Actuarial Report on the Government Annuities as at 31 March 2021

I. Executive Summary

A. Purpose of Report

In accordance with section 15 of the Government Annuities Improvement Act (“the Improvement Act”) an actuarial valuation was conducted as at 31 March 2021 for purposes of determining the actuarial liabilities and financial position of the Government Annuities Account (“the Account”). Section 15 of the Improvement Act also states that any surplus or deficit emerging as a result of the actuarial valuation shall be reported and, in the case of a surplus, credited to the Federal Government’s Consolidated Revenue Fund (CRF) and charged to the Account or, in the case of a deficit, charged to the Federal Government’s CRF and credited to the Account.

B. Data, Method and Assumptions

Data on current retirees, beneficiaries, deferred members, premiums and benefit payments were provided by Employment and Social Development Canada (ESDC) and Service Canada. The data are gathered through the electronic reports from the Government Annuities Secured Website. The Government Annuities Branch located in Bathurst administers the annuities as well as the corresponding website. The data are from a reliable source. We have performed summary tests on the data, and have found that they are accurate, reliable and sufficient for the purposes of the valuation. A description of contract types and a summary of the data are shown in Appendix 1 and Appendix 2 of this report. The actuarial liabilities are the present value of expected future benefits, determined in accordance with accepted actuarial practice and statutory valuation assumptions. Subsection 3(4) of the Government Annuities Regulations (“the Regulations”) states that the actuarial liability is to be determined using an interest rate of 7% per annum and the mortality rates of the Annuity Table for 1983, as modified by Projection Scale G.

C. Results

The following table summarizes the results of the actuarial valuation as at 31 March 2021.

Table 1 Results Overview
As at 31 March 2021
Assets $ 76,637,877
Liabilities $ 75,755,079
Surplus (Deficit) $ 882,798
Count
Average
Annual
Pension
Vested Members 19,476 $ 688
Deferred Members 73 $ 1,646
Total 19,549 $ 691

D. Conclusion

The surplus of $882,798 is credited to the Federal Government’s CRF and charged to the Account. The next valuation will be performed as at 31 March 2022.

II. Introduction

The Canadian Government Annuities Act of 1908 was one of the earliest significant pieces of social legislation in Canada. Its purpose was to encourage Canadians to prepare financially for their retirement. Government Annuities were purchased either by individuals or by employers as pension plans for their employees.

By the 1960's, other social benefit plans, such as Old Age Security (OAS) and the Canada Pension Plan were introduced and began gaining importance in providing Canadians with basic retirement income. The government's recognition that retired Canadians could now be served by other social security programs as well as the private sector brought about the decision to disband the Annuities sales force. In 1975, an Act of Parliament formally ended the sale of Government Annuities. Employers, however, could register new employees under group contracts until 1979. The Government Annuities are not sponsored by the Government - meaning the Government has no fiduciary liability. Its responsibilities are limited to provide and secure benefits in accordance with each contract's provisions.

The Annuities Branch continues to administer contracts under payment and those due to become payable, on behalf of clients from across Canada and around the world. The Account is not subject to any federal or provincial pension legislation; it is only subject to the Government Annuities Act, the Improvement Act and the Regulations. The assets and liabilities are shown in the Public Accounts of Canada. The assets are notional and are not subject to any investment policy or performance goals and objectives.

The Office of the Chief Actuary (OCA), Office of the Superintendent of Financial Institutions Canada (OSFI), has the mandate of performing the annual actuarial valuation of the Account as of 31 March 2021. The purpose of the valuation is to establish the Account’s liabilities, notional assets, and financial position, based on the statutory valuation assumptions.

III. Data

A. Data Required

Since the actuarial valuation determines both the assets and the liabilities, full details on the members as well as on the cash flows that occurred within the year are needed.

B. Member Data

Basic data on pensioners, beneficiaries and deferred members are provided by ESDC and Service Canada. The data are retrieved from the Government Annuities Secure Website maintained by the Annuities Branch in Bathurst. The site enables the production of reports which show the member data required to establish the liabilities: certificate number, maturity date, member, spouse and beneficiaries’ gender and dates of birth, annual pension amounts, and form of pension.

The required data reports are VY4741 for vested members (pensioners) and GY5642 for deferred members (members with deferred rights).

