ESBD_File_255490_CC_2200001_Addendum_2.pdf

Teacher Retirement System of Texas (TRS)

October 12, 2021

ADDENDUM No.: 2

TO

SOLICITATION NO.: CC-2200001

FOR

Master Custodian and Securities Lending Services

DEADLINE FOR SUBMISSION OF PROPOSALS: November 2, 2021, @ 3:00 p.m. CT

LISTED BELOW YOU WILL FIND CHANGES TO THE SOLICITATION, ANSWERS TO SUBMITTED QUESTIONS, AS WELL AS SEPARATE FILE ATTACHMENTS PROVIDED AS SUPPORTING DOCUMENTATION AND

ADDITIONS TO THE SOLICITATION

ISSUED BY:

Aundre Petty, Contract Specialist

Date: 10/12/2021

NOTE: VENDORS ARE REQUESTED TO ACKNOWLEDGE RECEIPT OF THIS ADDENDUM BY SIGNING AND DATING BELOW AND INCLUDING WITH SUBMITTED RESPONSE. RESPONSE MAY BE CONSIDERED NON-

RESPONSIVE IF THIS COVER PAGE IS NOT SIGNED AND RETURNED.

RESPONDENT SIGNATURE DATE

Solicitation Name: Master Custodian and Securities Lending Services Solicitation No.: CC_2200001

Addendum No.: 2

10/12/2021

ADDENDUM No.: 2 **** Important Notice to Vendors ****

SOLICITATION NO.: CC_2200001

FOR

Master Custodian and Securities Lending Services

This Addendum is issued to provide changes to the solicitation, answers to vendors’ submitted questions, as well as provide separate file attachments as supporting documentation and additions to the solicitation.

Addendum No.: 2

A) Changes to Solicitation

1) IX. Proposal Submission Requirements

The following section has been changed to provide Respondents with new proposal submission requirement instructions:

• TRS has created a Secure File Transfer Protocol (SFTP) server for vendors interested in submitting a response to the solicitation. In order to access the SFTP server, Respondent must submit the following information, via email, to the TRS Procurement and Contract Representative (Aundre Petty at Aundre.Petty@trs.texas.gov) listed in the Summary Section of this Solicitation by October 26, 2021, 5:00 p.m., Central Time.

I. Contact name of person responsible for uploading company proposal;

II. Company name;

III. Contact persons email address, and;

IV. Contact persons phone number.

• TRS’ IT Department will contact you via email with your login creditials (username and password), login instructions, and a link to the SFTP server within 24 hours. A strong password is required so it must have contain a minimum length of 10 characters. The password must also contain at least one Lowercase character, one Numeric character, and one Special character.

• Respondent proposals must be uploaded to the SFTP site and received by TRS no later than the the specified deadline due date and time of November 2, 2021, at 3:00 p.m., Central Time.

Please Note: Proposals received after the deadline due date and time will not be considered.

Addendum No.: 2 mailto:Aundre.Petty@trs.texas.gov

B) Questions and Answers

1) Will TRS accept a third-party Securities Lending response for Solicitation No.: CC-2200001?

- TRS Response: TRS will only accept a third-party Securities Lending response if the custodian meets all the minimum requirements and is included in the total package.

2) As I read the RFP it seems that TRS is only interested in service providers who can provide all services requested and is not interested utilizing a third-party securities lending agent i.e. lending agent is not the custodian. Can you please confirm. Thank you.

- TRS Response: TRS is interested in service providers who can provide all services requested and will only consider a third-party securities lending agent if it is included in the overall services from the custodian.

3) What is the expected timeframe to receive responses to questions from respondents after receipt on September 30th?

- TRS Response: TRS will post addendum 2 to provide answers to submitted questions on or around October 12, 2021.

4) In anticipation of not receiving a response until sometime after the 1st week of October, would you please provide, in advance of the question period, a detailed asset and account listing (in excel) that includes account name, security identifier (e.g., cusips, sedol), security descriptions, market prices, market values, par values, settlement location, for all assets (marketable, non-marketable, not-in-bank, cash, etc.). Also note if internally or externally managed and if there are any assets restricted from the lending program.

We think this would be beneficial for all respondents to have sufficient time to prepare an accurate and comparable cost proposal and lending estimate.

- TRS Response: At this time in the RFP process, TRS can provide a link to “TRS Long Equity and

Fixed Income Publicly Available Holdings”.

https://www.trs.texas.gov/TRS%20Documents/public_equity_holdings.pdf#search=TRS%20L ong%20Equity%20and%20Fixed%20Income%20Publicly%20Available%20Holdings

5) It would also be helpful to receive FX volumes (USD$ Equivalent) by currency market, broken down between custodian flow (direct and indirect) and third-party flow.

- TRS Response: FX volumes will be provided in Addendum 3.

