Questions_-_Fixed_Income_3A_1-16-15_Post.doc

Q&As

1. We want to clarify our firm AUM and two of our strategy AUMs for consideration. [The firm], with US AUM of $8.8 billion, is a wholly-owned subsidiary of [name of firm intentionally omitted] with AUM of over $1 trillion. Our parent’s $1 trillion AUM exceeds the firm minimum AUM requirement.

The firm], is SEC registered. Our parent [name of firm omitted], headquartered in Paris, is not registered with the SEC. [The firm] would manage these mandates. We would like to be clear in noting that the AUM of our non-SEC registered parent enables us to exceed the minimum AUM hurdle.

The strategies will be managed in the US by [the firm]. We are interested in bidding on the Core, Global Fixed Income, and EMD mandates. We easily meet the AUM requirements for the Core strategy. However, the bulk of the qualifying AUM for Global Fixed Income and Emerging Markets Debt is managed by [name of firm omitted] (our parent). There are portfolio team members in the US that would manage these portfolios for the PBGC that would fall under SEC registration. We currently manage Global Fixed in the US but do not manage $1 billion. Also, while [name of firm omitted] Emerging Markets Debt AUM exceeds the minimum AUM requirement, we do not currently manage a stand-alone Emerging Market Debt mandate at [the firm].

Our question is do you agree that [the firm] meets the minimum requirements based on this information?

Answer: No. Three of the five products must meet the product level mandatory requirements to be considered.

2. Page 92 of the RFP, item d of Attachment 3: Multiple Mandate Product Level Mandatory Requirements (Global Fixed Income) states that “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 6/30/14. (A tax-exempt account is defined as a separate account or a commingled fund …”. Our firm currently has a number of non-US tax exempt institutional accounts that have at least $100,000,000.00 USD invested in separate accounts. Would these non-US tax exempt institutional accounts meet the minimum requirement as stated above?

Answer: Yes. A non-US tax exempt institutional account is acceptable.

3. We wish to seek further clarification regarding the minimum requirements (letters B & G) for the Global Fixed Multiple Manager Mandate:

The Global Fixed Multiple Manager Mandate requires the firm to accept either the Barclays Global Aggregate Hedged or Barclays Global Aggregate Hedged ex-US benchmark (letter B). We are able to apply either of these benchmarks rather than our primary benchmark (Barclays US Aggregate Bond Index) for the mandate. However, as the Barclays Global benchmarks are not our primary benchmarks, we will be submitting either of these two benchmarks in addition to our primary benchmark (Barclays US Agg Bond) in order to adhere to the GIPS compliance requirement (letter G). The inclusion of the requested benchmark will be provided as supplemental information to the GIPS composite performance information (our primary benchmark). Please let us know if we meet your minimum requirements and can proceed with a proposal for your consideration.

Answer: To qualify as one of the three required products under the Multiple Mandate Manager (Global Fixed Income), the qualifying product needs to currently be actively managed against one of the three benchmarks outlined in Attachment 3, A. If the product is not currently managed against one of these benchmarks it does not qualify.

4. Section C Statement of Work: PBGC expects the award allocations to range from a minimum of US $250 million to a maximum of $7 billion for each manager selected, but makes no guarantees as to the size of any award.

Does the maximum allocation to each manager of $7 billion include both the Trust Fund and the Revolving Fund? Or is this limited to just the Trust Fund and allocations from the Revolving Fund are not included in the $7 billion maximum.

Answer: The maximum allocation of $7 billion is referring only to the Trust Fund.

5. Section H.4 PBGC-04-004 PBGC Information Security (FEB 2011)

This section does not seem to be applicable. Can you please confirm that this section will not apply?

Answer: Section H.4 PBGC-04-004 PBGC Information Security will be deleted via an amendment to the solicitation.

6. As stated under L.3 PBGC-15-002 Proposal Submission Instructions (Oct 2004) part b on page 81 of the RFP, “One original and ten hard copies are due on the date and time specified on the cover page of this solicitation.”

If a manager is considering to propose 7 different products, this will result in (10x7= 70 copies, 1x7=7 originals, 10x1= 10 firm copies, 1x1= 1 firm original) at least 88 hard copies. Is this correct?

Answer: As described in Section L, Offerors do not need to complete a separate submission for each product. A complete submission will contain Volume I – contract pricing, Volume II – Mandatory Requirements, Volume III – Technical Evaluations, and Volume IV – Past Performance. Regardless on the number of products submitted, an Offeror will only submit one of each Volume. Volume III – Technical Evaluations should contain the completed questionnaires for each product separated by tabs if the Offeror is submitting more than one product. Offerors are required to submit one complete original proposal and 10 hard copies by the due date.