Notes on VY4741 Vested Data

Additional pension amounts data are required from Service Canada concerning the continuing pensions for joint and survivor contracts with percentages other than 50% or 100%, as well as for reducing annuities. VY4741 data does not show the accurate continuing pension amounts for annuities of type 29, 37, and 70-79.

Moreover, manual additions must be done, as the VY4741 report excludes certain members due to internal validation controls at Bathurst. The data related to this limited number of members were extracted from the VY5141 report. There were 31 such members as at 31 March 2021.

Notes on GY5642 Deferred Data

Pursuant to the Improvement Act which granted annual accrual of contributions accounts at 7% from 1 April 1975, the following table shows the multipliers that must be applied to the annual original pension amounts.

Table 2 Multipliers for Deferred Pension Amounts
Premium Series Original
Interest Rate
Multiplier
44.0%1.22
53.0%1.32
63.5%1.29
74.0%1.22
85.0%1.14

These multipliers reflect the increase between the original interest rate applicable on the contracts and 7%. As the deferred members data only show the pension amounts prior to the enhancements, these multipliers are used to update the annual pensions.

It can be seen that the methodology used to derive these multipliers granted higher increases to contracts with lower interest rates, and vice-versa. The objective sought at the time was to distribute the increases as equitably as possible.

A reconciliation of pension amounts and membership status with last year’s membership has been performed. A detailed summary of membership data is shown in the Appendix 2 of this report.

C. Asset Data

Income consists of premiums received, funds reclaimed from the CRF for previously untraceable annuitants, notional earned interest and any transfer needed to cover the actuarial deficit. Payments and other charges represent matured annuities, commuted value of death benefits, premium refunds and withdrawals, and transfers to the CRF of actuarial surpluses and unclaimed annuities related to untraceable annuitants.

All reports used to determine the value of assets are provided by ESDC.

A list showing the names and short descriptions of the required reports is given in Appendix 3 of this report.

The data used are considered to be sufficient and reliable for the purposes of the actuarial valuation.

IV. Methods and Assumptions

A. Liability Valuation Method

The actuarial liabilities are associated with two groups of members: vested and deferred. The vested group consists of the participants for whom the pensions are in payment as at 31 March 2021. The deferred group consists of members for whom payment of pensions will start in the future. The liabilities are the actuarial present value of future pension payments, the result of discounting the future expected benefits with interest and post-retirement mortality.

B. Assumptions

The interest and post-retirement mortality assumptions are statutory, as stated in section 15 of the Improvement Act and subsection 3(4) of the Regulations. Namely, the liabilities must be based on a rate of interest of 7% per annum and on the mortality rates of the Annuity Table for 1983, as modified by Projection Scale G, published in Transactions of the Society of Actuaries, Vol. XXXV (1983), at pages 882 and 883.

Accordingly, the 1983 individual annuity mortality table (IAM83) is used for individual contracts and the 1983 group annuity mortality table (GAM83) is used for group contracts. Both tables are sex-distinct, and are projected for 15 years with Projection Scale G. Furthermore, for consistency with the methodology used to develop these mortality tables, the liabilities were calculated based on the annuitants’ attained age (age last) at the valuation date.

Extracts from these mortality tables as well as associated life expectancies can be found in Appendix 4 of this report.

C. Asset Valuation Method

Since section 14 of the Government Annuities Act states that the monies received or paid under this act form part of the CRF, the assets are notional. Each year, any difference with the liabilities calculated is either credited (in the case of a surplus) or charged (in the case of a deficit) to the CRF, with a corresponding charge or credit to the Account. Following these adjustments, the assets value as at 1 April 2020 is equal to the 31 March 2020 liabilities. The assets value as at 31 March 2021 prior to any charge or credit to the CRF is obtained by adding interest at 7% on the 1 April 2020 value and adjusting for cash inflows and outflows also at 7% annual interest rate.

V. Results

A. Balance Sheet

The following table presents a summary of the balance sheet of the Account for the 2021 and 2020 fiscal years.

