Attachment 7 - DRAFT Solicitation Phase 2 Forms.docx

Pension Benefit Guaranty Corporation Fixed Income Investment Services

Attachment 7: Solicitation Phase 2 Forms

Instructions: Complete the following forms as indicated. When applicable, page and word limits are specified; if no page or word limits are specified, none apply. However, offerors must always strive to ensure their narrative responses are on-topic, fully responsive, clear, well-organized, and as concise as possible.

The products proposed in the Product Attributes and Past Performance Form must match the products proposed in Phase 1. This includes any products that did not meet the minimum qualifications in Phase 1, as PBGC may still consider them as part of an offeror’s overall proposal.

Include all required supporting information in a zipped folder entitled Volume 2 Supporting Materials.

Offeror Capability Form

A. Business Issues and Strength of the Firm

1. Please provide the following firm information:

a. Firm name:

b. Address:

c. Telephone number:

d. Email:

e. Client Contact:

f. Title:

2. Please provide a brief written description of firm history (limit response to 200 Words or less).

3. Describe the ownership of the firm, including but not limited to:

a. Provide organizational charts diagramming relationships between the parent-subsidiary, affiliate, or joint venture entities and include ownership percentages and percent of pre-tax gain or loss. Add another chart illustrating the relationships between professional staff including names and titles. Include this as an attachment.

b. Firm capitalization structure (i.e., percent debt, percent equity, etc.),

c. Percent of total firm revenues and percent of firm pre-tax profit or loss derived from investment management services for the 12-month period ending 06/30/2025.

d. Do investment professionals participate in equity ownership? What is their percent stake?

4. Describe any significant developments in your organization (changes in ownership, personnel, business, etc.) over the past five years.

5. Is your firm presently considering any changes in ownership, business combinations, or other significant organizational changes?

6. Describe the lines of business in which your firm is involved. Provide the percent of firm revenues and percent of firm pre-tax profit or loss that were derived from each line of business for the 12-month periods ending 06/30/2023, 06/30/2024, and 06/30/2025.

7. Provide a pie chart with a breakout of the major asset class (ex. Fixed Income, Equity, Alternatives) AUM that your firm manages. Also provide a breakout of fixed income sub-sector AUM.

8. State if any claims were filed against the SEC-required (17g-1) fidelity bonds, errors and omissions coverage and/or any other fiduciary coverage that your firm carries, over the last five years for the period ended 06/30/2025. If so, disclose size, the nature of claim, and its resolution or current status if no resolution has been achieved.

9. Provide a link to the most recent annual report (10-K), and quarterly financial statements (10-Q) filed with the SEC, if applicable. If the firm does not currently file financial statements with the SEC, provide audited financial statements for the most recent fiscal year plus the period since the most recent fiscal year through 06/30/2025 and identify the auditing firm. If audited financial statements are not available, please provide unaudited financials. If the firm does not provide its non-SEC financial statements, provide a letter confirming a positive net worth for the firm from an independent CPA firm and details on the financial condition of the firm. Lastly, include any recent material changes to the firm that have occurred since the most recent financial statement provided.

10. If applicable, what are the short term and long term credit ratings for your firm and its parent company (according to S&P, Moody’s and Fitch)? Please indicate whether there have been any recent changes in these ratings.

11. Comment on any current or planned areas of business emphasis over the next five-year period.

12. Assets Under Management – Please complete Table 4 in Excel attachment

13. Please provide an organizational chart of the asset manager's senior management (i.e. the CEO's direct reports)

14. Please provide biographies of direct reports to the CEO (including years of experience and years with firm)

15. Describe your firm’s additional investment management capabilities in other asset classes (equity, private equity, alternatives etc.)

16. What other investment management advisory services does your firm provide for institutional clients (benchmark replication, overlay, cash management, etc.)

B. Firm Support Infrastructure and Operations

1. List the total number of persons employed by discipline by completing Table 5 in the Excel attachment. Additionally, provide a separate breakdown of the number of persons involved in managing the subject products.

2. Provide the location, functions performed, and staffing information for each of your firm's investment management offices by completing Table 6 in the Excel attachment (as of 6/30/2025).

