Completing the Replicating Portfolio Information Summary

Document properties

  • Type of publication: Guide
  • Date: April 2016

General

The purpose of this Guide is to assist administrators of pension plans subject to the Pension Benefits Standards Act, 1985 (PBSA) in completing the Replicating Portfolio Information Summary (RPIS)that is required to be filed with the Office of the Superintendent of Financial Institutions (OSFI). The RPIS contains information set out in the actuarial report (Report).

The Guide does not supersede the requirements of the PBSA, the Pension Benefits Standards Regulations, 1985 (PBSR), the Directives Of The Superintendent Pursuant To The Pension Benefits Standards Act, 1985 (the Directives), or any Guidelines that OSFI has issued or may issue regarding the administration of pension plans subject to the PBSA.

Who Must File

The administrator of a pension plan, or its agent, must file the RPIS if the pension plan

  • is subject to the PBSA;
  • contains a defined benefit provision; and
  • uses a replicating portfolio approach as an alternative settlement method.

Filing Requirements

The RPIS should be submitted to OSFI with any Report required to be filed in accordance with section 12 of the PBSAFootnote 1. The administrator of a pension plan shall file this document using the Regulatory Reporting System (RRS)Footnote 2.

The RPIS must also be completed for an actuarial report filed upon full termination of the plan.

Requirements Related to Electronic Filing

  • For details on how to file using RRS, please consult the Manage Financial Returns User Guide and other training material available on the OSFI website, and in RRS in the Documents folder under Training and Support.
  • All values reported in the RPIS must be expressed in dollars (not thousands of dollars). The same values as found in the Report should be entered.
  • All required information should be entered directly into the RPIS. Attached lists or files are not acceptable. Additional comments included in the Report to clarify the information provided in the RPIS do not need to be reproduced in the form.

PLAN INFORMATION

Line 001 – Registration number

Enter the five-digit registration number of the pension plan issued by OSFI. An "Other" number should be entered if the plan is also registered with a provincial authority.

Line 002 – Valuation date of report

Enter the effective date as of which values are being computed (valuation date) in the Report that is being filed.

Line 003 – End date of period covered by report

Enter the end date of the period covered by the Report, i.e. the valuation date on which the next actuarial report is required to be prepared.

REPLICATING PORTFOLIO INFORMATION

Section A – Replicating Portfolio Approach

A replicating portfolio approach relates to the establishment of a portfolio of assets that produces cash flows that match the expected benefit payments to plan members. This section contains information set out in the Report that is based on the assumption that a replicating portfolio would be established in the event of plan termination.

Lines 004 to 008 – Solvency liabilities

Enter the dollar amounts of solvency liabilities for the listed groups of plan participants:

  • First column: portion of the liabilities relating to participants whose entitlements would be settled by commuted value;
  • Second column: portion of the liabilities relating to participants whose entitlements would be settled through the replicating portfolio;
  • Third column: total of the first and second columns;

For purposes of line 007, the amount in the first column is $0, as all solvency liabilities relating to retirees and beneficiaries would be settled through the replicating portfolio.

For purposes of line 008, enter the sum of lines 004 to 007 for each column.

Line 009 – Solvency ratio

Enter in decimal format (2 decimal places) the solvency ratioFootnote 3 as at the valuation date.

Line 010 – Annual solvency special payments

Enter the dollar amount of solvency special payments to be made during the 12-month period following the valuation date, in accordance with the PBSA and PBSR.

Lines 011 to 018 – Investment portfolio

For purposes of lines 011 to 017, enter in percentage format (2 decimal places) the information that relates to the assets of the replicating portfolio.

For purposes of line 018, enter in percentage format (2 decimal places) the weighted average yields (third and fourth columns) and weighted expected impact of asset default and downgrade (fifth column), using the weights / allocation stated in the second column.

Line 019 – Proportion of assets allocated to investment grade fixed income investments

Enter in decimal format (2 decimal places) the proportion of assets allocated to investment grade fixed income investments.

Line 020 – Proportion of high quality fixed income investments included in investment grade fixed income investments

Enter in decimal format (2 decimal places) the proportion of high quality fixed income investments included in investment grade fixed income investments under line 019.

