北美精算师考试之真题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
　　couldhelptheCFOinhis*uationofthePlan’sperformance.
　　(b)Calculatethe2001,2002&2003RiskAdjustedR
　　RateofReturnforthefund.
　　(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).
　　Thelumpsumwill
　　beequivalenttothenetpresentvalueoftheafter-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-STOP
　　RetirementBenefits,
　　ComprehensiveSegment-Canada
　　MorningSession
　　Questions2–6pertaintotheCaseStudy　6.(12points)NOCisproposingthefollowingchangestotheRetireeHealthBenefit
　　programofitssalariedemployees:
　　?EffectiveJanuary1,2004,theprogramwillbeclosedtonewemployees;
　　?Salariedemployeeswithlessthan20yearsofserviceatJanuary1,2004whodo
　　notretirebeforeJanuary1,2005willnotbeeligibleforthebenefitafterthatdate;
　　and
　　?Forallothersalariedemployees,effectiveJanuary1,2005,theportionofthe
　　premiumpaidbytheprogramwillbeinaccordancewiththefollowingschedule:
　　YearsofServiceat<　　/P>
　　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
　　discountratefor2005forbudgetingpurp
　　oses.
　　(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-STOP
　　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
 
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