B.1 Firm-wide Risk Management

1. Do you have a risk oversight officer who operates independently from portfolio managers or other investment decision makers (i.e., CIO)? (If so, please provide biography.) Is risk oversight part of, or separate from, general compliance activities?

2. Provide an organizational chart for the risk department and provide bios for key risk personnel. Describe reporting lines for risk management at the firm.

3. Elaborate on the firm’s overall risk management policies. Explain how the firm measures key fixed income investment and operational risks and detail any risk management rules or guidelines that the firm currently uses in fixed income portfolio construction.

4. How often are general risk oversight policies and procedures reviewed to ensure they reflect current practices in the investment industry?

5. What systems are used to track and report risk? Are the systems proprietary or off-the-shelf?

6. Describe procedures and processes in place to address counterparty risk. Are there different counterparty lists based on the instrument traded or contract entered (Repurchase agreement, CDS or futures counterparty lists)?

B.2 Firm-wide Compliance

1. Provide an organizational chart for the compliance team and provide biographies for all personnel critical to the compliance process.

2. Does the firm have a written ethics policy? If so, describe the primary rules.

3. How often are employees trained on firm wide compliance/ethics policies?

4. Describe how the firm monitors compliance with client and firm guidelines, applicable laws, rules and regulations. Specifically address which compliance system is used. Is it proprietary, or off-the-shelf? Is a daily post-trade compliance check undertaken for all portfolios? If not, does this capability exist?

5. Describe how the firm monitors compliance with client limitations on derivatives usage and specifically the use of leverage in client portfolios.

6. Describe the escalation procedures for investment guideline violations. Provide an example of recent fixed income guideline violation(s) and how the issue(s) was (were) resolved.

B.3 Firm-wide Continuity of Operations (COOP)

1. Do you have a plan and arrangements in place for an alternative work site or systems should your facilities and systems become inoperative because of fire, earthquake, or other COOP events?

2. Provide your firm's most recent disaster recovery or COOP plan (or an executive summary of the plan), the frequency of testing, and the most recent testing results in an attachment.

B.4 Firm-wide Trading

1. Is your firm, its parent, or other affiliates a broker/dealer?

2. Does your firm trade for client accounts through this broker/dealer?

3. If so, state how much trading is conducted through the affiliated broker/dealer, and the reason for trading with this related party.

4. Outline your trading process and provide an organizational chart of the trading department.

a. Does your firm have a dedicated trading department and staff or do PMs also trade (or both)?

b. If a dedicated team, indicate the number of dedicated fixed income and derivative traders and their sectors (Treasuries, Corporates, High Yield, EMD, etc). Provide biographical information of the senior and key trading personnel in an attachment.

5. Describe your firm’s policies and procedures for trading and execution, including those relating to:

a. How your firm seeks to achieve best execution;

b. How your firm ensures equitable trading for all clients and exceptions to this policy, if any;

c. Allocation of trades (e.g. portfolio manager or automated); and

d. Side-by-side management of hedge funds and other products, if applicable.

6. Describe your firm’s approach to managing fixed income transaction costs; include an explanation of how your firm evaluates the bid-ask spread of purchases and sales.

7. Describe the methods for monitoring and minimizing implementation shortfall.

8. Describe the firm’s fixed income trading capabilities as they relate to derivatives and the proposed products.

9. Provide a description of your fixed income trading platform, including systems (proprietary and off-the-shelf) for execution and processing.

a. Describe the allocation objectives and implementation procedures across all accounts. What is the process by which trades are allocated across separate accounts versus commingled accounts? Describe both the tactic of allocating the initial trade as well as the strategy of building positions across accounts.

b. List the external trading systems the firm uses (e.g. Bloomberg, MarketAxess, Tradeweb, etc.) and the percentage of trades completed on each system.

c. What steps has the firm taken to automate the trade flow process? What percentage of the trade flow process is automated? If not 100%, what areas involve manual processes and why?

d. How does your firm manage and monitor market liquidity?

10. Discuss your firm’s internal monitoring process for final price determination and trade order management. Are there dedicated committees overseeing these functions?

