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  #1  
Old 03-28-2018, 09:41 AM
CrispyCobb CrispyCobb is offline
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Default RPIRM - Spring 2018

We're 30 days away. Who's with me on this?
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Old 04-04-2018, 12:06 AM
Mogwai Mogwai is offline
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Originally Posted by CrispyCobb View Post
We're 30 days away. Who's with me on this?
I am taking this. This will be my first ever written answer SOA exam. I am an ASA, EA, just got this and DAC plus the FSA modules left. Thas has definitely been a challenge to study for and quite different from all prior exams. I feel wildly unprepared at this point. Having trouble figuring out what to study, and how to study!
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Old 04-13-2018, 09:42 AM
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Old 04-21-2018, 02:04 AM
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Best of luck!!
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  #5  
Old 04-26-2018, 07:14 PM
CrispyCobb CrispyCobb is offline
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Originally Posted by Mogwai View Post
I am taking this. This will be my first ever written answer SOA exam. I am an ASA, EA, just got this and DAC plus the FSA modules left. Thas has definitely been a challenge to study for and quite different from all prior exams. I feel wildly unprepared at this point. Having trouble figuring out what to study, and how to study!
Hey Mogwai, good luck tomorrow! Let's this exam!

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Old 04-27-2018, 06:03 PM
Mogwai Mogwai is offline
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How many points are needed to pass this?
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Old 04-27-2018, 09:15 PM
Mogwai Mogwai is offline
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Anyone else take this? Thoughts?? Definitely bombed on #2. Anyone remember the key rate question numbers and answers?
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Old 04-28-2018, 08:54 AM
CrispyCobb CrispyCobb is offline
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I don't think there's any insight as to what the average pass mark is. Unlike the EA exams, there's no way for candidates to know how many points they earned for the community to glean a pass mark each sitting.

From what I remember,

Question 1 (6 points)
a) Describe the advantages and risks of infrastructure
b) Compare infrastructure to fixed income, real estate, and private equity

Question 2 (5 points)
Describe 5 prudent principles under CAPSA 6

Question 3 (10 points)
-Liability = 50m with a total duration of 14 (can't remember the duration split between short, mid, and long)
-Current Portfolio had 35m in short-term bonds, 5m in mid-term bonds, 5m in long-term bonds, and 5m in equity (can't remember the duration splits at the moment)
-Can't remember the weightings of the Proposed Portfolio
a) Describe the advantages of using KRD
b) Calculate the total effective duration and key rate durations of the Current Portfolio
I got 7.7 for the effective duration and 3.7, 1, and 3 for the KRDs
c) Calculate the dollar duration of the assets and liabilities
d) Calculate the change in assets and liabilities under both portfolios if the yield curve experiences a level decrease of 50bp
I think the Current Portfolio resulted in smaller change in funded status than the Proposed Portfolio
e) Calculate the change in assets and liabilities under both portfolios if long-term rate decreases 50bp but the other rates stay the same
I think the Proposed Portfolio resulted in a smaller change in funded status than the Current Portfolio
f) The company wants to minimize interest rate volatility. Recommend the Current or Proposed Portfolio and justify
Since both interest rate scenarios resulted in a different portfolio "winning", I just wrote something like "if the company expects level changes in the yield curve, then I recommend the Current Portfolio." I doubt I'll get full points on that since they say don't hedge your recommendations

Question 4 (7 points)
-The pension is invested in 100% equities
a) Describe the shareholder perspective
-The pension switches to 100% bonds. Describe the impact on
b) Shareholders' portfolios
c) Shareholders' after-tax income
d) Critique the statement "Pensions should be 100% invested in bonds"
I didn't really address what was good about the statement - I primarily wrote criticisms so I don't think I'll get full credit on that

Question 5 (6 points)
-The plan is closed and currently has 30m in active, 10m in TV, and 60m in retiree liabilities on an annuity purchase basis
-The company wants to reduce interest rate volatility and terminate the plan once it's fully funded
-Option 1 is a glide path based on accounting liability with triggers starting at 80%
-Option 2 is a 60m annuity buy-in contract for the retirees with 30m in fixed income and 30m in equities
a) Critique both options with regard to the company's objectives
b) Recommend another strategy

Question 6 (6 points)
-Showed two bonds and their durations, standard deviations, and correlations
a) Describe the inputs of ALM
b) Describe the outputs of ALM
c) Calculate the standard deviation of the bond portfolio that matches the liability duration

Last edited by CrispyCobb; 04-28-2018 at 10:19 AM.. Reason: Fix question 3a
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Old 04-28-2018, 09:16 AM
Mogwai Mogwai is offline
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Good summary.

The the KRD question, a) was to describe the advantages of KRD. For the level change in interest rates I thought the Proposed Portfolio was less volatile than the current portfolio? I remember the Proposed Portfolio shifted from heavy exposure to D1 to heavy exposure to D2. I remember the new portfolio duration I calculated to be 12.62, and the liability duration was like 14? I did match up to you 7.7 (and 3.7, 1, and 3). I recommended the Proposed portfolio due to a closer effective duration and less exposure to short term rates. I also think it asked for the change of 50 BP in the short term rates, not the long term rate?

For the last question I calculated .208 as the SD. I remember it was 82.20% weighting to the higher duration asset, and 17.80% to the other. SDs were .13 and .65 for the individuals? And correlation .75.
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  #10  
Old 04-28-2018, 10:08 AM
CrispyCobb CrispyCobb is offline
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Quote:
Originally Posted by Mogwai View Post
The the KRD question, a) was to describe the advantages of KRD.
Ah right, thank you! Iíll fix my post.

Quote:
Originally Posted by Mogwai View Post
For the level change in interest rates I thought the Proposed Portfolio was less volatile than the current portfolio? I remember the Proposed Portfolio shifted from heavy exposure to D1 to heavy exposure to D2. I remember the new portfolio duration I calculated to be 12.62, and the liability duration was like 14? I did match up to you 7.7 (and 3.7, 1, and 3). I recommended the Proposed portfolio due to a closer effective duration and less exposure to short term rates. I also think it asked for the change of 50 BP in the short term rates, not the long term rate?
For the KRD question, the calculations seemed more straight forward than I expected and I kept thinking ďam I oversimplifying this?Ē I honestly donít remember what my calculations were other than the 7.7 and 3.7, 1, and 3. I do wish I had had time at the end to go back and review my math because Iím sure I made a stupid mistake somewhere along the way.

Quote:
Originally Posted by Mogwai View Post
For the last question I calculated .208 as the SD. I remember it was 82.20% weighting to the higher duration asset, and 17.80% to the other. SDs were .13 and .65 for the individuals? And correlation .75.
I think I also got 0.208 for the standard deviation question.
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