Amentment_02_Fixed_Income.pdf

NSN 7540-01-152-8070 STANDARD FORM 30. (Rev. 10-83) Previous Edition unusable Prescribed by GSA FAR (48 CFR) 53.243

Page of Pages AMENDMENT OF SOLICITATION/MODIFICATION OF CONTRACT 1. Contract ID Code

2. AMENDMENT MODIFICATION NO. 3. EFFECTIVE DATE 4. REQUISITION/PURCHASE REQ. NO. 5. PROJECT NO. (if applicable)

6. ISSUED BY CODE 7. ADMINISTERED BY (If other than item 6) CODE

(x) 9A. AMENDMENT OF SOLICITATION NO.

9B. DATED (SEE ITEM 11)

10A. MODIFICATION OF CONTRACT/ORDER NO.

8. NAME AND ADDRESS OF CONTRACTOR (NO., Street, Country, State and ZIP Code)

CODE FACILITY CODE

10B. DATED (SEE ITEM 13)

11. THIS ITEM ONLY APPLIES TO AMENDMENTS OF SOLICITATIONS

The above numbered solicitation is amended as set forth in item 14. The hour and date specified for receipt of offers is extended, is not extended.

Offers must acknowledge receipt of this amendment prior to the hour and date specified in the solicitation or as amended, by one of the following methods:

(a) By completing items 8 and 15, and returning ______ copies of amendment; (b) By acknowledging receipt of this amendment on each copy of the offer submitted;

or (c) By separate letter or telegram which includes a reference to the solicitation and amendment numbers. FAILURE OF YOUR ACKNOWLEDGMENT TO BE RECEIVED AT THE PLACE DESIGNATED FOR THE RECEIPT OR OFFERS PRIOR TO THE HOUR AND DATE SPECIFIED MAY RESULT IN REJECTION OF YOUR OFFER. If by virtue of this amendment your desire to change an offer already submitted, such change may be made by telegram or letter, provided each telegram or letter makes reference to the solicitation and this amendment, and is received prior to the opening hour and date specified.

12. ACCOUNTING AND APPROPRIATION DATA (If required)

13. THIS ITEM ONLY APPLIES TO MODIFICATION OF CONTRACTS/ORDERS. IT MODIFIES THE CONTRACT/ORDER NO. AS DESCRIBED IN ITEM 14.

Check One

A. THIS CHANGE ORDER IS ISSUED PURSUANT TO: (Specify authority) THE CHANGES SET FORTH IN ITEM 14 ARE MADE IN THE

CONTRACT ORDER NO. IN ITEM 10A.

B. THE ABOVE NUMBERED CONTRACT/ORDER IS MODIFIED TO REFLECT THE ADMINISTRATIVE CHANGES (such as changes in paying office, appropriation date, etc) SET FORTH IN ITEM 14, PURSUANT TO THE AUTHORITY OF FAR 43.103(b).

C. THIS SUPPLEMENTAL AGREEMENT IS ENTERED INTO PURSUANT TO AUTHORITY OF:

D. OTHER (Specify type of modification and authority)

E. IMPORTANT: Contractor is not, is required to sign this document and return _______ copies to the issuing office.

14. DESCRIPTION OF AMENDMENT/MODIFICATION (Organized by UCF section headings, including solicitation/contract subject matter where feasible)

Except as provided herein, all terms and conditions of the document referenced in item 9A or 10A, as heretofore changed, remains unchanged and in full force and effect.

15A. NAME AND TITLE OF SIGNER (Type or print)

16A. NAME AND TITLE OF CONTRACTING OFFICER (Type or print)

15B. CONTRACTOR/OFFEROR 16B. UNITED STATES OF AMERICA

(Signature of person authorized to sign)

15C. DATE SIGNED

(Signature of Contracting Officer)

16C. DATE SIGNED

Continuation Page

PAGE 2 OF 11 PBGC01-RP-15-0008/02

Continued from Block 14...

MANDATE PRODUCT LEVEL MANDATORY REQUIREMENTS (HIGH YIELD FIXED INCOME) ARE

HEREBY CHANGED FROM 6/30/14 TO 9/30/14. SEE ATTACHMENTS.

(B) ATTACHMENT 4, MULTIPLE MANDATE PRODUCT LEVEL MANDATORY REQUIREMENTS (LONG

DURATION FIXED INCOME), IS HEREBY CORRECTED TO PROPERLY ALIGN THE Y/Ns - SEE

ATTACHMENT.