11. FX trading:

a. How does your firm conduct foreign exchange trading?

b. What due diligence do you apply when selecting your FX providers?

c. What methods do you use to validate that you are receiving competitive rates from your FX providers?

d. What metrics or methodology, if any, are used to analyze and rank your FX providers?

12. What is the policy for resolving trading errors? Include a description of policies related to client notification and compensation for trading errors. What parties at the firm are involved in the trading error resolution process? What is the target time frame for resolving trading errors?

13. How (on what basis) are traders evaluated? What are their incentives?

14. Is a third-party firm employed to evaluate the trading efficacy of your firm’s trading/traders? If so, what type of feedback in terms of evaluation and reports does your firm receive and at what frequency? How is this information used?

B.5 Firm-wide Back Office

1. Briefly describe your firm’s back office operations organization and structure. Provide an organizational chart of your firm’s back office divisions. If back office is outsourced, name the provider and describe the extent of relationship in terms of responsibilities handled by the outsourced provider and how these responsibilities are monitored and evaluated by your firm.

2. Please provide biographical information on key back office executives and other key personnel who would interact with a PBGC portfolio.

3. What systems are used to support back office functions? Are they off-the-shelf or proprietary? How do these IT systems interact with the trading, accounting, pricing and portfolio management systems?

4. How often does your firm price the portfolio? What method(s) and what source(s) does your firm utilize to price the portfolio?

5. Describe the firm’s experience providing data such as monthly holdings data and OTC derivatives contracts data to commercial risk systems.

B.6 Firm-wide Client Service Questions

1. Please provide an organizational chart for client service.

2. Provide biographies for the client service officer and back-up who will be assigned to the PBGC relationship and where these personnel are located.

3. How often would PBGC client service personnel be available for client meetings? How often would the portfolio manager be available for client meetings? How often would the chief investment officer and/or other senior personnel in the organization (e.g., CEO) be available for client meetings?

4. Explain your firm’s approach to client service and how the client service team dedicated to the PBGC account would function, including lead person, back-up, quality control, and support services.

5. Describe your client reporting capabilities and how your client reporting system can meet the needs of PBGC as described in Section C, Statement of Work – Deliverables/Reports of this RFP.

6. Describe any on-line information or reporting capabilities the firm provides for client use.

C. Firm Regulatory Compliance and Corporate Governance Framework

1. Indicate your firm's fiduciary classification:

______Bank Insurance Company Registered Investment Advisor (Investment Advisers Act of 1940) Affiliate of Fiduciary (Name and Classification): ____________________ Other: _______________________________________________________

2. Has your firm ever been subjected to an independent evaluation of its internal policies and procedures (SSAE 18)? Indicate whether such evaluations have identified any weaknesses within the firm and describe any corrective actions implemented during the last year.

3. Provide the firm’s policy (or an executive summary of the policy) for informing clients of any trading blackout periods related to receipt of material non-public information as a result of serving on Creditors’ Committees.

4. Has your firm or an individual at your firm undergone an examination or investigation with any Attorney General or Government Agency or Regulatory Authority within the past five years?

0. If so, when did the examination or investigation occur and were there any significant actionable follow up items?

0. If your firm is not regulated by the SEC (i.e. the organization operates under a bank charter), what regulatory entities does the firm report to and what filings or other disclosures must be provided to said regulatory entities? What audit processes must the firm perform?

0. Describe all other major regulatory entities, domestic and/or international, that regulate your firm’s investment management activities/business and that impact the products your firm is proposing to PBGC. Over the past five years, has your asset management division or any officer or principal been involved in any business litigation or legal proceedings? If so, provide an explanation and the current status of the matter(s). Fully disclose any pending issues.

5. Describe any potential conflicts of interest your firm may have in the management of PBGC accounts. Include any activities of affiliated or parent organizations, brokerage activities, investment banking activities or any existing or prior arrangements or relationships with any current board member. Include any other pertinent activities, actions or relationships not specifically outlined in this question.

6. Has your firm adopted the CFA Institute Code of Ethics and Standards of Professional Conduct? If not, explain why not and indicate any other industry-wide best practice standards that your firm has adopted.

Product Attributes and Past Performance Form

For each product your firm is offering, check the appropriate box below.