Table 3 Balance Sheet
Fiscal Year2020-20212019-2020
Assets as at 1 April $ 85,407,162$ 96,301,548
INCOME
Interest to 31 March$ 5,438,538$ 6,141,971
Premiums for Deferred Annuities7272
Unclaimed annuities recovered from CRF7,22632,306
TOTAL5,445,8366,174,349
PAYMENTS AND OTHER CHARGES
Payments to Vested Members:
Vested Regular Annuity Payments$ 14,057,002 Table 3 Footnote 1$ 15,715,870 Table 3 Footnote 2
Vested Commuted Values80,05833,096
Total Payments to Vested Members:14,137,06015,748,966
Monies Refunded2,2717,895
Values Transferred to CRF (Vested & Deferred)75,78984,023
TOTAL14,215,12015,840,884
INCOME LESS PAYMENTS AND OTHER CHARGES$ (8,769,284)$ (9,666,535)
Assets as at 31 March$ 76,637,877$ 86,635,013
Surplus charged to the Account and credited to the CRF$ (882,798)$ (1,227,852)
Net Assets as at 31 March$ 75,755,079$ 85,407,162
Actuarial Liabilities as at 31 March $ 75,755,079$ 85,407,162

Table 3 Footnotes

Table 3 Footnote 1

Includes annuity and retroactive payments totalling $10,619 for members recovered from the CRF in 2020-2021.

Return to Table 3 Footnote 1

Table 3 Footnote 2

Includes annuity and retroactive payments totalling $40,088 for members recovered from the CRF in 2019-2020. Additionally, $10,136 of the $40,088 is an overpayment that was made to a participant who was not recovered or transferred to the account receivable as at 31 March 2020.

Return to Table 3 Footnote 2

B. Calculation of Interest

The following table outlines the calculation of the notional 7% annual interest credited to the Account for the 2021 and 2020 fiscal years.

Table 4 Calculation of Interest
Fiscal Year 2020 - 2021 2019 - 2020
VESTED MEMBERS
Interest on :
Prescribed Assets as at 1 April of prior year $ 5,875,819$ 6,594,020
Maturities26,03164,969
CRF Recoveries4081,302
Less interest on :
Annuity Payments(537,225)(598,832)
Commuted Values(2,938)(639)
Transfers to CRF00
TOTAL VESTED5,362,0956,060,820
DEFERRED MEMBERS
Interest on :
Prescribed Assets as at 1 April of prior year102,682147,089
Premiums11
CRF Recoveries418
Less interest on :
Maturities(26,031)(64,969)
Refunds(201)(660)
Transfers to CRF(12)(328)
TOTAL DEFERRED 76,44381,151
TOTAL INTEREST $ 5,438,538$ 6,141,971

C. Development of Actuarial Liabilities

The following table outlines the Account’s actuarial liabilities by members’ category as at 31 March of 2021 and 2020.

Table 5 Development of Actuarial Liabilities
Fiscal YearContract Type2020 - 20212019 - 2020
VESTED MEMBERS
Males, Ordinary Life10 - 16$ 36,289,397$ 41,336,309
Females, Ordinary Life10 - 1620,173,53421,911,561
Males, Guaranteed21 - 298,875,4979,948,624
Females, Guaranteed21 - 294,662,5765,126,150
Last Survivor30 - 373,789,8564,662,986
Reducing at OAS70 - 79605,067729,029
Annuities Certain50, 80177,639208,146
Temporary Annuities604,8894,160
Suspended Payments20,31013,309
VESTED TOTAL74,598,76683,940,273
DEFERRED MEMBERS
Ordinary Life1044,51441,602
Males, Guaranteed21 - 24642,737887,815
Females, Guaranteed21 - 24412,659484,366
Refunds in Process1,5201,814
Suspense AccountsAccount 72154,88451,293
DEFERRED TOTAL1,156,3131,466,889
TOTAL ACTUARIAL LIABILITIES $ 75,755,079$ 85,407,162

VI. Experience

A. Analysis of Experience

As there are no new contracts purchased under the Government Annuities Act, the main source of experience gains or losses is the mortality. It includes changes in expected future payments due to the death or survival of annuitants and the difference between actual and expected benefit payments during the year.

The table below presents a reconciliation of the surplus between 31 March 2020 and
31 March 2021.

Table 6 Gains (Losses)
Surplus as at 31 March 2020
Premiums paid with interest $ 73
Vested members mortality860,210
Deferred members - retirements, mortality, refunds43,507
Transfers from CRF and other data changes(20,992)
Surplus as at 31 March 2021$ 882,798

B. Alternative Assumptions for Purposes of the Account’s Financial Statements

Mortality

Following an external audit of the Account as at 31 March 2014, ESDC management asked the OCA to conduct a mortality experience study and to include the amount of the actuarial liabilities under experience-adjusted mortality rates in future Actuarial Reports on the Government Annuities.