(C) THE LANGUAGE IN SECTION M.2, EVALUATION FACTORS FOR AWARD, IS HEREBY CHANGED

AS FOLLOWS:

M.2 EVALUATION FACTORS FOR AWARD

The technical evaluation of proposals received in response to this solicitation will be separated into two phases (Phases I and II) as set forth below:

a) Phase I - Mandatories (Pass/Fail): Each offeror shall submit the responses to the Mandatory Requirements attachments, which will be evaluated on a pass/fail basis. There are separate Mandatory Requirements depending on the classification the offeror has chosen (Multiple Mandate or Specialist Global and/or EMD). The Mandatory Requirements are further split into two categories, Firm Level Mandatory Requirements and Product Level Mandatory Requirements. Each offeror shall meet or exceed all the Firm Level Mandatory Requirements. In addition, offerors in the Multiple Mandate classification shall meet or exceed all of the Multiple Mandate Product Level Mandatory Requirements in three different strategies.

Offerors in the Specialist Global and/or EMD classification shall meet or exceed all of the Specialist Global and/or EMD Product Level Mandatory Requirements in one of the strategies. Passing of all of the minimum Mandatory Requirements for each classification is required in order for the offerors' proposals to move on to Phase II.

b) Phase II - Technical Evaluation (Adjectival Ratings): Once offerors have been found to comply with minimum Mandatory Requirements for their chosen classification, the agency will evaluate the offerorsâ## technical proposal based on three (3) evaluation factors, listed in descending order of importance; (1) Overall Product Level Technical Evaluation; (2) Firm Level Technical Evaluation; and (3) Past Performance.

Attachment Page

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AMENDMENT 02 (ATTACHMENTS 3, 4, AND 6)

Attachment 3

MULTIPLE MANDATE PRODUCT LEVEL MANDATORY REQUIREMENTS

(GLOBAL FIXED INCOME)

Proposals for this solicitation shall meet all of the multiple mandate firm level mandatory requirements and all of the multiple mandate product level mandatory requirements for at least three of the following five distinct strategies: Global Fixed Income (GFI), Core fixed income (CFI), Long Duration (LD), High Yield (HY), and Emerging Market Debt (EMD). Offerors shall document compliance with these Multiple Mandate Mandatory Requirements in Volume II (a) separate from the Technical and Price Proposals. The Multiple Mandate Mandatory Requirements Volume shall be separated by 6 tabs labeled 1 through 6 for each set of mandatory requirements (the firm level mandatory requirements and each product level mandatory requirements), including the signed cover sheet for each set of mandatory requirements with the appropriate response circled (Y/N). Mandatory requirements that require documentation are marked with an asterisk below and shall be included in the respective tab in the order specified below.

A. Qualifying product is actively managed against either the Barclays Global Aggregate Hedged Index, the Barclays Global Aggregate ex-USD Hedged Index or the Citigroup World Government Bond Index and must be available in a separate account format.

B. The firm shall accept either the Barclays Global Aggregate Hedged Index or the Barclays Global Aggregate ex-USD Hedged Index as the mandate benchmark if selected.

C. The firm must manage at least $1,000,000,000.00 USD as of 9/30/14 in the proposed Global Fixed Income product suitable for a tax-exempt sponsor. Advisory assets shall not be included in this total. *

D. The firm currently has at least one tax exempt institutional account with at least $100,000,000.00 USD invested in the qualifying product as of 9/30/14. (A tax-exempt account is defined as a separate account or a commingled fund managed on behalf of institutional investors that are tax-exempt. This definition excludes mutual funds, closed-end funds, and partnerships that are available for purchase by taxable entities). *To enable the PBGC to assess mandatory requirements B and C, the firm shall provide for the account and the qualifying product totals for the following as of 9/30/14:

i. Total asset value of the account and the qualifying product

ii. Description of the benchmark for the account and the qualifying product

iii. Portfolio Characteristics (duration, credit quality and fixed income market sector breakdown) of the portfolio for the account and qualifying product * firms shall include printouts of Tables 7 and 8 from Attachment 8 Tables.

Provide account characteristics using the same tables for the account.

E. The firm does not utilize a sub-advisor(s) in the management of the proposed product.

F. The proposed product must have at least 5 years of live performance history as of 9/30/14 (simulated results are not acceptable). *

Y/N

PAGE 4 OF 11 PBGC01-RP-15-0008/02

G. The performance history presented complies with the CFA Institute (CFAI) Global Investment Performance Standards (GIPS). * (Provide a GIPS compliant Performance Presentation, and confirm verification by providing either, the name of the verifier and a copy of the verification letter or a statement describing the return calculation methodology and rules for inclusion of accounts in composites).