Line 021 – Rate of return before adjustments and margins

Enter in percentage format (2 decimal places) the best estimate nominal rate of return before adjustments and margins.

Line 022 – Diversification and rebalancing

Enter in percentage format (2 decimal places) the adjustment for diversification and rebalancing.

Line 023 – Expected asset default and downgrade

Enter in percentage format (2 decimal places and negative) the adjustment for the expected impact of asset default and downgrade. The figure must be equal to the value of that stated in the last column of line 018, but negative.

Line 024 – Investment management expenses

Enter in percentage format (2 decimal places andnegative) the adjustment for investment management expenses.

Line 025 – Administration expenses

Enter in percentage format (2 decimal places and negative) the adjustment for administration expenses.

Line 026 – Rate of return after adjustments before margins

Enter in percentage format (2 decimal places) the sum of lines 021 to 025.

Line 027 – Mortality and longevity risks

Enter in percentage format (2 decimal places) the margin for mortality and longevity risks. Select "Yes" or "No" to indicate whether stress testing was performed to measure the financial impact of adverse experience with respect to these risks.

Line 028 – Economic risks

Enter in percentage format (2 decimal places) the margin for economic risks, which include interest rate and inflation risks, as well as asset default and downgrade risks over expected. Select "Yes" or "No" to indicate whether stress testing was performed to measure the financial impact of adverse experience with respect to these risks.

Line 029 – Other risks

Enter in percentage format (2 decimal places) the margin for other risks not included in lines 027 or 028. Select "Yes" or "No" to indicate whether stress testing was performed to measure the financial impact of adverse experience with respect to these risks.

Line 030 – Total

Enter in percentage format (2 decimal places) the sum of lines 027 to 029. Select "Yes" or "No" to indicate whether stress testing was performed to measure the financial impact of adverse experience with respect to the combined risks in lines 027 to 029.

Line 031 – Nominal discount rate

Enter in percentage format (2 decimal places) the difference between lines 026 and 030.

Line 032 – Indexation rate

If pensions are indexed, enter in percentage format (2 decimal places) the indexation rate assumed to value liabilities to be settled through the replicating portfolio. Otherwise, enter "0".

Line 033 – Net real discount rate

Enter in percentage format (2 decimal places) the difference between lines 031 and 032.

Line 034 – Inflation rate

Enter in percentage format (2 decimal places) the inflation rate used under the assumption that a replicating portfolio would be established.

Line 035 – Mortality table and improvement scale

Select the mortality table and improvement scale used. If none of the mortality tables and improvement scales listed can be identified as the ones used, select "Other".

Line 036 – Other

If "Other" has been selected under line 035, specify the mortality table and improvement scale used. Otherwise, leave the line blank.

Line 037 – Adjustment for size

Enter in decimal format (2 decimal places; e.g. 0.95) the adjustments, if any, made to the mortality table for each sex to reflect the size of pension amounts provided by the plan. Otherwise, enter "0".

Line 038 – Adjustment for industry

Enter in decimal format (2 decimal places; e.g. 0.95) the adjustments, if any, made to the mortality table for each sex to reflect the industry in which the employer operates. Otherwise, enter "0".

Line 039 – Mortality table

If no margin has been included under line 027, enter in decimal format (2 decimal places; e.g. 0.95) the margin included in the mortality table for each sex. Otherwise, enter "0".

Line 040 – Improvement scale

If no margin has been included under line 027, enter in decimal format (2 decimal places; e.g. 0.95) the margin included in the improvement scale for each sex. Otherwise, enter "0".

Line 041 – Adjustment to the discount rate

If no margin has been included under line 027, enter in percentage format (2 decimal places and negative) the equivalent adjustment to the discount rate that would be needed, if there had been no margins included under line 039 and 040, to result in the same total liabilities had margins under line 039 and 040 been included. Otherwise, enter "0".

Line 042 – Probability that all future pension obligations will be met

If a stochastic modeling approach was used, enter in decimal format (2 decimal places) the probability that all future pension obligations will be met based on actuarial assumptions and margins used. Otherwise, enter "0".