Discount Rate

To promote greater comparability with other public service pension plans that are part of the Public Account of Canada, the liabilities shown in the Account’s financial statements is measured using a different discount rate than the prescribed interest rate of 7%. The alternative rate is established based on a yield curve approach. This yield curve is determined by reference to market yields at the end of the reporting period on Government of Canada Bonds and treasury bills.

The OCA has determined that the liabilities as at 31 March 2021 under experience-adjusted mortality rates and the alternative discount rate is $97.8 million, which is $22.0 million higher than under the prescribed assumptions. More details are presented in Appendix 5.

VII. Actuarial Opinion

In our opinion, considering that this report was prepared pursuant to the Government Annuities Act and the Government Annuities Improvement Act:

  • the data on which this report is based are sufficient and reliable for the purposes of this report;
  • the assumptions used comply with legislative requirements;
  • the methods employed are appropriate for the purposes of this report; and
  • as at 31 March 2021, there is a surplus of $882,798 which is credited to the Federal Government’s Consolidated Revenue Fund and charged to the Government Annuities Account.

This report has been prepared, and our opinion given, in accordance with accepted actuarial practice in Canada. As of the date of the signing of this report, we have not learned of any events that would have a material impact on the results presented in this report as at 31 March 2021.

Annie St-Jacques
Fellow of the Canadian Institute of Actuaries
Office of the Chief Actuary, OSFI

Thierry Truong
Fellow of the Canadian Institute of Actuaries
Office of the Chief Actuary, OSFI

Alice Chiu
Associate of the Canadian Institute of Actuaries
Office of the Chief Actuary, OSFI

Ottawa, Canada
30 August 2021

Appendices

Appendix 1 - Contract Types

The following describes the annuities provisions as specified by the contracts:

Ordinary Life: At maturity, this annuity is payable for as long as the annuitant lives, but at death the annuity ceases immediately and there are no death benefits.

Guaranteed: The annuity under this contract is payable for life but it is guaranteed for a minimum period of 5, 10, 15 or 20 years.

Contingent Survivor: This annuity is based on two lives. The annuity is payable to the principal annuitant for as long as he or she lives. At death, the annuity is payable to the survivor until his or her death.

Joint and Last Survivor: This contract differs from the Contingent Survivor contract in that the annuity instalments are payable to both parties. After the death of one partner, the annuity is made payable to the survivor as long as he or she lives.

Reducing Option: The Reducing Option is an arrangement whereby the level of the annuity purchased is paid at an increased amount from age 50 (or later) to age 65. At age 65, the annuity decreases by the amount of Old Age Security in effect at the date of maturity. The annuity is payable for life, with death benefits available for the duration of the guaranteed period, if there is one.

The following describes the contract types:

Single Life - No Guarantee (10 - 16)

  1. Ordinary
  2. Guarantee expired: on valuation change of 21 - 24
  3. From last or contingent survivor: 30, 35, 36, 37
  4. From last survivor guarantee expired: on first death of 31
  5. From reducing ordinary: on reduction of 70
  6. From reducing guaranteed: on reduction of 79, on valuation change of 29
    or from 71-74 where reduction and end of guarantee coincide
  7. From reducing survivor: 36, 37

Single Life with Guarantee (21 - 29)

  1. Guaranteed 5 years
  2. Guaranteed 10 years
  3. Guaranteed 15 years
  4. Guaranteed 20 years
  5. From 71-74 after reduction still within guarantee

Joint Lives No Guarantee (30 - 37)

  1. Ordinary Last Survivor (100%)
  2. Last Survivor guarantee expired (100%)
  3. Contingent Survivor (100%)
  4. Contingent Survivor reducing by one half at death of Principal Annuitant (50%)
  5. Contingent Survivor reducing by any other amount at death of Principal Annuitant

Annuities Certain (50 & 80)

  1. Certain level amount (Includes from 80 after reduction)
  2. Certain, reducing

Temporary Annuities (60)

  1. Temporary

Reducing Annuities (70- 79)

  1. Ordinary, reducing
  2. Guaranteed 5 years, reducing
  3. Guaranteed 10 years, reducing
  4. Guaranteed 15 years, reducing
  5. Guaranteed 20 years, reducing
  6. From 71-74, guarantee expired before reduction