H. The firm must calculate the average of all rolling 60-month information ratios for the past 10 years or since product inception, whichever is shorter, through 9/30/14. Rolling quarterly calculations are not acceptable. The average, using the GIPs compliant performance information presented in the proposal, must exceed the following value: 0.30. * *To enable the PBGC to assess mandatory requirements for items E and G, offerors shall include a printout of Table 6 from Attachment 8 Tables.

The methodology described below is required: (Failure to do so will result in elimination from competition.)

Calculate the monthly geometric** excess return, using one of the indexes referenced in A. and consistent with the Global Fixed Income product proposed, for each month of performance.

Then, calculate the annualized 60-month excess return for each rolling 60-month period.

Divide this by the annualized standard deviation*** of excess returns for each rolling 60-month period. Finally, calculate a simple average of these results. For example, if a product has 16 rolling 60-month periods since inception, provide the simple average of those 16 Information Ratios.

**Geometric Excess ((1+A/100)/(1+B/100))-1 A – Monthly Fund Return B – Monthly Index Return ***To annualize risk – must multiply by square root of 12 (for monthly)

For example, if a product has an inception date of March 31, 2008, the first time period that would have 60 months of performance data would be June 30, 2008 through June 30, 2013. This is the first IR data point. The next time period would be July 31, 2008 through July 31,, 2013 - this is the second IR data point. The third time period would be August 31, 2008 through August 31, 2013 - this is the third IR data point. And so on, until the last period, which would be September 30, 2009 through September 30, 2014 -the 16th IR data point. Calculate the average of those 16 IR data points. This is the number that must be greater than 030 as illustrated below:

IR for rolling 60 month period Rolling 60 month periods Rolling period # (example only) 07/2008 through 06/2013 Rolling 60 month period #1 0.65 08/2008 through 07/2013 Rolling 60 month period #2 0.60 09/2008 through 08/2013 Rolling 60 month period #3 0.57 10/2008 through 09/2013 Rolling 60 month period #4 0.51 11/2008 through 10/2013 Rolling 60 month period #5 0.54 12/2008 through 11/2013 Rolling 60 month period #6 0.62 01/2009 through 12/2013 Rolling 60 month period #7 0.61 02/2009 through 01/2014 Rolling 60 month period #8 0.60 03/2009 through 02/2014 Rolling 60 month period #9 0.59 04/2009 through 03/2014 Rolling 60 month period #10 0.55 05/2009 through 04/2014 Rolling 60 month period #11 0.52 06/2009 through 05/2014 Rolling 60 month period #12 0.50

PAGE 5 OF 11 PBGC01-RP-15-0008/02

07/2009 through 06/2014 Rolling 60 month period #13 0.48 08/2009 through 07/2014 Rolling 60 month period #14 0.49 09/2009 through 08/2014 Rolling 60 month period #15 0.45 10/2009 through 09/2014 Rolling 60 month period #16 0.39

Average IR of these 16 rolling 60 month periods is: 0.54

The Offeror hereby certifies that it meets all of the Multiple Mandate Product Level Mandatory Requirements.

Authorized Signature Date

Title Name of Firm

PAGE 6 OF 11 PBGC01-RP-15-0008/02

Attachment 4

(LONG DURATION FIXED INCOME)

Proposals for this solicitation shall meet all of the multiple mandate firm level mandatory requirements and all of the multiple mandate product level mandatory requirements for at least three of the following five distinct strategies: Global Fixed Income (GFI), Core Fixed Income (CFI), Long Duration (LD), High Yield (HY), and Emerging Market Debt (EMD). Offerors shall document compliance with these Multiple Mandate Mandatory Requirements in Volume II(a) separate from the Technical and Price Proposals. The Multiple Mandate Mandatory Requirements Volume shall be separated by 6 tabs labeled 1 through 6 for each set of mandatory requirements (the firm level mandatory requirements and each product level mandatory requirements), including the signed cover sheet for each set of mandatory requirements with the appropriate response circled (Y/N). Mandatory requirements that require documentation are marked with an asterisk below and shall be included in the respective tab in the order specified below.

A. Qualifying product is actively managed against either the Barclays Long Government/Credit

Index or a blend of the Barclays Long Credit Index and Barclays Long Government Index (Long Government Index must make up between 20% and 40% of the custom blend used) and available in a separate account format.