Line 043 – Average payout ratio

If a stochastic modeling approach was used, enter in decimal format (2 decimal places) the average payout ratio where future pension benefits are not expected to be fully paid. Otherwise, enter "0".

Line 044 – Expenses for the establishment of the replicating portfolio

Enter the dollar amount of expenses associated with the establishment of the replicating portfolio included in termination expenses that reduce solvency assets.

Section B – Canadian Institute of Actuaries (CIA) Annuity Proxy Basis

This section contains information set out in the Report that is based on the assumption that annuities would be purchased in the event of plan termination.

Lines 045 to 049 – Solvency liabilities

Enter the dollar amounts of solvency liabilities for the following groups of plan participants:

  • First column: portion of the liabilities relating to participants whose entitlements would be settled by commuted value;
  • Second column: portion of the liabilities relating to participants whose entitlements would be settled by annuity purchase;
  • Third column: total of the first and second columns;

For purposes of line 048, the amount in the first column is $0, as all solvency liabilities relating to retirees and beneficiaries would be settled by annuity purchase.

For purposes of line 049, enter the sum of lines 045 to 048 for each column.

Line 050 – Solvency Ratio

Enter in decimal format (2 decimal places) the resulting solvency ratio as at the valuation date if liabilities under line 049 were taken into account.

Line 051 – Duration

If the indexation rate is "0" under line 032, enter in decimal format (2 decimal places) the duration of liabilities which would be settled by annuity purchase under line 049. Otherwise, enter "0".

Line 052 – Interest rate

Enter in percentage format (2 decimal places) the interest rate assumed to value liabilities which would be settled by annuity purchase under line 049.

Line 053 – Inflation rate

Enter in percentage format (2 decimal places) the inflation rate used under the assumption that annuities would be purchased under line 049.

Line 054 – Indexation rate

If pensions are indexed, enter in percentage format (2 decimal places) the indexation rate assumed to value liabilities which would be settled by annuity purchase under line 049. Otherwise, enter "0".

Line 055 – Mortality table and improvement scale

Select the mortality table and improvement scale used. If none of the mortality tables and improvement scales listed can be identified as the ones used, select "Other".

Line 056 – Other

If "Other" has been selected under line 055, specify the mortality table and improvement scale used. Otherwise, leave the line blank.

Line 057 – Adjustment for size

Enter in decimal format (2 decimal places; e.g. 0.95) the adjustments, if any, made to the mortality table for each sex to reflect the size of pension amounts provided by the plan. Otherwise, enter "0".

Line 058 – Adjustment for industry

Enter in decimal format (2 decimal places; e.g. 0.95) the adjustments, if any, made to the mortality table for each sex to reflect the industry in which the employer operates. Otherwise, enter "0".

Section C – Comparison with CIA Annuity Proxy Basis

Line 059 – Underlying equivalent CIA Annuity Proxy rate

Enter in percentage format (2 decimal places) the equivalent annuity proxy rate that would produce solvency liabilities that equal those based on the replicating portfolio in the Report. In determining this discount rate, the mortality and indexation assumptions should be the same as in Section B.

For further information, please visit the OSFI website or contact us at:

Office of the Superintendent of Financial Institutions
255 Albert Street
Ottawa, Ontario
K1A 0H2
Telephone: (613) 991-0609
Fax : (613) 991-6118
E-mail: ReturnsAdmin@osfi-bsif.gc.ca

Footnotes

Footnote 1

The administrator of a pension plan shall file a Report annually, or at such other intervals or times as the Superintendent may direct within six months after the end of the plan year to which it relates.

Return to footnote 1

Footnote 2

All pension plan regulatory returns must be filed using RRS except if they relate to transactions subject to the authorization of the Superintendent. Returns are not considered received at OSFI until the filing process is complete and the returns have been accepted in RRS. If the plan is not registered to file returns using RRS, it should do so immediately.  Pension plan administrators must contact the Bank of Canada, as host of the RRS system, to register for access to the Bank of Canada secure site and the RRS system. For assistance in registering, please contact RRS Support at the Bank of Canada by phone at 1-855-865-8636, or by e-mail at rrs-sdr@bank-banque-canada.ca.

Return to footnote 2

Footnote 3

Subsection 2(1) of the PBSR.

Return to footnote 3