Appendix 2 - Membership Data

A. Vested members

Table 7 Membership Data - Contract Types 10-16: Vested Ordinary Life
AGEMALES FEMALESTOTAL
50-59Average Pension505850720
Number358
Average Age58.758.058.3
60-69Average Pension979877919
Number6998167
Average Age65.866.466.1
70-79Average Pension811708764
Number9638041,767
Average Age76.375.676.0
80-89Average Pension642551615
Number6,1552,5918,746
Average Age85.285.185.1
90-100Average Pension708554649
Number4,0412,4966,537
Average Age93.093.793.3
100+Average Pension700474559
Number70116186
Average Age101.9102.7102.4
Total Average Pension 682577645
Total Number11,3016,11017,411
Total Average Age87.287.487.2
`

Table 8 Membership Data - Contract Types 21-29: Vested Guaranteed
AGEMALES FEMALESTOTAL
50-69Average Pension2,0931,9132,020
Number168114282
Average Age66.566.066.3
Average guarantee9.48.79.1
70-79Average Pension1,3611,1311,290
Number445198643
Average Age74.774.074.5
Average guarantee4.74.84.7
80-89Average Pension888883886
Number311243
Average Age81.780.881.5
Average guarantee1.72.92.1
Total Average Pension1,5291,3971,485
Total Number644324968
Average Age72.971.572.4
Average guarantee5.86.15.9
Table 9 Membership Data - Contract Types 30-37: Vested Joint & Survivor
MALES FEMALES TOTAL
Total Average Pension564322559
Total Number1,008221,030
Average Age85.984.285.9
Average Spouse Age82.783.382.7
Average Continuing Percentage74%70%74%
Table 10 Membership Data - Contract Types 50 & 80: Vested Certain
Average Pension1,177
Number43
Average Certain Period4.40
Table 11 Membership Data - Contract Type 60: Vested Temporary
TOTAL
Average Pension829
Number2
Average Age61.5
Average Period3.5
Table 12 Membership Data - Contract Types 70-79: Vested Reducing
MALES FEMALES TOTAL
Average Pension3,8734,4974,185
Number111122
Average Reduced Pension2,0071,8821,944
Average Age62.562.362.4

B. Deferred Members

Table 13 Membership Data - Contract Types 10: Deferred Ordinary Life
TOTAL
Average Pension3,202
Number2
Average Age66.0
Table 14 Membership Data - Contract Types 21-24: Deferred Guaranteed
MALES FEMALES TOTAL
Average Pension1,7681,3621,602
Number422971
Average Age62.161.161.7
Average Guarantee15.015.015.0

C. Membership Reconciliation

Table 15 Membership Reconciliation
VESTED
Contract Types10-1621-2930-3750&806070-79Total
Count as at 31 March 202019,5301,1161,2175342921,949
Maturities025001026
Transfers from/to Other Contract Types330(155)(174)60(7)0
Deaths or Expired Annuities Table 15 Footnote 1(2,443)(16)(12)(16)(3)0(2,490)
Net CRF TransfersTable 15 Footnote 2(6)(2)(1)000(9)
Count as at 31 March 2021 17,4119681,0304322219,476
DEFERRED
Count as at 31 March 2020101
Maturities(26)
Deaths and Refunds(1)
Net CRF Transfers(1)
Count as at 31 March 2021 73

Table 15 Footnotes

Table 15 Footnote 1

The 2,490 Deaths or Expired Annuities are composed of 1,705 group certificates and 785 individual contracts.

Return to Table 15 Footnote 1

Table 15 Footnote 2

The 9 net CRF transfers are 4 group contracts and 5 individual contracts.

Return to Table 15 Footnote 2

Appendix 3 - Sources of Data

Reports Required

The following are the reports used in order to perform the Government Annuities Account valuation. The main reports are provided by ESDC and Service Canada.

Membership Data

VY4741P1: Basic Vested Data
VY5141: Vested Annuitants to be added manually (Records to be completed using report VY4742P1)
GY5642: Basic Deferred Data

Service Canada also provides us with accurate pension amounts for plans 16, 37, 70-79, and 29, and additional data for plans 50 and 80. This data consists of pension amounts, reduced pension amounts where applicable, date of reduction and date of final payment. Even though the total actuarial liability is taken directly from VY5141 for plans 50 and 80, it must be individually calculated for purposes of gains and losses analysis.

