PBGC_RFP_16PBGC25R0050_Attachment_7_-_List_of_Exhibits.xlsx
XLSX spreadsheet 28 KB Posted
- Attached to
- PBGC Custodian Banking Services
- Solicitation number
- 16PBGC25R0050
- Issued by
-
Pension Benefit Guaranty Corporation
About this file
This file is an attachment listing required exhibits and reports for a Pension Benefit Guaranty Corporation (PBGC) custodian banking services contract. The document details approximately 75 different reports required from the custodian bank, organized by support area including Securities Lending, Cash Management, Performance Measurement and Analytics, and Financial Operations Division (FOD).
The reports include detailed requirements for delivery timing and content, with most FOD reports due on the 9th business day of each month and performance reports due on the 14th business day. Key report categories include securities lending statistics, investment performance reviews, asset allocation reports, transaction cost monitoring, working trial balances, portfolio holdings, cash transaction statements, realized gain/loss reports, and fair value reporting. The reports support PBGC's oversight of its investment portfolio, including monitoring of securities lending activities, investment performance measurement, financial accounting, and regulatory compliance. Many reports must be uploaded to a web reporting module and include specific requirements for format (Excel/PDF) and data elements.
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Sheet1
| SOW | Exhibit | Title | Support Area | Delivery Date/Description |
| 5.2.1.5 | CID A | Cash Collateral Reinvestment Portfolio Holdings (fund characteristics, liquidity schedule, weight metrics) | Cash Management | 10 business days after month-end. |
5.2.1.5 CID B Cash Collateral Fund Holdings List Securities Lending 15 business days after month-end.
5.2.1.5 CID C Securities Lending Statistics (by Separate Account) Securities Lending 15 business days after month-end.
5.2.1.5 CID D Securities Lending Statistics (by Borrower) Securities Lending 15 business days after month-end.
5.2.1.5 CID E Securities Lending Statistics (by Asset Class Lent) Securities Lending 15 business days after month-end.
5.2.1.5 CID F Securities Lending Statistics (by Collateral Type) Securities Lending 15 business days after month-end.
5.2.1.5 CID G Loan Level Information Securities Lending 15 business days after month-end.
5.2.1.9 CID H Total Fund Performance versus Targets Report Custodian Bank Multi-Currency Global Performance Measurement and Analytics Monthly with final version on the 14th business day after month end.
5.2.1.9 CID I Investment Performance Review (IPR) Gross of Fees – In both PDF and Excel format Custodian Bank Multi-Currency Global Performance Measurement and Analytics Monthly with final version on the 14th business day after month end.
5.2.1.9 CID J IPR (Net of Fees) Custodian Bank Multi-Currency Global Performance Measurement and Analytics Monthly with final version on the 14th business day after month end.
5.2.1.9 CID K Vertical IPR – lists each portfolio and composite’s performance in a column format Custodian Bank Multi-Currency Global Performance Measurement and Analytics Monthly with final version on the 14th business day after month end.
5.2.1.9 CID L Private Market IPR Custodian Bank Multi-Currency Global Performance Measurement and Analytics Monthly with final version on the 14th business day after month end.
5.2.1.9 CID M Asset Allocation Report Custodian Bank Multi-Currency Global Performance Measurement and Analytics Monthly with final version on the 14th business day after month end.
5.2.1.9 CID N Benchmark History Custodian Bank Multi-Currency Global Performance Measurement and Analytics Monthly with final version on the 14th business day after month end.
5.2.1.9 CID O Manager Reconciliation – to reconcile Custodian Bank vs. manager reported returns Custodian Bank Multi-Currency Global Performance Measurement and Analytics Monthly with final version on the 14th business day after month end.
5.2.1.9 CID P Allocation Estimate Report (Excel) – to compare PBGC performance vs. a hypothetical 60% Equity, 40% FI allocation Custodian Bank Multi-Currency Global Performance Measurement and Analytics Monthly with final version on the 14th business day after month end.
5.2.1.9 CID Q Manager Performance Since Inception Report Custodian Bank Multi-Currency Global Performance Measurement and Analytics Monthly with final version on the 14th business day after month end.
5.2.1.9 CID R Transition Account Performance Custodian Bank Multi-Currency Global Performance Measurement and Analytics Monthly with final version on the 14th business day after month end.
5.2.1.9 CID S PBGC TUCS Asset Allocation Custodian Bank Multi-Currency Global Performance Measurement and Analytics Quarterly within quarter end. 45 days after.
5.2.1.9 CID T PBGC TUCS Manager Returns Custodian Bank Multi-Currency Global Performance Measurement and Analytics Quarterly within quarter end. 45 days after.