6) As requested in the pre-proposal conference call, it will be important for all respondents to have the same, detailed metrics to complete Appendix A – Price Form, so that TRS can make an apples-to-apples comparison of proposed fees. In order to provide a comprehensive and comparable

Solicitation Name: Master Custodian and Securities Lending Services Solicitation No.: CC_2200001

Addendum No.: 2 https://www.trs.texas.gov/TRS%20Documents/public_equity_holdings.pdf#search=TRS%20Long%20Equity%20and%20Fixed%20Income%20Publicly%20Available%20Holdings https://www.trs.texas.gov/TRS%20Documents/public_equity_holdings.pdf#search=TRS%20Long%20Equity%20and%20Fixed%20Income%20Publicly%20Available%20Holdings response to Appendix A, please provide the following information, similar to what was provided for your 2014 RFP:

Holldings File and Volumes will be provided in Addendum 3.A detailed holdings file in excel format including the following fields: Account Name, Account Number, Security Description, security identifier (Cusip, ISIN or Sedol), Units, Market price, market Value, par value, and Settlement location for all assets (marketable, non-marketable, not-in-bank, cash, etc.). Also note if internally or externally managed and are any assets restricted from the lending program?

- TRS Response: The detailed holdings information will be provided in Addendum 3 for internal holdings. All external holdings information is included in the response to question 11. Average lendable assets and on load amounts for period ending 6/30/2021 and 8/31/2021 reflects a recent upsize of the program.

7) Please provide annual transaction volumes by country, with transaction type (buy, sells, maturities, redemptions, income, etc.) for all US and Non-US activity.

- TRS Response: This information will be provided in Addendum 3.

8) Market value and number of internally and externally managed separately managed accounts, broken out by asset class and US vs, non-US.

9) Market value of separately managed non-US assets by country.

10) Number of buy/sell trades per annum, by settlement market (internal management was included in the RFP, but we need for both external and internally managed)

11) Number of Income and Dividends received per annum

12) Number of wires

Solicitation No.: CC_2200001

- TRS Response: During Fiscal Year 2021, TRS had 5,798 wires.

13) Annul volume of Derivative transactions (OTC) & type (Swaps, Options, Futures) (for both internal and external management and if they are bilateral or centrally cleared

14) Holding file or any other details you could share with respect to OTC Derivatives.

15) Number of passively managed funds by type (mutual funds, commingled funds, limited partnerships, hedge funds, etc.) *Please note that we are interested in the number of fund investments and not the number of accounts in which the investments are held. For your partnerships (direct, fund of funds, co-investments, etc.) to be maintained and reported please note:

Investment type and other category breakdowns of partnerships, e.g., buyout, infrastructure, energy, distressed, etc.

Total commitments of the partnerships above

- TRS Response: Co-investments are shown in the investment manager name column.

See separate document titled Private Markets Fund Investment Types.xlxs See separate document titled Public Markets Fund Investment Types.xlxs

16) Please provide 12 months of FX transaction history attributed by the following two dimensions:

Currency Market (if by currency pair is unavailable) Developed Markets (G-10) Emerging Markets

Channel Indirect w/Custodian (a/k/a, Custody FX) Direct w/Custodian (a/k/a, Negotiated FX) Third-party FX

- TRS Response: This information will be provied in Addendum 3.

17) What are your average cash balance levels, both in USD and foreign currency? If there are foreign currencies, what is the currency breakdown?

- TRS Response: TRS does not carry balances overnight. Our balances are swept in our STIF account. Foreign currency balances are repatriated to USD and swept to STIF.

18) What investment vehicle (STIF, money market fund, or other) is utilized for short-term cash today?

- TRS Response: TRS utilizes a STIF investment vehicle managed by our custodian as our singular asset but we reserve the right to use other vehicles.

19) III. Scope of Work

D. Trade Volume - 54,755 total cash movements are listed. What is included in that total? Please supply a breakdown of contributions, withdrawals, inter-portfolio transfers, etc.

20) III. Scope of Work

F. Description of Work – Section I. Trading, Securities and Derivatives Support Provide 24 hour per day, 7 day per week staffing to support TRS’s trade and settlement life cycle including coverage/handoffs over the 24-hour period

What level of support do you require (under your 24/7 requirements) outside of market opening hours for trading and derivatives support? Are you looking for systems to be available or for personnel support?

- TRS Response: Personnel: Regarding Equity/Fixed Income transactions, we require support coverage during international hours if markets are open. The expectation is that we have support during those local hours. We also require support on all holidays with the exception of Christmas Day and New Year’s Day.

Systems: We require systems to be available outside of market opening hours.

For all other products we require systems to be available outside of market opening hours and personnel available for escalation as needed.

21) III. Scope of Work

Provide trading and settlement integration with the Bloomberg Order Management System by transaction type

Solicitation Name: Master Custodian and Securities Lending Services Solicitation No.: CC_2200001

Are internally and externally managed holdings reflected within your Bloomberg OMS? Or is Bloomberg limited to internally managed assets?

- TRS Response: The Bloomberg OMS reflects activity for internal equities, indexes, commodity and currency futures, options, fixed income, repurchase agreements, swaps and FX plus some equity positions for external managers uploaded to Bloomberg daily by TRS.

Are there pre-trade services required outside of your Bloomberg OMS?

- TRS Response: No pre-trade services are required outside of our Bloomberg OMS.

For your Real Return strategy, is this confined to limited partner interests, or is there any direct or co-investment exposures requiring fund administration?

- TRS Response: For real estate portfolios there is generally a general partner with limited partnership interest, and alongside there may be a separate co-investment vehicle. Any fund administration will be maintained by the external general partner.

Does TRS employ a fund of one strategy (dedicated manged account)? If so, would you be willing to consider outsourcing fund administration services to your custodian?