7. As stated in Attachment 8, Section E. References (Volume IV) on page 133 of this RFP, “Identify all clients in the subject product (depending on which attachment you are filling out) that have terminated accounts with your organization over the past three years. Provide organization/firm name, contact person and title, phone number, fund account value, product type and reason for termination.”

If the manager cannot provide this information in our efforts to protect our terminated clients’ confidentiality, will that be cause for disqualification from the search? Will a list of sample clients suffice?

Answer: Offerors shall propose in accordance with the requirements outlined in the RFP. Per Section L Instructions to Offerors, mandatory requirements will be evaluated on a pass/fail basis and Offerors must pass mandatory requirements to make it to the technical evaluation phase. PBGC will evaluate technical capabilities of the Offeror based on information contained in the technical proposals. Section M Evaluation Factors for Award further describes the process that PBGC will employ to evaluate proposals. Firm Level Technical Evaluation and Product Level Technical Evaluations will be assigned adjectival ratings of “Excellent,” “Good”, “Acceptable,” “Marginal,” or “Unacceptable” based on how successfully the proposal addresses the requirements outlined in the solicitation. It is up to the Offerors’ independent discretion on how they respond to the questions contained in the technical evaluation questionnaire.

8. As stated in Attachment 8, Section D., question 2 on page 133 of this RFP, “Provide the names of the major (i.e., greater than $100 million) pension, insurance, and other client accounts currently invested in the product (9/30/2014 market value). Ensure all information requested below is provided. If you need to secure permission from the client before releasing this information, do so before submitting proposal. Using the following format, rank clients from largest to smallest by assets under management” As a large investment manager, we have a large number of clients with separate accounts above $100 million. For confidentiality reasons, we may not be able to provide all of their names. Can we provide a list of sample clients instead?

Answer: Offerors shall propose in accordance with the requirements outlined in the RFP. Per Section L Instructions to Offerors, mandatory requirements will be evaluated on a pass/fail basis and Offerors must pass mandatory requirements to make it to the technical evaluation phase. PBGC will evaluate technical capabilities of the Offeror based on information contained in the technical proposals. Section M Evaluation Factors for Award further describes the process that PBGC will employ to evaluate proposals. Firm Level Technical Evaluation and Product Level Technical Evaluations will be assigned adjectival ratings of “Excellent,” “Good”, “Acceptable,” “Marginal,” or “Unacceptable” based on how successfully the proposal addresses the requirements outlined in the solicitation. It is up to the Offerors’ independent discretion on how they respond to the questions contained in the technical evaluation questionnaire.

9. As stated in Section C. Statement of Work, Investment Mandate on page 32 of this RFP, “Investments for the Revolving Fund assets shall be invested solely in “book-entry” U.S. Government securities. U.S. Treasury bills, notes, bonds, strips, and TIPS are permitted. Derivatives are not permitted. PBGC seeks to hire an investment firm(s) to fill the role of advisor of the fixed income assets in the Revolving Fund (awards may be made for one or two firms for the Revolving Fund). Portfolio changes (buys and sells) are communicated to and effected by PBGC’s Corporate Investment Department (CID). The market price is fixed and no custodian is involved. The combined imitations of Treasury-only issues and their book-entry transaction mechanism apply only to the PBGC Revolving Fund.”

For the Revolving Fund management, has the communication process for communicating and implementing trades (in particular how the PBGC works with the manager) changed in the last few years?

Answer: This question is answered in more detail below.

10. As stated in Attachments 2 Requirement C on page 89 of this RFP, “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.”

If the manager has previously managed one or more strategies for PBGC, are they required to use this account as the representative account in the RFP, or does the manager have some discretion as to choice of account Answer: Mangers can submit any product that meets the requirements as outlined in the solicitation and will be evaluated solely on the submission provided and not on past strategies utilized by the PBGC.