B. The firm must manage at least $1,000,000,000.00 USD as of 9/30/14 in the proposed Long Duration Fixed Income product suitable for a tax-exempt sponsor. Advisory assets shall not be included in this total. *

C. The firm currently has at least one tax exempt institutional account with at least is defined as a separate account or a commingled fund managed on behalf of institutional investors that are tax-exempt. This definition excludes mutual funds, closed-end funds, and partnerships that are available for purchase by taxable entities). * To enable the PBGC to assess mandatory requirements B and C, the firm shall provide for the account and the qualifying product totals for the following as of 9/30/14:

iii. Portfolio Characteristics (duration, credit quality and fixed income market sector breakdown) of the portfolio for the account and qualifying product * firms shall include printouts of Tables 7 and 8 from Attachment 8 Tables.

Provide account characteristics using the same tables for the account.

D. The firm does not utilize a sub-advisor(s) in the management of the proposed product.

E. The proposed product must have at least 5 years of live performance history as of 9/30/14

F. The performance history presented complies with the CFA Institute (CFAI) Global Investment

Performance Standards (GIPS). * (Provide a GIPS compliant Performance Presentation, and confirm verification by providing either, the name of the verifier and a copy of the verification

PAGE 7 OF 11 PBGC01-RP-15-0008/02

G. The firm must calculate the average of all rolling 60-month information ratios for the past 10 years or since product inception, whichever is shorter, through 9/30/14. Rolling quarterly calculations are not acceptable. The average, using the GIPs compliant performance information presented in the proposal must exceed the following value: 0.20. * *To enable the consistent with the Long Duration Fixed Income product proposed, for each month of performance. Then, calculate the annualized 60-month excess return for each rolling 60-month period. Divide this by the annualized standard deviation*** of excess returns for each rolling 60-month period. Finally, calculate a simple average of these results. For example, if a product has 28 rolling 60-month periods since inception, provide the simple average of those 28 Information Ratios.

**Geometric Excess ((1+A/100)/(1+B/100))-1 A – Monthly Fund Return

For example, if a product has an inception date of March 31, 2008, the first time period that would have 60 months of performance data would be June 30, 2008 through June 30, 2013. This is the first IR data point. The next time period would be July 31, 2008 through July 31,, 2013 - this is the second IR data point. The third time period would be August 31, 2008 through August 31, 2013 - this is the third IR data point. And so on, until the last period, which would be September 30, 2009 through September 30, 2014 -the 16th IR data point. Calculate the average of those 16 IR data points. This is the number that must be greater than 0.20 as illustrated below:

IR for rolling 60 month period Rolling 60 month periods Rolling period # (example only) 07/2008 through 06/2013 Rolling 60 month period #1 0.65 08/2008 through 07/2013 Rolling 60 month period #2 0.60 09/2008 through 08/2013 Rolling 60 month period #3 0.57 10/2008 through 09/2013 Rolling 60 month period #4 0.51 11/2008 through 10/2013 Rolling 60 month period #5 0.54 12/2008 through 11/2013 Rolling 60 month period #6 0.62 01/2009 through 12/2013 Rolling 60 month period #7 0.61 02/2009 through 01/2014 Rolling 60 month period #8 0.60 03/2009 through 02/2014 Rolling 60 month period #9 0.59 04/2009 through 03/2014 Rolling 60 month period #10 0.55 05/2009 through 04/2014 Rolling 60 month period #11 0.52 06/2009 through 05/2014 Rolling 60 month period #12 0.50 07/2009 through 06/2014 Rolling 60 month period #13 0.48 08/2009 through 07/2014 Rolling 60 month period #14 0.49 09/2009 through 08/2014 Rolling 60 month period #15 0.45

PAGE 8 OF 11 PBGC01-RP-15-0008/02

The Offeror hereby certifies that it meets all of the Multiple Mandate Product Level Mandatory Requirements.

Authorized Signature Date

PAGE 9 OF 11 PBGC01-RP-15-0008/02

Attachment 6

(HIGH YIELD FIXED INCOME)

Proposals for this solicitation shall meet all of the multiple mandate firm level mandatory requirements and all of the multiple mandate product level mandatory requirements for at least three of the following five distinct strategies: Global Fixed Income (GFI), Core Fixed Income (CFI), Long Duration (LD), High Yield (HY), and Emerging Market Debt (EMD). Offerors shall document compliance with these Multiple Mandate Mandatory Requirements in Volume II(a) separate from the Technical and Price Proposals. The Multiple Mandate Mandatory Requirements Volume shall be separated by 6 tabs labeled 1 through 6 for each set of mandatory (the firm level mandatory requirements and each product level mandatory requirements), including the signed cover sheet for each set of mandatory requirements with the appropriate response circled (Y/N). Mandatory requirements that require documentation are marked with an asterisk below and shall be included in the respective tab in the order specified below.