- TRS Response: TRS employs multiple fund-of-one strategies throughout the fund. They are run by our external managers and they are responsible for choosing their fund administrator.

22) III. Scope of Work

Provide claims support, processes to capture in-bound claims, tracking, claim investigation and issue claims

Please clarify if claims are related to failed trades or overdue income, etc.?

- TRS Response: Yes, claims are related to failed equity and fixed income trades. It is preferred that the services provide claims support, processes to capture in –bound claims, tracking, claim investigations and issue claims.

Please elaborate on what requirements for claims support and issuance? What is the extent of your current providers involvement?

- TRS Response: As it relates to claims support for equity trades, if there is an auto buy-in market, we would prefer that our custodian handles selling the security that was subject to the buy.

23) III. Scope of Work

Provide weekly and monthly trade operations metrics for internal and external accounts

Can you specify what trade metrics are required?

- TRS Response: Weekly and Monthly metrics could include number of trades, cancelled/corrected trades, wire activity, collateral activity, reconciliations and issues logs.

TRS reserves the right to request additional metrics as needed.

Do the TRS traders work global market hours or do the follow NY Stock Exchange hours?

- TRS Response: Yes, TRS traders work global market hours.

Does TRS have any investment offices globally that require service provider client facing support or are the investment teams all located in Texas?

- TRS Response: TRS has an investment office in London but will not require service provider client-facing support.

24) III. Scope of Work

Maintain processes to notify client if they have reached or exceeded an ownership limit in a foreign market

Please clarify if this is for securities or currency limits, or both?

- TRS Response: This is for both.

25) III. Scope of Work

Account Managed Service.

Onboard, maintain, and offboard external managers, prime brokers, International Swaps and Derivatives Association (ISDA) counterparties, futures commission merchants (FCMs), and other counterparties in coordination with IMD staff

How many CSAs (Credit Support Annex) does TRS have that are active?

- TRS Response: TRS currently has 15 ISDA Counterparties and most have 2 CSA’s. Activity varies, but approximately 18-29 are active.

How many are inactive? How many TRS legal entities do the CSAs cover?

- TRS Response: Activity varies, but approximately 0-11 are inactive.

- The CSA covers 1 TRS legal entity.

Work with an independent global tax consultant engaged by the client

What is the scope of service your independent global tax consultant provides?

- TRS Response: TRS expects the global custodian to provide tax services and support for all custodied assets. The global tax consultant is engaged and responsible to provide limited support for global tax reporting, and compliance efforts.

26) III. Scope of Work - Section IV. Cash and Collateral Management

Are tri-party agent services in scope?

- TRS Response: Unknown at this time. TRS is currently reviewing service options as part of onboarding UMR IM Phase 6 effective September 2022. TRS is interested in hearing about all of these services and pricing because of a new regulatory requirement effective for TRS in 2022.

Are custodial and related services as it applies to the Uncleared Margin Rule regulation part of the scope of the RFP?

- TRS Response: Unknown at this time. TRS is in the early stages of our Phase 6 compliance review, but we expect the global custodian to provide services related to this effort. TRS is interested in hearing about all of these services and pricing because of a new regulatory requirement effective for TRS in 2022.

If yes – please provide your AANA

- TRS Response: Average Aggregated Notional Ammount (AANA) approximately $17 billion.

If yes – which services? SIMM calculation, Collateral Administration, Segregation and/or all?

- TRS Response: Unknown at this time. TRS is interested in hearing about all of these services and pricing because of a new regulatory requirement effective for TRS in 2022.

27) III. Scope of Work - Section V, Corporate Action Services

24 hours per day, 7 days per week staffing to support TRS’ corporate action processing (voluntary, mandatory and election management including short positions) including coverage/handoffs over the 24-hour period

What level of support do you require (under your 24/7 requirements) outside of market opening hours for corporate actions? Are you looking for systems to be available or for personnel support?

- TRS Response: Our expectation is that if an international market is open, we would have support available during those local hours to answer questions and facilitate transactions.

Also, we require support for all holidays except for Christmas Day and New Year’s Day.

28) III. Scope of Work - Section VI & XIII – both sections note items regarding the TRS general ledger:

Please supply a file format, data fields and chart of accounts/scheme for your current General Ledger feed as was provided for the 2014 RFP.

TRS Response: See separate document titled General Ledger Activity Feeds.pdf

See separate document titled General Ledger Balances Feeds. Pdf See separate document titled General Ledger Chart of Accounts Feeds.xlxs

Solicitation Name: Master Custodian and Securities Lending Services Solicitation No.: CC_2200001

29) III. Scope of Work - Section VI. Accounting Services:

Custodian shall provide TRS with an Accounting Book of Record (“ABOR”) which utilizes trade date, full accrual, multicurrency accounting and reporting system that is compliant with U.S Generally Accepted Accounting Principles (GAAP) and pronouncements issued by the Governmental Accounting Standards Board (GASB).

Can you please confirm the ABOR requirement requires Daily Valuation on the market standard of Trade Date + 1 basis.

- TRS Response: Yes, the ABOR requires Daily Valuation on the market standard of Trade Date

+1 basis.

Can you also please confirm the introduction of an independent IBOR (for internally managed portfolios) into the operating model from the Provider would require Daily Valuation on a Trade Date +0 basis to drive the investment process

- TRS Response: TRS is interested in the any Trade Date + 0 or real time data available from the custodian. However, the concept of an independent IBOR is out of scope for this solicitation.

