PBGC_RFP_16PBGC25R0050_Attachment_5_-_Phase_II_Performance_Analytics_Questionnaire.pdf

Attachment 5: Phase II Performance Measurement and Analytics Questionnaire Custodian Banking Services Request for Proposal No. 16PBGC25R0050

1. Provide a full set of blank templates for standard monthly performance statements. Also, provide samples of customized reports done for an existing client(s) for similar type account(s), including international portfolio(s). (NOTE: Include enough pages of each report to demonstrate its use. Please indicate whether or not the reports are available online.) Attach separately to Volume 2 and label accordingly.

2. Describe the multi-currency, global performance measurement, and analytical services you Provide from: (a) internal and (b) external sources

i. Does your in-house product fully meet PBGC’s needs as outlined in the Statement of Work? If not, describe the software products and vendors proposed to complement your systems.

ii. Describe how the above products interface with your in-house system.

3. Discuss the ease with which your on-line systems can be customized to meet the needs of

PBGC.

i. What customization to your on-line systems is necessitated by PBGC’s requirement?

ii. Include a time-line showing the completion dates for the customizations.

4. Can monthly, quarterly, and annual performance be calculated gross and net of fee? Can you supply net of fee calculations by the 15th business day?

5. How soon after month-end can you expect accounting and performance to be calculated?

6. Detail the manner in which returns are calculated including, but not limited to, the firm’s ability to provide both time weighted return and internal rate of return performance calculations.

i. Does your system link daily and/or monthly returns/analyses?

7. Detail the development of your proprietary performance measurement and analytics software.

i. What enhancements shall be added to the system within the next six months and what enhancements are scheduled for the future (provide a time line of these future enhancements).

ii. How much money and resources was allocated to performance-related systems enhancements annually in 2023, 2022, and 2021? What are the projected expenditures each year for the next five years in this area?

8. Explain how your performance system handles derivatives, including, but not limited to financial futures, options and index futures, U.S. and non-U.S., where applicable.

9. How shall you maintain the consistency between information of the trust accounting and performance measurement reports for a given period?

10. When backloading performance data, what level of detail is backloaded and is there a limit on the number of years backloaded?

11. Can you provide raw data and rates of return and portfolio holdings on request by PBGC or its consultant? If so, please describe the process and time frame.

12. Do your performance measurement/analytics and accounting/reporting areas utilize the same master security database for all security-related information? Describe in detail.

i. Is the data separate or linked directly with your accounting system? Describe in detail.

13. Provide examples of available multi-currency global performance measurement/analytic reports indicating those described in the Statement of Work. Include samples of customized reports done for existing clients with similar types of accounts. NOTE:

Include enough pages of each report to demonstrate its use. Indicate whether or not these reports are available on-line.

Attach separately to Volume 2 and label accordingly.

i. Is the security classification system shown identical to that of the accounting/reporting system?

ii. Provide an exhibit itemizing the global security classification system of your reports.

iii. Was the security classification system developed in-house or externally?

iv. If developed externally, what vendor developed it?

v. Can the security classification system be customized? If so, how?

vi. Are other security classification systems available? Describe and provide exhibits.

Attach separately to Volume 2 and label accordingly.

14. List the indices available for comparison, their source, and the manner and timing in which you receive them.

15. Provide a list of benchmark indices that you would be able to provide current and historical returns and portfolio analytics as required in the Statement of Work.

16. PBGC invests in various externally-custodied pooled vehicles. Describe the manner in which PBGC would access returns and portfolio analytics for the pooled vehicles so that they may be analyzed individually and/or rolled up into composites.

17. Describe the return-based performance attribution models available,

i. Identify the outside vendor(s) (if applicable) and a brief overview of the theoretical framework of the models.

18. Describe the holdings-based performance attribution models available, identify the outside vendor (if applicable), and provide a brief overview of the theoretical framework of the models.

i. Describe how the model does or does not fully meet PBGC’s requirements as stated in the Statement of Work.

19. Describe the manner in which PBGC’s monthly total returns shall be verified against the returns calculated by the investment manager.

i. Discuss other audit procedures in place to ensure the accuracy of on-line and hard-copy reporting.

20. Describe the analytics available for analysis of short-term fixed income accounts and their benchmark indices.

21. Describe the analyses available specific to mortgage- and asset-backed securities and the vendor, if applicable.

i. Provide sample reports. Attach separately to Volume 2 and label accordingly.

22. Detail the portfolio analysis available for a portfolio of Real Estate Investment Trusts

(REITs).

i. Provide a sample report. Attach separately to Volume 2 and label accordingly.

23. Describe the procedure for adding in the characteristics of a security that is not in your database at the time of purchase.

i. Detail how this is coordinated with the accounting function.

24. Are you currently providing TUCS data to clients on-line?

i. If so, detail the capability of your system to provide data and reports on-line and the ability to customize reports.

ii. Provide sample reports. Attach separately to Volume 2 and label accordingly.