A. Qualifying product is actively managed against either the Barclays US High Yield Ba/B – 1% or 2% Issuer Cap Index, Barclays US High Yield Index 2% Issuer Cap, or Barclays Global High Yield Bond Index – USD Hedged and available in a separate account format.

B. The firm must manage at least $1,000,000,000.00 USD as of 9/30/14 in the proposed High Yield product suitable for a tax-exempt sponsor. Advisory assets shall not be included in this total. *

C. The firm currently has at least one tax exempt institutional account with at least is defined as a separate account or a commingled fund managed on behalf of institutional investors that are tax-exempt. This definition excludes mutual funds, closed-end funds, and partnerships that are available for purchase by taxable entities). * To enable the PBGC to assess mandatory requirements B and C, the firm shall provide for the account and the qualifying product totals for the following as of 9/30/14:

iii. Portfolio Characteristics (duration, credit quality and fixed income market sector breakdown) of the portfolio for the account and qualifying product * firms shall include printouts of Tables 7 and 8 from Attachment 8 Tables. Provide account characteristics using the same tables for the account.

D. The firm does not utilize a sub-advisor(s) in the management of the proposed product.

E. The proposed product must have at least 5 years of live performance history as of 9/30/14

F. The performance history presented complies with the CFA Institute (CFAI) Global Investment Performance Standards (GIPS). * (Provide a GIPS compliant Performance Presentation, and confirm verification by providing either, the name of the verifier and a copy of the verification

PAGE 10 OF 11 PBGC01-RP-15-0008/02

G. The firm must calculate the average of all rolling 60-month information ratios for the past 10 years or since product inception, whichever is shorter, through 9/30/14. Rolling quarterly calculations are not acceptable. The average, using the GIPs compliant performance information presented in the proposal, must exceed the following value: 0.20. * *To enable the consistent with the High Yield Fixed Income product proposed for each month of performance.

Then, calculate the annualized 60-month excess return for each rolling 60-month period.

Divide this by the annualized standard deviation*** of excess returns for each rolling 60-month period. Finally, calculate a simple average of these results. For example, if a product has 16 rolling 60-month periods since inception, provide the simple average of those 16 Information Ratios.

**Geometric Excess ((1+A/100)/(1+B/100))-1 A – Monthly Fund Return

For example, if a product has an inception date of March 31, 2008, the first time period that would have 60 months of performance data would be June 30, 2008 through June 30, 2013. This is the first IR data point. The next time period would be July 31, 2008 through July 31,, 2013 - this is the second IR data point. The third time period would be August 31, 2008 through August 31, 2013 - this is the third IR data point. And so on, until the last period, which would be September 30, 2009 through September 30, 2014 -the 16th IR data point. Calculate the average of those 16 IR data points. This is the number that must be greater than 0.20 as illustrated below:

IR for rolling 60 month period Rolling 60 month periods Rolling period # (example only)

07/2008 through 06/2013 Rolling 60 month period #1 0.65 08/2008 through 07/2013 Rolling 60 month period #2 0.60 09/2008 through 08/2013 Rolling 60 month period #3 0.57 10/2008 through 09/2013 Rolling 60 month period #4 0.51 11/2008 through 10/2013 Rolling 60 month period #5 0.54 12/2008 through 11/2013 Rolling 60 month period #6 0.62 01/2009 through 12/2013 Rolling 60 month period #7 0.61 02/2009 through 01/2014 Rolling 60 month period #8 0.60 03/2009 through 02/2014 Rolling 60 month period #9 0.59 04/2009 through 03/2014 Rolling 60 month period #10 0.55 05/2009 through 04/2014 Rolling 60 month period #11 0.52 06/2009 through 05/2014 Rolling 60 month period #12 0.50 07/2009 through 06/2014 Rolling 60 month period #13 0.48 08/2009 through 07/2014 Rolling 60 month period #14 0.49 09/2009 through 08/2014 Rolling 60 month period #15 0.45

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The Offeror hereby certifies that it meets all of the Multiple Mandate Product Level Mandatory Requirements.

Authorized Signature Date

Descript: THE PURPOSE OF THIS AMENDMENT IS TO (1) CORRECT THE DATES IN ATTACHMENT 3 AND ATTACHMENT 6 (2) CORRECT THE LANGUAGE IN SECTION M.2, AND (3) CORRECTLY ALIGN THE Y/Ns IN ATTACHMENT 4.

A. THE DATES IN ATTACHMENT 3, MULTIPLE MANDATE PRODUCT LEVEL MANDATORY REQUIREMENTS (GLOBAL FIXED INCOME), AND ATTACHMENT 6, MULTIPLE ...See Continuation Page

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