Is there any business requirement for Trade Date +0 for externally managed portfolios? If so, is that currently accomplished using the ABOR data or is the current IBOR inclusive of external managers?

- TRS Response: TRS is interested in the any Trade Date + 0 or real time data available from the custodian. However, the concept of an independent IBOR is out of scope for this solicitation.

30) III. Scope of Work - Section VI. Accounting Services:

For revenue and expense, chart of account field needed by portfolio level to recognize revenues and expenses along with a method to allocate if the expense or revenue item should be allocated to multiple areas

Please provide additional information to better understand the requirement related to “…with a method to allocate….to multiple areas” and supply an example.

- TRS Response: TRS is looking for the flexibility to allocate an expense that is general in nature, such as legal advice, to the various portfolios based either on equal share or portfolio value. In the future, TRS may need to allocate costs such as rent to portfolios, based on headcount for each group.

Does TRS accrue daily expenses that are part of the daily calculated NAV?

- TRS Response: Currently the only expense accrued by the Trust is for management fees of

IMAs which is performed monthly.

Please describe your current vendor payment process. How do you instruct vendor payments to be paid from the trust?

- TRS Response: Vendor payments are initiated by the investment Operations team, reviewed and approved by authorized approvers from both the investment team and the investment accounting team. Once approved, instructions are send to TRS’s current custodial bank to release payment.

31) III. Scope of Work - Section VI. Accounting Services:

Additional flexible chart of account fields to enable tracking by investment types (domestic equities, fixed income, etc.)

Please share a schematic of the current account structure.

- TRS Response: See separate document titled Schematic Chart Account Structure.xlxs

32) III. Scope of Work - Section VI. Accounting Services:

Ability for TRS to generate subsidiary ledger reports to reconcile with general ledgers.

Please supply a sample of this report

- TRS Response: TRS is asking for the ability to run subsidiary ledger reports such as income receivable and payable report, a ledger (system) used for alternative investments, or other systems used by the Custodian. These subledgers or systems are likely part of the Custodian’s internal control checks; however, TRS would like the ability to independently verify that the month-end balances to tie out to the General Ledger.

33) III. Scope of Work - Section IX. Performance Measurement Services

Calculate returns based upon multiple simultaneous calculation methods (daily linked IRRs, long period IRRs, quarter-over-quarter weighted cash flow TWR, or the Modified Dietz method)

Please expound on the difference between daily linked IRRs and long period IRR’s? Is this something that your current custodian is providing via their core performance platform or is a vendor being used to support?

- TRS Response: “Daily linked IRRs” is another way of saying Time Weighted Return, while “long period IRRs” are alos referred to as single period IRRs: 3year IRR, 5 year IRR, etc. We require this to be performed or at least presented side-by-side through the core platform.

34) III. Scope of Work - Section IX. Performance Measurement Services

Calculate “composite” or “aggregate” benchmarks and allows for different benchmark rebalancing periods and ad hoc changes in benchmark weights over time

Do you require the ability to re-weight these on an intra-month basis?

Solicitation Name: Master Custodian and Securities Lending Services Solicitation No.: CC_2200001

- TRS Response: We require the ability to rebalance benchmark weights daily.

35) III. Scope of Work - Performance Measurement Services

Provide a performance calculation system capable of re-allocating assets outside of a known portfolio structure based on generally accepted asset class rules or client-specified rules.

Do you need performance calculated with and without these adjustments, meaning one set of performance records that is as is and one with the asset re-allocated? Is this functionality that is in place today with your current custodian or is it being done via another vendor?

- TRS Response: This question is related specifically to the ability to remove cash securities (and settlement-related payables/receivables activity) from the performance calculation for a portfolio or strategy that does not explicitly manage their own cash. We require this ability.

36) III. Scope of Work - Section IX. Performance Measurement Services

Provide reporting of performance measurement and attribution available at various levels (i.e.

portfolio, aggregate of portfolios, sector, industry, security, country, currency etc.) with drill-through capabilities.

Regarding your attribution needs please indicate if you need daily or monthly attribution (e.g.

benchmark relative). Furthermore, is this a current service provided by your custodian or does another vendor provide this today?

- TRS Response: We require monthly attribution, provided by the custodian.

37) III. Scope of Work - Section X. Investment Compliance Services

Daily testing on federally mandated investment rules and other as applicable (SEC, Reg-M etc.)

Which SEC rules are they referencing?

- TRS Response: TRS is looking for the custodian to be able to test on SEC-related rules that are applicable to the pension.

Regulation M from which regulator?

- TRS Response: TRS is looking for the custodian to be able to test on SEC’s Reg-M.

Could you expand upon additional needs beyond SEC and Reg-M?

- TRS Response: TRS is looking for the custodian to implement any testing on the changing regulatory environment.

38) III. Scope of Work - Section X. Investment Compliance Services

Ability to define alerts as relating to active and passive violations, as defined in policy

Please elaborate and clarify your requirements on defining alerts relating to active or passive violations

- TRS Response: TRS is looking for the custodian to be able to categorize a test either as active or passive within the definition written in TRS Investment Policy Statement.