Asset Data

VM3942: Vested benefit payments and maturities by period

GY5646, GM4741, and GM4742: Data related to refunds

Premiums paid are provided by the Annuity Accounting Division of ESDC.

Benefit payments are provided by the Annuity Accounting Division of ESDC.

The monthly VM3942 reports are extracted to reconcile the Annuity Accounting Division’s benefit payments. Ultimately, the Annuity Accounting Division’s figures are used for balance sheet purposes. The monthly GM4741 and GM4742 reports must be extracted for group and individual contracts.

Other Data

ESDC also provides balances for suspense accounts (GY5644 and GR3442), refunds in progress (GY5941) and suspended payments (VY5443).

Appendix 4 - Mortality Tables

Projection of Mortality

The mortality assumption is statutory, as stated in section 15 of the Improvement Act and subsection 3(4) of the Regulations. Mortality rates are to follow the Annuity Table for 1983, as modified by Projection Scale G published in Transactions of the Society of Actuaries, Vol. XXXV (1983), at pages 882 and 883. SOR/97-495, s. 2.

Accordingly, the IAM83 table is used for individual contracts and the GAM83 table is used for group contracts. Both tables are used on sex-distinct basis and are projected for 15 years with Projection Scale G. Furthermore, for consistency with the methodology used to develop these mortality tables, the liabilities were calculated based on the annuitants’ attained age (age last) at the valuation date.

The following table shows the mortality rates as well as Projection scale G for selected attained ages.

Table 16 Mortality Rates
AGEGAM83
ORIGINAL
IAM83
ORIGINAL
PROJECTION
SCALE G
GAM83
PROJECTED
IAM83
PROJECTED
MALESFEMALESMALESFEMALESMALESFEMALESMALESFEMALESMALESFEMALES
100.0002930.0000960.0003820.0001410.0075000.0120000.0002620.0000800.0003410.000118
150.0003250.0001400.0004350.0001880.0022000.0070000.0003140.0001260.0004210.000169
200.0003770.0001890.0005050.0002600.0014000.0050000.0003690.0001750.0004940.000241
250.0004640.0002530.0006220.0003490.0010000.0065000.0004570.0002290.0006130.000316
300.0006070.0003420.0007590.0004410.0049000.0105000.0005640.0002920.0007050.000376
350.0008600.0004760.0009170.0005450.0150000.0185000.0006860.0003600.0007310.000412
400.0012380.0006650.0013410.0007420.0200000.0225000.0009140.0004730.0009900.000527
450.0021830.0010100.0023990.0011220.0185000.0210000.0016500.0007350.0018130.000816
500.0039090.0016470.0040570.0018300.0175000.0200000.0030000.0012160.0031130.001352
550.0061310.0025410.0059940.0028910.0160000.0185000.0048130.0019200.0047060.002185
600.0091580.0042410.0083380.0044670.0150000.0175000.0073000.0032540.0066470.003428
650.0155920.0070640.0128510.0073360.0150000.0175000.0124290.0054200.0102440.005629
700.0275300.0123850.0213710.0116970.0135000.0175000.0224520.0095040.0174290.008976
750.0445970.0239920.0350460.0201270.0125000.0160000.0369290.0188360.0290200.015802
800.0740700.0429450.0570260.0363950.0125000.0150000.0613340.0342340.0472200.029013
850.1148360.0699180.0909870.0655180.0125000.0150000.0950900.0557360.0753420.052228
900.1663070.1117500.1348870.1136050.0110000.0135000.1408820.0911390.1142650.092652
950.2340860.1824190.1912140.1742280.0100000.0125000.2013280.1510520.1644550.144269
1000.3191850.2951870.2709060.2392150.0040000.0050000.3005610.2738060.2550990.221888
1050.4695310.4878160.4052780.3534140.0000000.0000000.4695310.4878160.4052780.353414
1101.0000001.0000000.6348140.5844620.0000000.0000001.0000001.0000000.6348140.584462

Life Expectancies

The following table shows life expectancies under the above-stated mortality assumption for selected attained ages.