11. As stated in Attachment 8, Section C. questions 20-21 on page 131 of this RFP:

“20. Provide a copy of the discretionary investment guidelines in an attachment for your firm’s proposed product. Also provide a comparative table which shows how portfolio-level guideline parameters (i.e., credit quality, % cash, % out of benchmark, relative interest rate duration, relative spread duration, relative convexity, yield, yield to worst (High Yield), % country allocation, % sector allocation, % derivatives, % non-bond, % FX) would differ under each of the following product guideline scenarios:

a. Unconstrained or least constrained

b. Moderate constrained

c. Tightly constrained

21. In the product proposed for the PBGC, describe the discretionary investment guidelines pertaining to maximum exposures:

a. To a single credit rating

b. To a single issue

c. To a single issuer

d. To a single sector or industry

e. To non-U.S. developed markets

f. To emerging market debt

g. To private placements / 144A issues, etc.

h. To below investment grade securities”

If the manager has previously managed one or more strategies for PBGC, are they required to use these PBCG guidelines as the sample guidelines in the RFP? Alternatively, would PBGC prefer the manager include its full authority guidelines, or both PBGC’s guidelines and the full authority guidelines?

Answer: Mangers can submit any product that meets the requirements as outlined in the solicitation and will be evaluated solely on the submission provided and not on past strategies utilized by the PBGC.

12. As stated in Attachment 8, Section B. questions 6 part b on page 121 of this RFP, “Please state what percentage of top management and key subject product professionals' net worth is in the firm and the subject product/strategy. Is any percentage of current compensation deferred into the firm's products?”

Are we required to give an exact percentage here, or can this be covered under a description of our compensation philosophy and processes? Would failure to provide our investment professionals’ percent net worth invested in our products lead to disqualification from the RFP process?

Answer: Offerors shall propose in accordance with the requirements outlined in the RFP. Per Section L Instructions to Offerors, mandatory requirements will be evaluated on a pass/fail basis and Offerors must pass mandatory requirements to make it to the technical evaluation phase. PBGC will evaluate technical capabilities of the Offeror based on information contained in the technical proposals. Section M Evaluation Factors for Award further describes the process that PBGC will employ to evaluate proposals. Firm Level Technical Evaluation and Product Level Technical Evaluations will be assigned adjectival ratings of “Excellent,” “Good”, “Acceptable,” “Marginal,” or “Unacceptable” based on how successfully the proposal addresses the requirements outlined in the solicitation. It is up to the Offerors’ independent discretion on how they respond to the questions contained in the technical evaluation questionnaire.

13. As stated in Attachment 8, Section B, question 20 on page 123 of this RFP, “List the broker/dealers your firm would trade through for this product and list the annual percentage of trades allocated to each of these firms in each of the last three (3) years.”

Upon providing this information, would this be publicly available? We have some confidentiality concerns about this information, though may be able to provide a list of brokers for a representative account in a confidential format, if possible. Is that acceptable? Additionally, for the annual percentage of trades for each broker, would we be disqualified if we were not able to provide this information?

Answer: Offerors shall propose in accordance with the requirements outlined in the RFP. Per Section L Instructions to Offerors, mandatory requirements will be evaluated on a pass/fail basis and Offerors must pass mandatory requirements to make it to the technical evaluation phase. PBGC will evaluate technical capabilities of the Offeror based on information contained in the technical proposals. Section M Evaluation Factors for Award further describes the process that PBGC will employ to evaluate proposals. Firm Level Technical Evaluation and Product Level Technical Evaluations will be assigned adjectival ratings of “Excellent,” “Good”, “Acceptable,” “Marginal,” or “Unacceptable” based on how successfully the proposal addresses the requirements outlined in the solicitation. It is up to the Offerors’ independent discretion on how they respond to the questions contained in the technical evaluation questionnaire.

14. As stated in Attachment 8, Section B, question 22 on page 123 of this RFP, “What has been the cumulative annual bid ask spread for issues utilized in the subject product for each of the last three years?”

Would it be sufficient to provide our trade floor’s best estimate of current bid-ask spreads for the asset classes traded within this strategy? We are not sure we can calculate this cumulatively going back three years. Alternatively, we may be able to provide bid-ask spreads for individual trades in a given representative account over the last three years, but would hope to do this in a confidential format; would this be acceptable?

Answer: Offerors shall propose in accordance with the requirements outlined in the RFP. Per Section L Instructions to Offerors, mandatory requirements will be evaluated on a pass/fail basis and Offerors must pass mandatory requirements to make it to the technical evaluation phase. PBGC will evaluate technical capabilities of the Offeror based on information contained in the technical proposals. Section M Evaluation Factors for Award further describes the process that PBGC will employ to evaluate proposals. Firm Level Technical Evaluation and Product Level Technical Evaluations will be assigned adjectival ratings of “Excellent,” “Good”, “Acceptable,” “Marginal,” or “Unacceptable” based on how successfully the proposal addresses the requirements outlined in the solicitation. It is up to the Offerors’ independent discretion on how they respond to the questions contained in the technical evaluation questionnaire.

