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Hi When discounting immediate annuities using the GMM would we expect the discount rate to reflect an illiquidity premium in excess of the RFR,...

That is exactly what I had in my head! Thank you.

The first option in the solution, and given on page 11 of the chapter, is to calculate x% of the FS. Where the WP fund is split (1-x/x) between...

THANK YOU, that makes a lot more sense now!

Hi My questions relate to Q6 on Day 2 handout. In the solutions the following items are mentioned Discount rate is suitable risk discount rate...

Another IFRS/US GAAP comparison: - is the US GAAP sensitive to valuation assumptions, I know the course mentions that IFRS 4 was and this was an...

Makes sense thank you!

I think what I meant was would a proportion of the losses be covered by the estate. But since posting this I think I have got a bit of a better...

Hi A couple of questions here: 1) If a smoothing account was used would it be correct to think of the balance of the smoothing account to be:...

Thank you, for confirming.

Hi 1) Under IFRS it says that the BEL should be calculated to allow for the CoG/O. Could the method used to calculate the CoG/O be different to...

Hi When deductions are made for life cover from the AS, is the deduction the cost of life cover for benefit in excess of reserves or benefit in...

Like revision risk I am struggling to come up with an example of intangible asset risk. Given the asset must be intangible, but also that there...

Thank you. I was trying to think of a situation where this might be the case for life insurance. But I think what you were saying, is look out for...

Hi Another small question: - would it ever be appropriate to use model points instead of policy data for the calculation of regulatory capital...

Hi Another small question for Chapter 10: - we are given the example that ancillary own funds could be unpaid shareholder capital, could it also...

Thank you that makes sense now you say it :-)

Thank you, I don't think I had appreciated that would only want one regular bonus rate for a particular product. That makes sense now, thank you.

Thank you for confirming. So the choice of method is less about whether we are trying to apply to a wide range of policies or tailor it, more...

Ok, thank you. So, for maturity and death benefits might be greater levels of smoothing so payouts are closer to smoothed earned asset share....

Thank you.

A follow up question: - why is the profit on Non-profit business written in the WP fund allocated to AS either by a %age addition or addition to...

For example, if the reviewable annuity benefit was at the option of the p/h rather than through inflation adjustments?

Perfect, thank you!

Noted, thank you :-)

Thank you for confirming. That makes sense.

So I think we would be safe to assume that on life insurance products, unless there was specific accident insurance included as an additional...

Thank you, that makes sense.

My confusion started as one of the flash cards says may be separately identified. But as you said, they are more likely reasons for the change...

I definitely was overcomplicating. Thank you, that makes much more sense now.

Thank you. I am going through the X4 solutions and on page 14 of the solutions for Q4.2(iii) it states that there could be a contribution to...

Thank you. I had not appreciated that the valuation method had to correspond to the regulatory reserving method for the liabilities. To confirm...

Thank you Lindsay, that really helps.

Thank you Lindsay!

Hi Rahul, It is actually saying that two stresses are applied and the one with the greatest impact is the capital required. This is the same for...

Hi again, In this same section low interest rates are quoted as an environmental factor that impacts demand for life insurance products. Does...

A few more questions based on this chapter: 1) In the notes it says that there are differences between revenue recognition under US GAAP and...

I have some more EV questions that relate to differences between each of the approaches. MCEV PVIF may not be zero even when valuation basis is...

Thank you.

Realised this thread should link to Chapter 15 - sorry. I have a few more questions. 1) On page 9 of chapter 15 it states that the 4th step in...

Thank you Lindsay.

Thank you, this was really helpful! Follow up question on the last point made in the solutions for (ii): - in an EV calculation are the net...

Hi Lindsay, Yes it is, I didn't want to give any spoilers ;-) This makes sense, thank you. And thank you for highlighting the hint in the...

Also, in part (i) it states that we would discount using a risk discount rate. Are we using a risk discount rate because we are not using market...

Thank you Lindsay. I am now looking at (i) of Question 2 at the end of Ch 17. It says that the basis may be fully realistic. Could the basis be...

Oh, so simple! Thank you.

Thank you Colin, that makes a lot of sense.

Thank you Colin, I got my Treynor and Jensen mixed up. Would it be correct to say we should not use the Jensen to compare managers with differing...

Thank you Colin, that does help.

Thank you Colin.

Hi Related to X5.10 - when completing LDI with bonds in the notes it states there is mark to market risk. This is clearly an issue for...

Hi, I am looking at Q8(ii). It asks how a bank and pension fund might use ALM. I am considering how an investment fund might use ALM. I was...

Hi In question X4.4(i) suggests geometric price weighted could be used, how is this appropriate? Why is it suggested for property? X4.4(iii) what...

Hi Colin I don't have the ASET only the revision booklets and it is not clear why it is -0.47%. Please can you explain? I get 0.53% working...

In Q4 (i) solutions it states the PE involves long periods of cash drawdown? I thought there was a short period for committed funds and then a...

Hi Colin Thank you, I understand we would need to discount, I think my query was why we would use bond yields, rather than other yields/rates to...

Hi Colin Thank you for your responses. Q3 certainly makes sense that ABS would only be used for larger entities, thank you for clarifying. Rachael

Hi In Q6 - mark scheme says we need to discount using bond yields for immunisation, why do we do that? Does it not depend on the valuation...

Thank you Colin, that makes sense as it is only a 1 day VaR we are asked to calculate on the exam paper.

Yes, that makes sense, thank you.

Thank you for your response, particularly on 5.9 that makes things clearer.

I was referring to the MR COL list, Market, Relative Performance, Credit, Operations and Liquidity.

In Q7(i) of this paper currency risk is included in the list of different types of risk, this is not in the 'standard' list in SP5 currently, did...

Hi Another question on this paper, question 4 (iv). The question asks to suggest policies the govt could implement to bring economy out of...