IFoA SA7 case studies

IFoA SA7 · Put your knowledge to work in context.

SA7 is the Institute and Faculty of Actuaries' Specialist Advanced subject in Investment and Asset Management, aimed at qualified or nearly qualified actuaries who work in investment functions - insurer investment desks, pension scheme advisory, asset management, investment consulting or risk. It is a written, long-answer paper that tests judgement rather than recall: you are expected to apply investment theory to messy, realistic scenarios and defend recommendations in structured prose. The IFoA SA7 case studies are 5 cases and about 4,065 words.

Matching adjustment portfolio: a downgrade and a make-whole call in the same quarter

Northmoor Life has written £3.8bn of bulk annuities and backs them with a £4.2bn matching adjustment (MA) portfolio. The MA benefit is £310m, own funds are £1.52bn against an SCR of £1.10bn (coverage 138%), and the board's risk appetite sets a 130% floor.

854 words, about 4 min 2

LDI collateral calls when gilt yields spike: a trustee revolt

Kestrel Garments Pension Scheme (closed to accrual) has gilts-flat liabilities of £2.10bn with an interest rate duration of 16.5 years and assets of £1.81bn (funding level 86%). The trustees hedge 65% of interest rate risk and 55% of inflation risk through two pooled LDI funds that call collateral daily; leverage is about 3.5x.

776 words, about 4 min 3

Autocallable structured note in a with-profits fund: 8.5% is not a yield

Arden Grange is a £1.4bn with-profits sub-fund. The investment committee is considering a £75m allocation to a five-year FTSE 100 autocallable note.

848 words, about 4 min 4

Illiquidity for a weak-covenant scheme: chasing 250bp

Thornbury Engineers Pension Scheme has assets of £900m and liabilities of £1.15bn (funding level 78%), a deficit recovery plan of £12m a year over twelve years, and net cash outflows of £23m a year after contributions and investment income. Liability duration is 19 years and the sponsor's covenant is weak: two profit warnings in twelve months and interest cover of 2.1x.

768 words, about 4 min 5

Benchmark change, composite exclusions and a board that wants to extend

Wexcombe Retirement Benefits Scheme (assets £520m) invests in a segregated multi-asset mandate. In January the manager and trustees replaced the benchmark (60% FTSE All-Share, 40% FTSE Actuaries gilts, unhedged) with a bespoke benchmark of 45% global equities (50% hedged to sterling), 30% sterling aggregate bonds, 15% diversified growth and 10% cash, effective 1 April.

819 words, about 4 min