· Core Fixed Income Product

· Credit Fixed Income Product

· Global Fixed Income Product

· Emerging Markets Debt Fixed Income Product

All questions apply to all products unless otherwise noted.

NOTE: Although there are no page or word limits associated with this form, PBGC estimates that the responses to Section A should not exceed 8,000 words in length.

A. Investment Management Philosophy and Process for the Product

1. Describe your investment strategy (e.g., bottom-up, top-down, fundamental, quantitative, etc.) in detail, as well as the investment style/approach that best describes your strategy, the performance, active return and risk objectives the strategy seeks to achieve, and the benchmark against which the strategy is managed.

2. What is the value proposition (percent of outperformance derived from duration/curve, sector allocation, security selection, FX, other)? Explain any out of index positioning.

3. Describe the unique competencies of your firm for this product relative to peers.

4. Describe how your firm’s strategy for this product would perform in the following market environments as well as how alpha and benchmark tracking error risk expectations would differ in these environments:

0. Bear bond market

d. Bull bond market

e. Sideways bond market

5. Describe how you generate investment ideas and the sources used.

6. Provide a description of how investment decisions are made.

a. Are investment decisions made by individuals or teams? If by teams, describe the process through which ultimate portfolio decisions are made.

b. Indicate whether a particular individual has final veto power and identify that individual.

c. Describe in detail the role that credit, mortgage, quantitative or other research analysts have in the investment decision making process.

7. Is there a strategic or management committee charged with ensuring established decision-making processes are appropriately followed and implemented? If so, elaborate on their role and evaluation practices.

8. Describe how your firm’s investment process or rules evaluate liquidity risk for the subject product’s universe of fixed income assets, with a specific focus on capacity constraints.

9. Describe your ongoing portfolio monitoring, rebalancing and evaluation process. What is the security selection and divestment process?

10. Describe in detail the use of derivative instruments (e.g., swaps, options, futures, including OTC derivatives) to manage portfolio exposures, achieve performance objectives, or modify portfolio or security risk. Discuss how such instruments contribute to the successful implementation of your investment strategy.

a. What types of derivatives would be utilized on a fully discretionary basis?

b. What would be the frequency of derivative use (strategic or tactical or both)?

c. What are the average and maximum percentages of the proposed product portfolio that derivatives would comprise?

d. Would you be able to adequately implement your investment process and achieve target portfolio objectives as described earlier if 100% derivatives coverage or backing were required? How would your firm propose to fulfil this requirement?

e. Would any leverage (economic and/or accounting) be introduced to the proposed PBGC portfolio as a result of using these strategies in the proposed product?

11. Provide details of your firm’s currency management process. Do you manage your FX process actively or via a custodian? Are currencies managed separately or are currencies managed in conjunction with country or security selection?

a. Does your investment strategy include the active management of currency exposure as a way to add value over the benchmark?

b. If yes, please explain the process you employ in active currency management, research that backs the opportunity for active currency management.

12. To what extent, and in what form, does your strategy rely on the use of leverage to achieve its objectives, if at all? Discuss the management of leverage and cash backing to limit liquidity risks. How would leverage be measured and what are typical levels for the proposed product?

13. Does your product utilize any shorting strategies? If so, please describe. If shorting is employed, describe how the portfolio construction and investment process would be adjusted to ensure no net short exposure in the portfolio.

14. Describe risk management techniques used in the portfolio construction process. How do you measure and monitor portfolio risk to ensure that risk parameters are in line with the subject product benchmark and within client guidelines? Who is responsible? Are the systems used for this purpose proprietary?

15. How important is the portfolio tracking error relative to the benchmark in the portfolio construction process? How is it measured and managed? Is tracking error decomposed into key risk factors?

B. Professional Staff and Resources

1. Provide a detailed organizational chart of professionals, including names and titles, associated with the selected product.

2. List all principal officers, portfolio managers, research analysts, and client service officers (key personnel) involved with the subject product and provide detailed biographies for each individual in an attachment. If research analysts are key to the investment decision-making process, be sure to include them and their biographies. Complete Table 7 and Table 8 in the Excel attachment and highlight the person(s) who would be responsible for these respective accounts including the lead and back-up portfolio managers.