39) III. Scope of Work - Section X. Investment Compliance Services

Ability to monitor for shareholder disclosures reporting

Please provide more granular requirements regarding shareholder disclosure reporting

- TRS Response: TRS is looking for the custodian to be able to monitor and report holdings to a relevant domestic and foreign regulator and/or issuer once certain parameters are met.

40) III. Scope of Work - Section XI. Information Technology

Onboard, store, maintain, and secure 20 years of historical and current investment transactions and portfolio holdings data

Where is the 20 years of historical and current investment transactions and portfolio holdings data currently housed, with your custodian or internally at TRS?

- TRS Response: The 20 years of historical and current investment transactions and portfolio holdings data is stored at both the custodian and internally at TRS, with the custodian’s data considered the “book of record” for such data.

Please supply a technology architecture diagram.

- TRS Response:

Solicitation Name: Master Custodian and Securities Lending Services Solicitation No.: CC_2200001

In addition to the noted general ledger feed, what other feeds and or transmissions to the client or 3rd party provider are required? Please include a file description, name of recipient and frequency of delivery, similar to what was provided during the 2014 RFP.

- TRS Response: Please refer to the file “Other Feeds and Transmissions - TRS Custodian Data

Feeds (Shareable).xlsx”

41) III. Scope of Work – G. Transition Services and Implementation and XV. Exhibit Section XV – Conversion and Implementation

XV Exhibit Section XV notes “Transition services shall be completed so that the Custodian may seamlessly assume all responsibilities as of 12:00 a.m. Central Time on July 31, 2022.”, however in Section G. it states, “Transition services shall be completed so that the Contractor may seamlessly assume all responsibilities under the Contract as of 12:00 a.m. Central Time on August 1, 2022.”

Please clarify this date because at your September Board meeting the current provider contract was extended to December 31, 2023. Are you contemplating a conversion that is aligned with your fiscal year end or any other date earlier than the stated expiration date of your extended contract with your current provider?

- TRS Response: No, we are expecting a timely conversion, it is not aligned with our fiscal year end or any other date.

42) III. Scope of Work – G. Transition Services and Implementation (b)

Contractor shall develop detailed project plans by January 15, 2022, subject to TRS’ approval for all areas associated with the transition of services.

Can you clarify if a project plan is needed for submission with the RFP and an additional submission is needed in January?

- TRS Response: A project plan is not needed for submission with the RFP. It is a requirement for the Contractor to develop the plan by January 15, 2022 should the Contractor be selected.

43) III. Scope of Work - Section XIII. Investment Risk Management Services

Fixed income portfolio modelling and design

Please elaborate on your needs regarding fixed income portfolio modelling and design

- TRS Response: Investment Risk Management Services requires the following for fixed income portfolio modeling and design:

o Ability to measure exposures, durations and sensitivities (e.g. CS01), and other metrics on standalone and relative to benchmark basis o Estimate risk and performance of fixed income portfolio on standalone/relative basis

44) IV Evaluation Criteria - B. Custody Bank Qualifications and References

I. Respondent Organization

14. Provide the value of assets held in custody by asset type (in USD billions) for the five largest tax-exempt master trust/custody accounts in descending order by total assets under custody as of December 31, 2020.

• Synthetic single-name equities (OTC)

When you reference “synthetic single name equities” are you referring to contracts for difference, equity futures, or options on single equities? Can you elaborate?

- TRS Response: “Synthetic single name equities“ refers to contracts for difference on single equities, traded as OTC derivatives and integrated with a prime broker.

45) IX Proposal Submission Requirements - B. Submission Instructions

Please note: Emails containing attachments can take several minutes or several hours to send and be delivered to the recipient’s inbox. Please allow adequate time for the sent email to be received by TRS by the deadline specified. If TRS receives the email containing a Response after the due date and time, the Response will be disqualified.

Given the above, would TRS contemplate the use of a microsite in order avoid the need, due to email size restrictions, to split the response into multiple emails? A link would be sent as a close-end URL and can be password protected, if required. A separate email will be sent for the microsite link and for the password.

- TRS Response: See Section B Changes to Solicitation below for information.

Solicitation No.: CC_2200001

46) XV. Exhibit - SERVICE DELIVERY QUESTIONNAIRE

Section I: Trading, Securities and Derivatives Services

4. What information can be captured on a lot basis separate from security and account (e.g., strategy or other trade related information)

Please explain what is meant by “lot basis”? As a tax-exempt entity, we would not think this applies if it is tax-lot? Or do you track “positions” at a sub-security/account level. And if so, does the information need to be on the trade record? Does it need to track to positions day over day? Is there a requirement to have full activity and income information also accounted for in this way? Do you initiate trades based on strategy only, or do you expect trades to be allocated to strategies at some point after initiated/executed? Is this needed for internal or external managers, or both?

- TRS Response: The global custodian may be asked to adjust lot level accounting, example FIFO or Average Cost, in order to match a FCM or Prime Broker.

47) XV. Exhibit - Section III: Account Management Services

For the following question, please provide your definition of “existing market maintenance” and “breakouts” and how they are incorporated into your process today?

a) Account Management

1. Describe the processes and controls to manage the account management functions listed below including the target dates, how are those changes are communicated to the downstream systems (i.e., performance measurement, investment compliance), how the firm communicates those changes are complete, and how does the process change when the account or market is needed for an external manager mandate.

a. New accounts (Funds and CUSIPs)

b. Account terminations

c. Account transitions

d. New markets or sub-custodians

e. Existing market maintenance

f. Aggregates/Composites

g. Breakouts

- TRS Response: Existing market maintenance refers to the global custodian proactivity monitoring, tracking and communicationg new and expiring market specific document requirements to relevant parties and TRS in order to facilitatietimely execution and ensure market access.