5.2.1.9 CID U PBGC TUCS Pool Returns Custodian Bank Multi-Currency Global Performance Measurement and Analytics Quarterly within quarter end. 45 days after.
5.2.1.9 CID V PBGC TUCS Total Fund 65% Custodian Bank Multi-Currency Global Performance Measurement and Analytics Quarterly within quarter end. 45 days after.
5.2.1.9 CID W PBGC Benchmark Proofs – to verify components of each benchmark and the methodology (i.e. weighted by Beginning Market Value, Average Market Value etc.) for computing the benchmark. Custodian Bank Multi-Currency Global Performance Measurement and Analytics Ad hoc as required by CID staff.
5.2.1.9 CID X Annualized Returns-Based Risk Statistic Report that provides the following for each commingled fund and separate account as well as composites, where applicable (all are based on three year periods): Fund return, Fund Standard deviation, Benchmark return, Benchmark standard deviation, Excess returns (Fund return less benchmark return), Relative standard deviation (Fund standard deviation/benchmark standard deviation) Kurtosis, Historic beta, Information ratio, Jensen alpha, R squared, Sharpe ratio, Skewness, Tracking error, Treynor ratio Custodian Bank Multi-Currency Global Performance Measurement and Analytics Monthly with final version on the 14th business day after month end.
5.2.1.9 CID Y Estimated Return Report that calculates how the PBGC portfolio would have returned over one year and five year periods utilizing a hypothetical 60% allocation to the S&P 500 and a 40% allocation to the Barclays Capital Aggregate benchmark. Also provide (1) a monthly total fund performance versus a total fund benchmark utilizing static benchmark weights and (2) a since inception performance report for each individual commingled fund and separate account Custodian Bank Multi-Currency Global Performance Measurement and Analytics Monthly with final version on the 14th business day after month end.
5.2.1.14 CID Z Transaction Cost Monitoring Reports (Sample not available) Custodian Bank Global Performance 15 business days after quarter end.
3.3 FOD A Working Trial Balance Reflects the beginning balance, period activity and ending balance of assets, liabilities, income, expenses, and capital on a monthly basis. Monthly on the 9th business day and uploaded to webpage reporting module.
| 3.3 | FOD B | SIC Account Position Appraisal (Holdings) | Reflects appraised value of all assets held in PBGC’s Trust Fund by IM (account) and asset type. The report shall contain the following items: | Monthly on the 9th business day and uploaded to Webpage reporting module. |
| · Asset ID | ||||
| · Original Face | ||||
| · Asset Description | ||||
| · Unit Cost | ||||
| · Total Cost | ||||
| · Unit Price | ||||
| · Market Value | ||||
| · Currency/Percentage of Total Fund | ||||
| · Unrealized Gain/Loss |
| 3.3 | FOD C | Cash Transaction Statement Report | Reflects the beginning cash balance of the portfolio and categorizes the receipts and disbursements during the month to arrive at the ending balance for the month. Typical transactions may include the following: | Monthly on the 9th business day and uploaded to Webpage reporting module. |
| · Purchases and sales of securities; | ||||
| · Income/Dividends received; | ||||
| · Paydowns received; | ||||
| · Expenses paid; | ||||
| · Proportional funding disbursements (liquidations from PBGC’s Trust Fund for benefits paid by the Revolving Fund); | ||||
| · Administrative expense reimbursements (liquidations from PBGC’s Trust Fund for expenses paid by the Revolving Fund); | ||||
| · Acquisitions and Liquidations for the current month; | ||||
| · Short Term Investment Fund (STIF) purchases and sales; | ||||
| · Transfers In and Out between Investment Manager accounts and; | ||||
| · Miscellaneous cash transactions |
3.3 FOD D Base Equivalent Cash Statement Reflects the beginning cash balance of the portfolio and categorizes the receipts and disbursements during the month to arrive at the ending balance for the month, both foreign and domestic. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD E Portfolio Purchase Report Reflects purchases of securities by category (e.g. cash equivalents, short term maturities, equities, fixed income, options, futures, etc.) Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD F Portfolio Sales Report Reflects sales of securities by category (e.g. cash equivalents, short term maturities, equities, fixed income, options, futures, etc.) Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD G Adjustment Report Shows adjustments made for prior months transactions (e.g. cancel/rebook trades) Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD H Forward Activity Report Reflects all forward transactions during the month. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD I FX Spot Purchase Activity Report Shows spot FX activities for purchase for the period. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD J FX Spot Sales Activity Report Shows spot FX activities for sales for the period. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD K Summary Realized Gain/Loss by Asset Type Report Reflects summary of realized gain and loss by asset type (e.g. Equity, Fixed Income. Options, Foreign Cash etc.) Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD L MBS Paydown and Up Report Reflects transactions of pay downs or up for Mortgage- Backed Securities. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD M Open Trades - Purchases Reflects securities that were purchased during the month but not yet settled as of the last day of the month. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD N Open Trades -Sales Reflects securities that were sold during the month but not yet settled as of the last day of the month. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD O Pending Forward Report Reflects FX Forward contracts that had not yet settled at the end of the month Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD P Pending Spot FX Purchases Shows pending spot FX activities for purchases for the period. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD Q Pending Spot FX Sales Report Shows pending spot FX activities for sales for the period. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD R Detailed Realized Gain and Loss Report Reflects Realized G/L in detail by CUSIP number for the period, Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD S Dividend Income Summary Report Summarizes dividend income by CUSIP number for the period. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD T Dividend Payable Report Listed dividend payables for the period. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD U Dividend Receivable Report Listed dividend receivables for the period. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD V Fund Total Receivable Report Shows receivables for the period by fund. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD W Interest Payable Report Listed interest payables for the period. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD X Interest Receivable Report Listed interest receivables for the period. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD Y Mortgage Backed Interest Payable Report Shows MB interest payables for the period. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD Z Mortgage Backed Interest Receivable Report Shows MB interest receivables for the period. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD AA Tax Reclaim Receivables Shows tax reclaim receivables by currency. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD BB Statement of Net Assets Reflects values of all items in PBGC’s Commingled fund by PBGC’s chart of accounts. The report includes a detailed listing of investments, (e.g. corporate stock, corporate bonds, government securities, etc.) This itemized listing of the commingled fund is needed because PBGC’s classification of investments may differ from the Custodian Bank’s. Monthly on the 10th business day.
3.3 FOD CC STIF Rates Reflects the Short Term security interest rates for each day of a calendar month. Monthly on the 2nd business day.
3.3 FOD DD Share Activity Report Reflects the beginning balance of shares, shares issued for the month, shares liquidated for the month, dollar value withdrawal for the month and dollar value contributed for the month. Monthly on the 2nd business day.
3.3 FOD EE1 Valuation of Assets On a daily basis (Monday-Friday) PBGC is to receive a report of the assets received and distributed by the Custodian Bank, a transaction log of all cleared checks, wire, asset-in-kind, and supporting documentation of the assets received and disbursed. The daily amounts are reconciled to the acquisition and liquidation sheets each day. The report is to be in PBGC’s format and shall segregate all non-cash transactions (e.g. assets in kind) from cash transactions.
| (Acquisition and/or Liquidation) form and backup documentation for the valuation of asset should indicate the type of backup documentation for the valuation of asset should indicate the type of transfer, i.e., check, wire, or asset-in-kind. | Daily | ||||
| 3.3 | FOD EE2 | Daily Transaction Log | On a daily basis (Monday-Friday) PBGC is to receive a report of the assets received and distributed by the Custodian Bank, a transaction log of all cleared checks, wire, asset-in-kind, and supporting documentation of the assets received and disbursed. The daily amounts are reconciled to the acquisition and liquidation sheets each day. The report is to be in PBGC’s format and shall segregate all non-cash transactions (e.g. assets in kind) from cash transactions. | Daily | |
| 3.3 | FOD EE3 | Monthly Acquisition/Liquidation Report | On a monthly basis, PBGC is to receive a report of the assets received and distributed by the Custodian Bank, a transaction log of all cleared checks, wire, asset-in-kind, and supporting documentation of the assets received and disbursed. The daily amounts are reconciled to the acquisition and liquidation sheets each day. The report is to be in PBGC’s format and shall segregate all non-cash transactions (e.g. assets in kind) from cash transactions. | Monthly on the 3rd business day. | |
| 3.3 | FOD EE4 | Monthly Transaction Log | On a monthly basis, PBGC is to receive a report of the assets received and distributed by the Custodian Bank, a transaction log of all cleared checks, wire, asset-in-kind, and supporting documentation of the assets received and disbursed. The daily amounts are reconciled to the acquisition and liquidation sheets each day. The report is to be in PBGC’s format and shall segregate all non-cash transactions (e.g. assets in kind) from cash transactions. | Monthly on the 3rd business day. |
3.3 FOD FF Total on Loan – Commingled Fund Reflects total amount of Securities on Loan from PBGC’s Commingled Fund. Note: PBGC may require separate reporting for specific notes/securities related to agency settlement agreements. Monthly on the 1st business day.
