecausethatassetclass

　　hasoutperformedtheotherassetclassesin2ofthelast3years.

　　Youaregiven:

　　CalendarYearRfRmβ

　　20034%21%0.9

　　20025%-5%0.85

　　20014%1%0.8

　　AdditionalInformationfor2003

　　TargetPortfolioMix

　　for2003BenchmarkReturnin

　　2003

　　DomesticLargeCap

　　Equities

　　35%30%

　　DomesticSmallCap

　　Equities

　　25%47%

　　DomesticFixedIncome25%4%

　　InternationalEquities10%39%

　　RealEstate5%9%

　　Cash0%1%

　　(a)DescribethefeaturesinaStatementofInvestmentPoliciesandProceduresthat

　　couldhelptheCFOinhisevaluationofthePlan’sperformance.

　　(b)Calculatethe2001,2002&2003RiskAdjustedRateofReturnforthefund.

　　(c)Calculatethe2001,2002&2003TreynorMeasureforthefund.

　　(d)Evaluatetheinvestmentperformanceofthefundduring2003.

　　(e)CritiquetheCFO’sproposal.

　　COURSE8:Fall2004-3-GOTONEXTPAGE

　　RetirementBenefits,

　　ComprehensiveSegment-Canada

　　MorningSession

　　Questions2–6pertaintotheCaseStudy

　　3.(8points)ThegovernmentofGevreyisconcernedthatworkersareharmedbyswitching

　　companiesperiodicallythroughouttheircareers.Thegovernmenthasaskedforyour

　　assistanceinunderstandingthisissue.

　　(a)Describetheimplicationsofswitchingemployersonworkers’retirementbenefits.

　　(b)SuggestpoliciesthatcouldbeadoptedbythegovernmentofGevreytoimprove

　　theportabilityofprivateretirementbenefits.

　　(c)Describehowthesepoliciesaddresstheissuesidentifiedin(a).

　　(d)DescribetheimpactofthesepoliciesonNOC.

　　4.(10points)AuditorsinGevreyhavecriticizeditscurrentpensionaccountingstandards

　　asbeingmisleadingtoreadersoffinancialstatementsandcontrarytotheteachingsof

　　financialeconomics.

　　TheDepartmentofAccountingStandardsisconsideringchangestothecurrent

　　accountingrulestoachievethefollowinggoals:

　　•Increasedtransparency;

　　•Improvedconsistencywithhowfinancialeconomicsmeasures“risk”;and

　　•Morepracticalandusableinformationforfinancialstatementreaders.

　　(a)CritiquethecurrentaccountingrulesinlightoftheDepartment’sgoals.

　　(b)RecommendchangestotheaccountingrulestomeettheDepartment’sgoals.

　　COURSE8:Fall2004-4-GOTONEXTPAGE

　　RetirementBenefits,

　　ComprehensiveSegment-Canada

　　MorningSession

　　Questions2–6pertaintotheCaseStudy

　　5.(9points)Inordertoattractandretainemployeesinseniorpositions,NOCwantsto

　　introduceterminalfundingbyprovidingtheoptionsofaninsuredannuityoralumpsum

　　benefitfortheNationalOilFull-TimeSalariedSupplementalRetirementPlan(SRP).

　　Thelumpsumwillbeequivalenttothenetpresentvalueoftheafter-taxannualSRP

　　benefit.Theafter-taxpaymentfromtheinsuredannuitywillbeequaltotheafter-tax

　　annualSRPbenefit.NOCwillreimbursethememberforanyimmediatetaxespayable

　　underbothoptions.

　　Youaregiven:

　　•Pat,aseniorexecutiveofNOC,willretirewithanannualpensionundertheSRP

　　of$100,000.

　　•Thebefore-taxdiscountrateusedbyNOCtocalculatelumpsumbenefitsis10%.

　　•LumpsumannuityfactorsatPat’sretirementdateare:

　　Atadiscountrateof10%:9.5

　　Atadiscountrateof6%:13.5

　　•ThecostofbuyingPat’sannuityatretirementis$10forevery$1ofannual

　　benefitpurchased.

　　Gevrey’staxrulesforsinglepremiumannuitycontractsare:

　　•Theemployerobtainsadeductionforanypremiumsitpays;

　　•Theexecutiveisimmediatelytaxedonthefullpurchasepriceoftheannuity;

　　•Aproportionatepartofeachannuitypaymentwouldbedeemedatax-freereturn

　　ofthepremium(“exclusionratio”)andthebalanceistaxableattheindividualtax

　　rate.Forthispurpose,alifeexpectancyof20yearsisused.

　　(a)DescribetheissuesthatNOCmustaddressinadoptingaterminalfunding

　　approach.

　　(b)Calculatethecostdifferentialbetweenthetwoterminalfundingoptions.

　　Showyourwork.