Breakouts refers to attribution or sub level accounts used to manage exposures or reporting.

48) XV. Exhibit - Section VIII: Limited Partner Services

Solicitation No.: CC_2200001

How does Respondent provide lifecycle management for setting up external investment managers and fund investments, including: standard opening process, obtaining compliance documentation, granting system access for a specified portfolio, and reconciling manager or fund portfolio with manager’s monthly reconciliation?

Is the response to this question intended to be specific to limited partnerships or all investments as written, as a similar question is asked in Section III Account Management Service.

- TRS Response: TRS is interested in all investments but we are specifically confirming your response addresses limited partnership services since they are slightly different.

49) XV. Exhibit - Section XI. Acknowledgement of Additional Documents

The additional documents are all in PDF. Should we have clarifying comments or requested edits to these documents, would you please send word or editable forms of the documents, or would you prefer we convert into Word and/or is a separate exceptions/additional comments documents acceptable?

- TRS Response: Clarifying comments and requested edits showing a Respondent’s proposed changes to the TRS General Terms and Conditions, if any, must be marked using tracked changes in an editable Word format document and included in Tab 9 of the Response.

Editable Word documents titled Respondent’s Certification and Non-Disclosure Agreement have been uploaded to the ESBD as separate documents to this Addendum.

50) On page 52 of the RFP, Question 3, bullet 3 related to integration of PBOR, ABOR and IBOR. Would you define IBOR in this context?

- TRS Response: The inclusion of the acronym in this context was unintended, as we are currently only requiring the integration of ABOR toPBOR in this RFP.

51) On page 36 of the RFP, Section IX. Proposal Submission Requirements, A. Proposal Format, we sometime provide large documents as separate attachments as exhibits, some secured, is this acceptable, if we have them as separate documents in a zip file?

- TRS Response: Yes.

52) On page 37 of the RFP, Section X, Proposal Content and Format, Tab 1, what is the “Signed Cover Page of Addenda”?

- TRS Response: Each addendum cover page will contain a respondent signature. Respondent must sign and return the addendum cover page with their proposal as acknowledgement that Respondent received and reviewed the addendum.

53) On page 37 of the RFP, Section X, Proposal Content and Format, Tab 4, please confirm that we should include any exhibits we may have after our responses to the Service Delivery Questionnaire.

- TRS Response: Yes, all exhibits for the section should be included after your response to the Service Delivery Questionnaire behind Tab 4.

54) On page 26 of the RFP, Section C, Governance Model, Key Personnel and Experience, as a matter of practice we don't share our employee's resumes with clients or potential clients. Will biographies suffice for the requirements under key personnel and experience?

- TRS Response: Yes, biographies will suffice this requirement.

55) If we have any exceptions or clarifications on the Description of Work how would TRS like us to annotate this back in our response? What tab should we include this in?

- TRS Response: If you have exceptions or clarifications on the Description of Work, please include these in Tab 8: Other. In addition, please make sure Tab 8 is referenced and noted in your responses in Tab 4: Service Delivery.

56) On page 31 of the RFP, Section VII. Insurance Section, if we have any exceptions/variances in the insurance section how and where would TRS like us to annotate these in our response back? What tab should we include this in?

- TRS Response: For exceptions/variances in the insurance section VII, please address in Tab 8:

Other.

57) If we have exceptions to the NDA what is the expected process to annotate and/or negotiate this document?

- TRS Response: A Word version of the NDA has been added as an additional document to this

Addendum 2. Any exceptions should be edited using Track Changes and included in TAB 8 of your response.

58) On the pre-proposal discussion it was mentioned that the special terms and conditions would change via addendum; when can we expect to see the final terms and condition?

- TRS Response: The updated General Terms and Conditions were uploaded to the ESBD as a separate Word document as part of Addendum 1.

59) Can you please provide clarity on Section 26 of the Terms & Conditions regarding reference to a

Business Associate Agreement. Would you provide a definition and/or copy for our review?

- TRS Response: The Business Associate Agreement is not required or applicable in this RFP.

60) How many accounts are there in total? Of that total, how many are commingled funds (CF) and how many are separately managed accounts (SMA)?

- TRS Response: Approximately 1,000 accounts total which includes internally managed, externally managed, commingled accounts and supplemental accounts used to support Trust reporting.

Solicitation Name: Master Custodian and Securities Lending Services Solicitation No.: CC_2200001

61) Does TRS currently limit to one commingled or alternative investment per account/portfolio? If yes, what is the reason for it? If yes, is TRS amenable to changing this to consolidate multiple holdings into a single account by strategy in the interest of reducing fees? If no, why?

- TRS Response: No, there is no limit per account/portfolio.

62) Can TRS provide a holdings file with assets by trust, inclusive of fund number, security name, description, currency, and market value?

- TRS Response: This Information will be provided in Addendum 3.

63) Does TRS utilize plan accounting?

- TRS Response: TRS has one defined benefit plan and does not pool with other entities.