3. To the extent there are any formal teams or committees (e.g., investment committee, etc.) involving investment professionals, provide the names of the persons on each committee.

a. Who attends the committee meetings?

b. How often are the meetings held?

c. How is the committee’s view communicated and implemented?

d. To what extent does the PM have discretion to deviate from the committee’s consensus?

4. Indicate when any fixed income investment personnel (e.g., portfolio managers, analysts, traders) left or joined the firm in the past five years and identify the products with which they were/are involved. List by asset class product and function. (For personnel who have left, indicate job titles and years with the firm and who replaced them).

5. Address key person risk for this portfolio.

a. Describe your firm’s backup procedures and persons involved in the event the key investment professional assigned to this account should leave the firm.

b. Discuss your organization’s succession plan, including detailed information about the individuals involved with this subject product.

6. Discuss your organization’s compensation and incentive program with respect to the investment professionals associated with this product. How are investment professionals evaluated and rewarded? What incentives are provided to attract and retain outstanding individuals?

a. Explain to what extent investment professionals are rewarded on the basis of performance versus asset gathering.

b. What percentage of current compensation deferred into the firm's products?

7. Indicate whether the capabilities for managing this product were developed in-house or derived through the acquisition of investment talent from another firm. If the latter, indicate when this occurred and what factors led to the decision to acquire versus develop in-house.

8. Describe the structure and organization of your firm’s research capabilities. To what extent are the research analysts available to other products or are they largely dedicated to this mandate or team? State the location(s) where such research is carried out and what specific research is conducted at each location.

9. Describe how the firm evaluates its internal investment research effort and ensures consistent and uniform adherence to the firm’s research standards by all analysts.

10. Provide an organizational chart of the research staff who contributes to this product. Indicate time in position, tenure with firm, physical location and identify which economic sectors they cover.

11. Describe any major research and technology initiatives implemented in the past three years. How did these initiatives enhance your firm’s capabilities?

12. What external research sources are used?

C. Investment Results

1. Provide the month and year the firm began managing the product for tax-exempt clients, and month and year the subject product was introduced.

2. Provide in Table 9 of the Excel attachment the quarterly returns (rounded to two decimal places) for the portfolio and the benchmark from inception to 06/30/2025 or for 10 years, whichever is shorter.

3. Provide in Table 10 of the Excel attachment the top 10 country allocations (if Global or EMD product) of the subject portfolio and the appropriate benchmark at the end of the quarters from inception to 06/30/2025 or for 10 years, whichever is shorter.

4. What is the expected annualized tracking error for the anticipated portfolio over a one-year period and over a market cycle (i.e., 3 to 5 years)?

5. What is your expected excess return over your benchmark? What tracking error range do you maintain to achieve your target excess return?

6. Explain how your investment process could take reasonable steps to avoid investments in companies representing highly likely and significant contingent liabilities to the PBGC from the termination of underfunded defined benefit pension plans.

7. Provide GIPS compliant composite performance in Table 11 of the Excel attachment as of 6/30/2025.

8. Provide in Table 12 of the Excel attachment the annual returns for the best and worst performing accounts in the GIPS composite presented.

9. Provide the key risk statistics (using a monthly basis) of the product in Table 13 of the Excel attachment (since inception for periods shorter than 10 years. Adhere to the definitions and required formulas below the table.

10. Discuss any performance attribution models or methodologies you use to analyze the sources of your returns and value added.

D. Portfolio Stability and Growth

1. Assets Under Management - Provide in Table 14 of the Excel attachment the required details.

2. Provide in Table 15 of the Excel attachment the names or type of client of the major (i.e., greater than $250 million) pension, insurance, and other client accounts currently invested in the product (06/30/2025 market value). If you need to secure permission from the client before releasing this information, do so before submitting proposal. Rank clients from largest to smallest by assets under management.

3. Does the firm anticipate closure of the product in the future? What criteria would induce the firm to take such action? If total assets in the product is a factor, identify the approximate asset levels at which the product would have a hard closure (i.e. no new investments from new or existing investors) as well as a soft closure (i.e. allows new investments from existing investors only).