　　COURSE8:Fall2004-5-S

　　RetirementBenefits,

　　ComprehensiveSegment-Canada

　　MorningSession

　　Questions2–6pertaintotheCaseStudy　6.(12points)NOCisproposingthefollowingchangestotheRetireeHealthBenefit

　　programofitssalariedemployees:

　　•EffectiveJanuary1,2004,theprogramwillbeclosedtonewemployees;

　　•Salariedemployeeswithlessthan20yearsofserviceatJanuary1,2004whodo

　　notretirebeforeJanuary1,2005willnotbeeligibleforthebenefitafterthatdate;

　　and

　　•Forallothersalariedemployees,effectiveJanuary1,2005,theportionofthe

　　premiumpaidbytheprogramwillbeinaccordancewiththefollowingschedule:

　　YearsofServiceat

　　Retirement

　　PlanRetiree/Spouse

　　20-2450%50%

　　25-2975%25%

　　30+100%0%

　　NOCwantsananalysisoftheproposedchanges,inrespectofthefollowinggroupsof

　　employees:

　　•GroupA–thesalariedemployeeswhoarecurrentlyeligibleforthebenefitsbut

　　wholosethebenefitsiftheydonotretireinthenextyear;

　　•GroupB–thesalariedemployeesotherthanthoseinGroupAwhoarenolonger

　　eligibletoreceivebenefitsundertheprogram;

　　•GroupC–thesalariedemployeeswhoareeligible,undercurrentassumptions,to

　　receivereducedbenefitsundertheprogram;and

　　•GroupD–thesalariedemployeesnotaffectedbytheproposedchanges.

　　(a)(7points)BasedontheageandservicedistributionoftheNOCFull-Time

　　SalariedPensionPlanatJanuary1,2004,estimatethenumberofsalaried

　　employeesinGroupsA,B,CandD.Identifyanyassumptionsyouusedinyour

　　estimate.

　　(b)(3points)Describeanyspecialaccountingtreatmentsthatareapplicablefor

　　GroupsA,B,CandD.

　　(c)(2points)DescribetheconsequencestoNOCoftheproposedchanges.

　　**ENDOFEXAMINATION**

　　MORNINGSESSION

　　COURSE8:Fall2004-6-GOTONEXTPAGE

　　RetirementBenefits,

　　ComprehensiveSegment-Canada

　　AfternoonSession

　　**BEGINNINGOFEXAMINATION8**

　　COMPREHENSIVESEGMENT-CANADA

　　AFTERNOONSESSION

　　Questions7–9pertaintotheCaseStudy

　　7.(8points)YourclientNOCisbudgetingforfiscalyear2005inJuneof2004.Theyhave

　　askedyoutoestimatethefiscalyear2005pensionexpensefortheNationalOilFull-Time

　　HourlyUnionPensionPlan.

　　Youaregiven(allnumbersin$000’s):

　　AccruedBenefitObligationatJanuary1,2004with6%discountrate=560,919

　　ServiceCostatJanuary1,2004with6%discountrate=27,169

　　2005EstimatedEmployerContributions=38,000

　　2005EstimatedBenefitPayments=12,100

　　(a)Describetheconsiderationsforselectingthereturnonassetsduring2004andthe

　　discountratefor2005forbudgetingpurposes.

　　(b)Estimatethe2005pensionexpenseusingadiscountrateof6%andassumingno

　　othergainsorlosses.

　　(c)Describeandestimatetheeffectofachangeintheeconomicenvironmentoneach

　　componentofyourestimateofthe2005pensionexpense.

　　COURSE8:Fall2004-7-GOTONEXTPAGE

　　RetirementBenefits,

　　ComprehensiveSegment-Canada

　　AfternoonSession

　　Questions7–9pertaintotheCaseStudy

　　8.(12points)NOC’sVice-PresidentofHumanResourceshasaskedyoutopropose

　　changestoNOC’sFull-TimeSalariedPensionPlaninordertoreducecost.Shebelieves

　　thatthepensionplanistoogenerousforparticipantswhoretirebeforeage60,andshe

　　wantsplanparticipantstoretirelaterinthefuture.

　　(a)Describetheprocessyouwouldundertakeinperformingaplandesignproject.

　　(b)RecommendpossibleplandesignchangestomeetthegoalsoftheVice-President

　　ofHumanResources.Providesupportforyourrecommendation.

　　(c)ThegovernmentofGevreyisproposingintroducingapensionadjustmentsystem

　　similartothatdefinedbytheCanadianIncomeTaxAct.Describehowyour

　　responseto(b)wouldchangeasaresultofthisproposal.

　　COURSE8:Fall2004-8-S

　　RetirementBenefits,

　　ComprehensiveSegment-Canada

　　AfternoonSession

　　Questions7–9pertaintotheCaseStudy

　　9.(10points)Gevreyisproposingtheintroductionofadefinedcontribution(DC)social

　　insuranceprogram(SIP)effectiveJanuary1,2004.Benefitswouldbefundedby

　　employeeandemployercontributions,asfollows:

　　•Employeesandemployersbothcontribute5%ofpayonearningsupto$45,000(the

　　“WageBase”).

　　•TheWageBasechangesinlinewithchangesintheaveragewageinGevrey.

　　•Contributionsareinvestedatthedirectionoftheemployeesbyprivatelymanaged

　　investmentcompaniesselectedbyGevrey.

　　•Accountbalancesareavailabletoprovidedeath,disabilityandretirementbenefits.

　　•Accountbalancesmustbeusedtopurchaseannuitiesnolaterthanage65.

　　(a)DescribethechallengesthatothercountrieswithDCbasedsocialinsurance

　　systemshavefaced.

　　(b)Recommendchangestotheproposedprogram.Justifyyourrecommendation.

　　(c)Inordertomaintainanemployee’stotalbenefit(DCSIPpluscurrentplan)ata

　　levelequivalenttothatprovidedunderthecurrentsalariedplanprovisions,the

　　CFOofNOCisproposingtoamendtheNationalOilFull-TimeSalariedPension

　　Planbenefitto0.5%ofbestaverageearningsuptotheWageBase,plus2.0%of

　　bestaverageearningsinexcessoftheWageBase.

　　Critiquethisproposal.

　　**ENDOFEXAMINATION**

　　AFTERNOONSESSION