Is the plan accounting method currently unitized or is the dollar weighted methodology used?

- TRS Response: Not Applicable

64) Does TRS have a requirement for daily plan accounting reporting?

65) How many plans are there?

- TRS Response: There is one plan.

66) How many investment pools/options are there for the plans to invest in?

67) Kendall: Are we going to include the Schematic Chart Account Structure.xlsx file as separate document to Addendum 2?

- TRS Response: See separate document titled Schematic Chart Account Structure.xlxs

68) Please provide an example of the current plan accounting reporting received.

69) What is the current month-end accounting close deadline?

- TRS Response: The current month-end close is 10 business days, except for year-end and incentive year-end.

70) What is the current year-end accounting close deadline?

Solicitation No.: CC_2200001

- TRS Response: TRS year-end of 8/31/ccyy has a preliminary close in 10 business days and a final close by 9/30/ccyy.

71) Please provide a list of all required custom accounting reports with the due dates and can TRS please provide samples of the reporting?

- TRS Response: While there are no required custom reports, TRS does want access to data to run reports such as holdings, trial balances, balance sheets, income statements, roll forwards, and performance.

72) What trading agreements require collateral management support? (ISDA/CSA’s, MSFTA’s, MRA’s, other)?

- TRS Response: Currently ISDA/CSA’s, MRA’s and FCMs. TRS reserves the right to include others.

73) How many total counterparties does TRS face off with across these agreements?

- TRS Response: TRS currently has 15 ISDA Counterparties and most have 2 CSA’s. Activity varies, but approximately 18-29 are active.

8 MRAs 3 FCMs

74) What is the total collateral balance (held & posted) for all these relationships?

- TRS Response: As of 8/31/2021, the gross collateral balance held and posted was approximately $1.2 Billion. This figure does not include primary repo collateral.

75) Is collateral all USD cash or does TRS utilize securities as well? If yes what types?

- TRS Response: TRS typically uses USD cash and US Treasuries for collateral.

76) Is TRS in scope for the uncleared margin rules and will TRS need segregated initial margin support (initial margin calculation, dispute management/reconciliation and control accounts)?

- TRS Response: TRS is in scope for UMR IM Phase 6 effective Sept 2022. TRS is in the early stages of our Phase 6 compliance review, but we expect the global custodian to provide services related to this effort.

77) What derivatives trade types does TRS manage today and what is the total number of derivative trades on the portfolio?

- TRS Response: TRS manages Swaps, Options, Forwards, and Futures. Additional information will be provided in Addendum 3.

78) Reconciliation of NAV between subledger system and ABOR (Accounting book of record) daily – Please clarify what subledger system TRS is referring to?

- TRS Response: If the Custodian uses different systems or subledgers as a source for the amount recorded in ABOR (such as a separate system for general partners with statement processing), these separate system(s) should reconcile to the ABOR.

79) Please describe the current end-to-end operating, accounting, cash management and reporting workflow for the private equity, real estate and infrastructure close-ended fund and direct investments.

- TRS Response: The operating, accounting, cash management, and reporting process will start once an investment is approved by TRS’ Internal Investment Committee and all legal documents are signed. Commitments are tracked by the Custodian tracking both total and unused. Cash flows are booked in accounting and cash flow adjusted MVs are booked in custodian’s accounting system and performance system. All fair values are other investment related investment transactions are reported when new statements come in (generally quarterly) and in the year-end annual comprehensive financial report.

80) Is cash processing in scope for this RFP? Would the cash accounts be maintained via JP Morgan?

- TRS Response: Yes, it is in scope and the accounts will be maintained at JP Morgan.

81) Does prospect require:

• Capital event transaction management (does that include moving cash?) – TRS to confirm

- TRS Response: Yes, Capital events transactions include moving cash.

• Valuation roll-forwards (pricing), if so, monthly or daily – Yes, daily as per RFP - TRS to confirm

- TRS Response: Yes, daily to show cash market adjusted value, and by time period for reporting purposes.

• Fund Level Performance (IRR, multiple) - Yes as per RFP - TRS to confirm

- TRS Response: TRS requires daily TWR, Modified Dietz TWR, and Horizon IRR.

• Underlying Portfolio Company Reporting – No as per RFP - TRS to confirm

- TRS Response: It is not required though TRS is interested in your system's capabilities to perform this reporting.

• Online Document Management – Yes as per RFP - TRS to confirm

- TRS Response: TRS relies on the Custodian’s online document management processing and system for all limited partnerships and co-investments with capital statements, financial statements, contribution and distribution notices.

• Access to Burgiss Universe Analytics – No as per RFP - TRS to confirm

- TRS Response: Yes, TRS will require access to select Burgiss indexes as requested by TRS.

82) What functions pertaining to portfolio administration are performed by TRS providers: current custodian/outside provider;

- TRS Response: The Custodian performs the processing and accounting administration discussed in item 2 above. Please also refer to the Solicitation item VIII for all the functions covered by the Custodian. TRS does use an outside provider to review/recalculate management and performance fees annually. TRS also utilizes eFront for holdings reporting and analysis.

83) What functions pertaining to portfolio administration are performed in-house?

- TRS Response: TRS performs any other function not mentioned above (question 5) and has complementary controls to ensure the Custodian is properly accounting for MV and cash movements.

84) What is the average vintage year for TRS alternative investments?

