IFoA SP10 case studies

IFoA SP10 · Put your knowledge to work in context.

SP10 (Investment and Asset Management) is one of the Institute and Faculty of Actuaries' Specialist Principles exams, taken after the Core Principles stage and typically alongside or before the Specialist Advanced subjects. It suits candidates heading toward investment consulting, insurer investment functions, pension scheme advisory work, or asset management roles where actuarial judgement meets portfolio decisions. The IFoA SP10 case studies are 5 cases and about 3,464 words.

LDI Collateral Squeeze at a UK Defined Benefit Scheme

A UK defined benefit scheme has £2.4bn of assets and liabilities of £2.9bn on a gilts+0.3% basis, a funding ratio of 83%. The trustee hedges 85% of interest-rate risk and 70% of inflation risk using leveraged gilt repo and inflation swaps.

755 words, about 4 min 2

Matching Adjustment Eligibility for an Annuity Portfolio

A UK life insurer has £6.0bn of annuity liabilities valued in a matching adjustment (MA) portfolio. The MA portfolio holds £5.4bn of fixed-coupon corporate bonds and £0.6bn of fixed-rate commercial mortgages.

707 words, about 4 min 3

Valuing Meridian Water Group with a Two-Stage DCF

Meridian Water Group is a listed utility with 900m shares, net debt of £1.8bn and last reported FCFF of £420m. Analysts expect FCFF to grow 8% a year for five years, then 2.5% in perpetuity.

675 words, about 3 min 4

Multi-Asset Allocation, Risk Parity and Illiquidity

A £1.2bn multi-asset fund for a corporate pension scheme targets CPI+4.0% over 10 years, with CPI assumed at 2.5%. The current strategic allocation is 45% global equity (expected return 7.5%, volatility 16%), 25% gilts (3.5%, 6%), 10% property (6.0%, 12%), 10% infrastructure (6.5%, 9%) and 10% cash (3.0%, 0.5%).

704 words, about 4 min 5

Brinson Attribution and a Performance Fee Claim

A UK equity fund manager reports a return of 11.9% for the year against a benchmark return of 10.2%, an excess return of 1.7%. The manager claims this demonstrates stock-selection skill.

623 words, about 3 min