| 3.3.20 | FOD GG | Reconciliations of Investment Manager | PBGC requires its IMs and Custodian Bank to reconcile overall holdings on a monthly basis. These reconciliations are forwarded to PBGC for review. This reconciliation shall include the identified differences and an explanation of the differences. The reconciliations are due to PBGC on 15th calendar day of the following month. The overall monthly reconciliation is a comparison between IM and Custodian Bank (“CB”) total net assets at market. : | Monthly on the 15th calendar day. |
| Manager NAV at market, Custodian Bank NAV at market, and NAV differences, Custodian Bank provides PBGC the reconciliations prepared by individual IM that display differences of individual securities. Includes subtotals by market value of securities excluding STIF, interest/dividends accrued and receivable, unsettled/failed trades and paydowns, cash and STIF, accrued expenses /capital share transactions/miscellaneous, and report totals. The procedures for the preparation, reconciliation, and completion of this report are as follows: | ||||
| 1) The IM prepares and forwards the monthly reconciliations to PBGC and the CB by the 15th calendar day of the following month. | ||||
| 2) PBGC reviews the reconciliation and contacts either the IM or the CB for questions regarding any differences. | ||||
| 3) The CB reviews the IM. |
3.3.21 FOD HH Fair Value Summary Report This report summarizes the commingled fund holdings at level 1 – 3 for assets and liabilities. Quarterly, on the 12th business day following quarter end.
3.3.21 FOD II Fair Value Holdings Appraisal Report This report provides a detail listing of the commingled fund holdings. Information includes CUSIP, description, asset type, market value, cost (base & local), fair value code, etc. Quarterly, on the 12th business day following quarter end.
3.3.21 FOD JJ Fair Value Level 3 Roll forward Report This report shows the change in market value on a quarterly for level 3 assets and liabilities. Quarterly on the 14th business day following quarter end.
3.3.1 FOD KK Investment Proof This report is an excel spreadsheet with a pivot table that summarizes PBGC’s investments by category along with the market value for the period. Additionally, the listing of securities for each category can be displayed by clicking on the market, cost or par value. Monthly on the 10th business day following month end.
3.3.1 FOD LL Other Income and Expense Proof This is an Excel worksheet that provides more details for line items such as, other expenses, other income, security lending income, security litigation income and income equalization. Monthly on the 10th business day following month end.
3.3.19 FOD MM Open Trade Proof This is an Excel worksheet that provides list of securities that were unsettled by the end of the month. PBGC uses this proof to verify the balances on the Statement of Net Assets. Monthly, on the 11th business day.
3.3.19 FOD NN Earned Income Proof This is an Excel worksheet that provides list of interest and dividend earned by CUSIP level and PBGC investment classification. PBGC uses this proof to verify the balances on the Statement of Net Assets. Monthly on the 11th business day.
3.3.19 FOD OO Interest Receivable Proof This is an Excel worksheet that provides list of interest and dividend receivables by CUSIP level and PBGC investment classification. PBGC uses this proof to verify the balances on the Statement of Net Assets. Monthly on the 11th business day.
3.3.19 FOD PP Realized Gain and Loss Proof This is an Excel worksheet that provides list of realized gain and loss by CUSIP level and PBGC investment classification. PBGC uses this proof to verify the balances on the Statement of Net Assets. Monthly on the 11th business day.
3.3.17.1 FOD QQ Reconciliation of the Statement of Net Assets to Working Trial Balance This is an Excel worksheet that Custodian Bank prepared to ensure the amounts agree on both Statement of Net Assets report and Working Trial Balance. Monthly on the 11th business day.
3.3.20 FOD RR Price Challenges Worksheet This is an Excel worksheet that Custodian Bank prepared. This worksheet displays securities the unit price difference is greater than 3% between Custodian Bank and individual investment managers. Monthly on the 8th business day.
3.3 FOD SS Fund Total Payable Report Listed total interest payable by currency for the period. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD TT Fund Totals for Dividend Income Statement by Currency Listed total dividend income by currency for the period. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD UU Fund Totals for Dividend Income Statement by Country Listed total dividend income by country for the period. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD VV Open Corporate Actions Reflects corporate actions during the month but not yet settled as of the last day of the month. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD WW Corporate Action Report Listed corporate action during the month. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD XX Earned Income Details Report by CUSIP Reflects interest income in detail by CUSIP number for the period. Monthly on the 9th business day and uploaded to Webpage reporting module.
3.3 FOD YY Earned Income Summary Report by CUSIP Summarizes interest income by CUSIP number for the period. Monthly on the 9th business day and uploaded to Webpage reporting module.
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