- TRS Response: 2014. See separate document titled Private Markets Fund Investment

Types.xlxs

85) In what format does TRS maintain information pertaining to the private equity/LP investments (excel, paper, automated system, etc.)?

- TRS Response: All the information is maintained electronically. Depending on the information it can be maintained in a system such as the Custodian's Document Management System, an automated system at TRS, or on local drives as excel or pdf.

86) What are total commitments in scope for Limited Partnership Services to be serviced by custodian?

- TRS Response: Custodian would track total commitments, amount committed, amount uncommitted which can change over time due to contributions, recallable distributions, and adjustments. Please refer to separate document titled Private Markets Fund Investment Types.xlxs for amounts and RFP requirements listed in RFP

87) What is the number of Limited Partnerships to be serviced by custodian?

- TRS Response: Currently there are approximately 900 investments that are serviced. For a break out by area (real estate, PE, LO) refer to separate document titled Private Markets Fund Investment Types.

88) Help us understand the general short-term cash management strategy, what sort of instruments does TRS generally invest in – T-bills, CP, MMFs, Bank Deposits, etc…

- TRS Response: TRS invests in a short-term investment fund and considers other liquidity options in T-Bills and Treasuries.

89) What role does the current custodian play in supporting TRS liquidity and cash needs? Topics to consider: cash forecasting reporting (how far out), deposit programs, MMF sweep programs, etc.

- TRS Response: Daily Cash Activity report is received daily from the custodian for current day only. Custodian is responsible for recording capital calls and distributions in their internal system.

90) Is there a specific benchmark TRS follows for short-term cash management?

- TRS Response: SOFR+LIBOR Spread for financing, and 3 month US T-bills for short term liquidity cash

91) Are there any unique features of cash management solutions that we should be aware of, e.g., in-house managed dedicated STIF? If so, please provide details on the type of support required.

- TRS Response: None at this time.

92) Does TRS currently utilize a MMF program with the current custodian? If so, how does TRS currently facilitate that? Does TRS utilize the current custodian’s sweep platform – is it active or passive? Can TRS provide average cash balance, currency, investment cutoff time and ticker for the current fund(s) TRS sweeps to?

- TRS Response: TRS utilizes a STIF with our current custodian, in addition we use an active approach to their sweep platform.

93) Does TRS participate in a deposit program, if available? If so, can TRS provide average cash balance and currency?

- TRS Response: TRS does not carry balances overnight. The custodian automatically sweeps TRS cash balances into a STIF account. For internally managed accounts, the custodian repatriate’s foreign currency to USD before sweeping to STIF.

94) For cash movements, what is the method of instruction? SWIFT, Fax, other…

- TRS Response: For cash movements, the method of instructions is a digitally signed cash instruction letter formatted as a PDF and attached to email. This is an automated output from

Solicitation Name: Master Custodian and Securities Lending Services Solicitation No.: CC_2200001 an internal workflow system based on K2Blackpearl and an approval matrix documented in the FTTOP/GAR.

95) Under section X, how would a “compliance” pre-trade holdings file differ from and “accounting” pre-trade holdings file?

- TRS Response: There is no difference. The holdings file would be the same for compliance and accounting.

96) For Question 3 in Section XII, please clarify whether “the firm’s U.S. client base” refers to US custody client base.

- TRS Response: TRS is primarily interested in and currently requesting US custody client base, however, respondents can include other client information as applicable.

97) For Question 6 in Section XII, please provide an example of the “reporting” being referred to for managing multiple uses of a security.

- TRS Response: TRS is looking for tools and/or systems to monitor usage of assets across both investment and operational purposes. Examples would be quantities and market values of both single assets and in aggregate broken out by:

• On loan and to whom

• On repo and with which counterparty

• Held as counterparty collateral and with which counterparty

• Pending trade activity

• Etc.

98) For Question 13 in Section XII, please confirm whether “firm resources” refer to personnel.

- TRS Response: TRS is looking for clarity on both personnel and systems used.

99) Please share actual or indicative annual FX volumes by Market, broken down between custodian flow and third party flow. Please include notional amounts in US dollar ($) terms and number of transactions (#).

100) Are there any special FX pricing arrangements in place with the current custodian? If so, please describe.

- TRS Response: There are no special FX pricing arrangements in place at this time.

101) Are there any special execution processes, e.g. restricted market exceptions, in place with the current custodian? If so, please describe.

- TRS Response: There are no restricted market exceptions at this time. The only special execution process is our standing instruction to the custodian to execute foreign exchange

Solicitation Name: Master Custodian and Securities Lending Services Solicitation No.: CC_2200001 transactions to cover our market trades for the currencies we identify as “off-book” currencies.

102) Would TRS consider outsourcing all FX transactions to the Custodian, including trade related FX in freely convertible currencies? If so, what would be the determining factors?

- TRS Response: No, TRS would not consider outsourcing all FX transactions to the Custodian.

103) Does TRS use either an active or passive currency overlay program to hedge foreign currency/holding exposures or a hedge share class program?

- TRS Response: Yes, TRS uses both.

104) Is TRS amenable to accepting clarifying edits to the language used in the required “Respondent Certifications” (link to document found at RFP Section XII p.40) or must these be agreed to exactly as presented?

- TRS Response: If a Respondent has clarifying edits to the language reflected in…