Table 17 Life Expectancies
AGEGROUP INDIVIDUAL
MALESFEMALESMALESFEMALES
1565.471.867.172.2
2060.566.862.267.3
2555.661.957.462.4
3050.757.052.557.5
3545.952.147.752.6
4041.047.242.947.7
4536.242.338.142.8
5031.637.533.538.0
5527.132.729.133.3
6022.828.124.828.7
6518.723.620.724.3
7015.019.316.920.0
7511.815.313.516.0
809.111.910.512.4
857.09.18.19.3
905.36.66.26.9
954.04.64.65.1
1002.82.93.23.6
1051.91.92.22.5
1101.01.01.51.6

Appendix 5 - Alternative Mortality and Discount Rate Assumptions

Mortality Rates

The experience-adjusted mortality rates are based on the Canada Pension Plan retirement beneficiaries’ mortality assumptions, as developed for the 30th Actuarial Report on the Canada Pension Plan as at 31 December 2018. These rates are further adjusted using a 3% load for males and a 4% load for females.

Discount Rates

The annual alternative discount rates used to calculate the liabilities are 1.49% as at 31 March 2021 and 0.93% as at 31 March 2020. They are determined using a yield curve approach. Under this approach, the discount rate corresponds to an equivalent flat discount rate based on a yield curve and the projected cash flows. The yield curve is based on market yields at the end of the reporting period on Government of Canada bonds and treasury bills. The Bank of Canada develops and publishes monthly a yield curve for Government of Canada zero-coupon bondsFootnote 1.

Table 18 shows the actuarial liabilities under the experience-adjusted mortality rates and the alternative discount rates while Table 19 provides sample experience‑adjusted mortality rates at different ages and for different years.

Table 18 Development of Actuarial Liabilities (with Experience‑Adjusted Mortality Table 18 Footnote 1 and Alternative Discount RateFootnote 2)
Fiscal YearContract Type2020 - 20212019 - 2020
VESTED MEMBERS
Males, Ordinary Life 10 - 16$ 43,387,877$ 50,924,126
Females, Ordinary Life10 - 1624,651,46627,593,817
Males, Guaranteed21 - 2913,793,40416,302,027
Females, Guaranteed21 - 297,444,3968,767,338
Last Survivor30 - 374,863,5146,259,168
Reducing at OAS70 - 791,011,0181,286,407
Annuities Certain50, 80209,291252,646
Temporary Annuities604,7023,297
Suspended Payments20,31013,309
VESTED TOTAL95,385,979111,402,135
DEFERRED MEMBERS
Ordinary Life1090,01096,267
Males, Guaranteed21 - 241,380,7432,071,164
Females, Guaranteed21 - 24885,4881,138,568
Refunds in Process1,5201,814
Suspense AccountsAccount 72154,88451,293
DEFERRED TOTAL2,412,6453,359,106
TOTAL ACTUARIAL LIABILITIES $ 97,798,624$ 114,761,241

Table 18 Footnotes

Table 18 Footnote 1

Using mortality assumptions used for the CPP beneficiaries (with appropriate loading) consistent with the 30th CPP Actuarial Report for both fiscal years 2019-2020 and 2020-2021.

Return to Table 18 Footnote 1

Table 18 Footnote 2

Using a yield curve approach determined by reference to market yields at the end of the reporting period on Government of Canada Bonds and Treasury Bills (the equivalent flat discount rate is 0.93% as at 31 March 2020 and 1.49% as at 31 March 2021).

Return to Table Footnote 2

Table 19 Sample Mortality Rates (Experience‑Adjusted Mortality)
AGEMALES FEMALES
2021-222031-322041-422051-522021-222031-322041-422051-52
50 0.0027730.0024690.0022770.0021010.0019220.0017550.0016190.001494
55 0.0041910.0036760.0033890.0031270.0028410.0025570.0023580.002176
60 0.0053490.0045950.0042380.0039060.0028150.0024870.0022930.002116
65 0.0107390.0092460.0085210.0078560.0065960.0058350.0053800.004968
70 0.0161150.0139690.0128710.0118790.0114040.0101850.0094010.008672
75 0.0265600.0230350.0212340.0195940.0185800.0166410.0153540.014171
80 0.0446430.0386790.0356530.0329140.0321660.0286560.0264310.024403
85 0.0807940.0700630.0645760.0596000.0583600.0514910.0474660.043800
90 0.1448230.1280330.1201310.1128720.1073370.0956570.0897400.084293
95 0.2381700.2207870.2118470.2029700.1957000.1813490.1738240.166556
100 0.3549010.3409340.3318630.3224340.3048870.2919640.2836960.275646
105 0.4806540.4719150.4653770.4594040.4246600.4157460.4098470.404250
110 0.6012190.6016640.6020890.6022090.5468980.5471710.5480320.547876
115 0.6847570.6847860.6848710.6848730.6358990.6361300.6363120.636294
120 1.0000001.0000001.0000001.0000001.0000001.0000001.0000001.000000

The table below presents a reconciliation of the actuarial liability between 31 March 2020 and 31 March 2021.