15. We noticed some differences in the multiple mandate product level mandatory requirements with respect to Attachments 3 (Global Fixed Income) and 6 (High Yield Fixed Income) . For these two products the requested mandatory requirements in paragraphs C, D, F and H are as of 6/30/14. For the other multiple mandate products the same requirements are as of 9/30/14. Please confirm if this is was intentional or if all mandatory requirements should be as of 9/30/14.

Answer: All mandatory requirements should be as of 9/30/14. Please reference amendment 2 to the solicitation posted on December 12th to www.fedbizops.gov.

16. 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.

a. We have multiple client accounts within multiple Haigh Yield composites, some of which are managed against the Barclays US HY 2% issuer Cap. We also have multiple accounts managed against the first benchmark you’ve listed (these would be BB/B focused accounts in credit quality). However, the composite benchmark is not a Barclays designated benchmark. We currently manage to multiple client specified benchmarks including many variations of the Barclays indices. We have the ability to manage portfolios to any of the benchmarks above as chosen by PBGC, and importantly have the ability to provide attribution and reporting as such. Within our Institutional Composites, we currently manage assets for client accounts that utilize one or more of the Barclays High Yield Indices. Our benchmark used for marketing purposes is that of a BofA ML high yield index as it limits a number of other non-high yield focused investments taking away from a pure-play high yield manager, which we are by design. We’re broadly indifferent as to the benchmarks chosen by potential clients and want to confirm that the nuance of the many High Yield Indices isn’t a limiting or further, disqualification factor.

Answer: A qualifying product for the Multiple Mandate (Global Fixed Income) must be actively managed against one of the three benchmarks as described in Attachment 3 to qualify as one of three required products to make it to Phase II of the proposal evaluation process.

17. For the Multiple Mandate Product Level Mandatory Requirements (Global Fixed Income): We note that two of the benchmarks listed in Requirement A (Barclays Global Aggregate Hedged Index and Barclays Global Aggregate ex-USD Hedged Index) are hedged and the third is not a hedged benchmark (Citigroup World Government Bond Index). As of 9/30/2014 we managed in excess of $1B in our Global Aggregate Bond strategy, predominantly to investors across the globe for which a hedged index is not applicable. This strategy includes accounts managed against the Barclays Global Aggregate Index (unhedged) as well as accounts hedged against various currencies including USD. These accounts are managed using the same process across all currencies subject to client guidelines. As such, the majority of the $1B-plus assets are benchmarked against the Barclays Global Aggregate Index (unhedged) to which we have a GIPS-compliant composite presentation. Would this be acceptable for the qualifying product to make it to Phase II of your proposal evaluation?

Answer: A qualifying product for the Multiple Mandate (Global Fixed Income) must be actively managed against one of the three benchmarks as described in Attachment 3 to qualify as one of three required products to make it to Phase II of the proposal evaluation process.

18. For the Multiple Mandate Product Level Mandatory Requirements (Global Fixed Income): Similarly for Requirement D, we have accounts managed in excess of $100M against the Barclays Global Aggregate Index (unhedged) or hedged against various currencies. We have one account managed in this strategy against the Barclays Global Aggregate Hedged Index in excess of $100M; however, like many clients who have specific mandate requirements, this mandate specifically involves a minimum credit quality. Would this impact our ability to make it to Phase II of your proposal evaluation?

Answer: No

19. Does the GIPS compliant Performance Presentation requested in the Global Fixed Income Multiple Mandate Product Level Mandatory Requirements under Requirement G need to be benchmarked against one of the three indexes (Barclays Global Aggregate Hedged Index, the Barclays Global Aggregate ex-USD Hedged Index or the Citigroup World Government Bond Index) listed in Requirement A?

Answer: Yes

20. Do the information ratios for Requirement H need to be calculated against one of the three benchmarks (Barclays Global Aggregate Hedged Index, the Barclays Global Aggregate ex-USD Hedged Index or the Citigroup World Government Bond Index) listed under Requirement A in the Global Fixed Income Multiple Mandate Product Level Mandatory Requirements?