Table 20 Reconciliation of Actuarial Liability (with Experience‑Adjusted Mortality Table 20 Footnote 1 and Alternative Discount Rates Table 20 Footnote 2)
Fiscal Year 2020 - 2021 2019 - 2020
LIABILITY AS AT 1 APRIL 114,761,241 $ 122,942,521
Accrued interest$ 994,923$ 1,966,276
Premiums7272
Reclaimed annuities7,22632,306
Annuity payments(14,137,060)Table 20 Footnote 3(15,748,966)Table 20 Footnote 4
Premium refunds and other(2,271)(7,895)
Unclaimed annuities(75,789)(84,023)
Change in mortality assumption-61,801
Change in discount ratesTable 20 Footnote 5(3,746,679)5,944,491
Experience(3,039)(345,342)
LIABILITY AS AT 1 APRIL $ 97,798,624 $ 114,761,241

Table 20 Footnotes

Table 20 Footnote 1

Using mortality assumptions used for the CPP beneficiaries (with appropriate loading) consistent with the 30th CPP Actuarial Report for both fiscal years 2019-2020 and 2020-2021.

Return to Table 20 Footnote 1

Table 20 Footnote 2

Using a yield curve approach determined by reference to market yields at the end of the reporting period on Government of Canada Bonds and Treasury Bills (the equivalent flat discount rate is 0.93% as at 31 March 2020 and 1.49% as at 31 March 2021).

Return to Table 20 Footnote 2

Table 20 Footnote 3

Includes annuity and retroactive payments totalling $10,619 for members recovered from the CRF in 2020-2021, and vested commuted value payments of $80,058.

Return to Table 20 Footnote 3

Table 20 Footnote 4

Includes annuity retroactive payments totalling $40,088 (including an overpayment of $10,136) for members recovered from the CRF in 2019-2020, and vested commuted value payments of $33,096.

Return to Table 20 Footnote 4

Table 20 Footnote 5

The discount rate used to calculate liabilities changed from 1.72% in 2018-2019 to 0.93% in 2019-2020 and 1.49% in 2020-2021 based on the yield curve approach.

Return to Table 20 Footnote 5

The following table outlines the calculation of interest for the 2021 and 2020 fiscal years.

Table 21 Calculation of Interest (with Experience‑Adjusted MortalityFootnote 1 and Alternative Interest RatesFootnote 2)
Fiscal Year 2020 - 2021 2019 - 2020
VESTED MEMBERS
Interest on :
Experience adjusted liabilities as at 1 April of prior year$ 1,036,040$ 2,041,707
Maturities3,42015,708
CRF Recoveries55323
Less interest on :
Annuity Payments(71,789)(148,096)
Commuted Values(395)(159)
Transfers to CRF00
TOTAL VESTED967,3301,909,483
DEFERRED MEMBERS
Interest on :
Experience adjusted liabilities as at 1 April of prior year31,24072,904
Premiums00
CRF Recoveries15
Less interest on :
Maturities(3,420)(15,708)
Refunds(226)(326)
Transfers to CRF(2)(82)
TOTAL DEFERRED27,59356,793
TOTAL INTEREST $ 994,923$ 1,966,276

Table 21 Footnotes

Table 21 Footnote 1

Using mortality assumptions used for the CPP beneficiaries (with appropriate loading) consistent with the 30th CPP Actuarial Report for both fiscal years 2019-2020 and 2020-2021

Return to Table 21 Footnote 1

Table 21 Footnote 2

Using a yield curve approach determined by reference to market yields at the end of the reporting period on Government of Canada Bonds and Treasury Bills (the equivalent flat interest rate is 0.93% for fiscal year 2019-2020 and 1.49% for fiscal year 2020-2021). The calculation of interest for the fiscal year is based on the rates at the beginning of the period while the end of period liabilities are based on the rates at the end of the period.

Return to Table 21 Footnote 2

Footnotes

Footnote 1

The methodology to develop this yield curve is set out on the Bank of Canada’s website.

Return to footnote 1