Answer: Yes

21. Disaster Recovery The Contractor shall have or develop and maintain a disaster recovery plan, which includes critical business operations, computer systems, and telecommunications. Such plan shall be tested and/or updated annually, as necessary. The contractor shall provide a copy of the annual test report to the PBGC within 30 calendar days of the completion of the test. A copy of the current and/or revised plan must be provided to PBGC within 60 calendar days of the completion of the revised plan.

The disaster recovery plan shall include, but not be limited to, the following:

1.

Emergency response procedures, including:

a. Step-by step instructions identifying explicit techniques to be used for responding to various emergency situations;

b. Identification of disaster recovery teams; and

c. An organizational chart and list of key personnel responsible for performing the disaster recovery actions as well as the priority of duties and lines of authority.

2.

Backup site activation procedures which identify:

a. Backup site location; and

b. Backup site activation processes.

We consider the test reports to be proprietary. Would it be acceptable to provide a short summary as needed within the specified timeframe? We further consider DR locations to be proprietary. Would it be acceptable to simply provide a general region rather than specific city or address?

Answer: A summary of tests conducted and general DR locations is sufficient. However, PBGC reserves the right to verify the existence of plans during onsite reviews.

22. What is the portfolio risk, return and tracking error targets for Core Fixed Income and High Yield mandates as referenced in Section L.2.1?

Answer: This question has already been answered.

23. Could you provide the current investment guidelines for the Core Fixed Income strategy as referenced in Section L.2.1?

Answer: This question has already been answered.

24. Are there any restrictions or prohibited securities for Core Fixed Income and High Yield searches as referenced in Section L.2.1?

Answer: This question has already been answered.

25. As referenced in Section L.2.1, to participate in the Multiple Mandate Manager – Trust Fund search, would you consider a proposal for two out of the five strategies?

Answer: This question has already been answered.

26. As referenced in Section L.2.1, for the Long Duration mandate, what is the duration requirement and how much flexibility (e.g. +/- versus the benchmark) does the manager have?

Answer: This question has already been answered.

27. Could you provide a sample investment management agreement? Are there any specific contract requirements that we should be aware of in advance?

Answer: This question has already been answered.

28. Page 1 Number 6: Would it be possible to have the RFP in a word document for ease of filling out for the team?

Answer: We will not provide the RFP in a Word document.

29. Page 76 Volume II Mandatory requirements: Are we required to rebid for existing assets? If so, should we use an existing PBGC portfolio or a representative account?

Answer: Offerors shall propose in accordance with the requirements outlined in the RFP. It is up to Offerors’ discretion to use any existing account that meets the requirements as outlined in this solicitation.

30. Page 98 Attachment 5 Question A: If the composite (that PBGC’s existing portfolio is in) has less than 5 years of live performance history, should we use another EMD composite that has a longer track record?

Answer: To qualify as one of the three of five required products, the product submitted must have 5 years of live performance history.

31. Page 99 Attachment 5 Question E: Should we use an existing PBGC account for the data requested or should we use a representative account? Does PBGC prefer to use their account if it has less than 5 years of live performance history, or does it need to be supplemented by another representative account?

Answer: To qualify as one of the three of five required products, the product submitted must have 5 years of live performance history.

32. Page 123 Attachment 8 Section C Question 2: Are there defined excess return and tracking error targets for the strategies?

Answer: This question was already answered

33. Page 123, Attachment 8 Section C (Tables 6-8): Should performance be provided through June 2014 or through September 2014? Question 1 asks for performance through June 2014 and the subsequent tables ask for information through September 2014.

Answer: All performance data should be provided as of 09/30/2014.

34. Page 124 Attachment 8 Section C Question 3 (Table 7): Should we use PBGC’s existing portfolio for positioning data or should we use a standard rep account?

Answer: It is up to the Managers’ discretion to use any existing account that meets the requirements as outlined in this solicitation.

35. Page 125, Attachment 8 Section C Question 4 (Table 9:) We use internally-specified sectors (as opposed to GICS sectors) for analysis and reporting; the sectors specified in the HY sector table does not match our sector breakouts. Is it possible to use our custom sectors? These sectors provide more detail than the PBGC sectors and our concern is that using the PBGC sectors will result in a large portion in the “other” sector.

Answer: Offerors should provide information in the format as outlined in the solicitation.

36. Our firm has managed taxable fixed income assets for our clients since 1932, and we currently manage approximately $80 billion in this space. Our lineup covers 12 different strategies ranging from Core Fixed Income to High Yield, Long Duration, and three Emerging Market Debt Strategies. We offer at least three strategies that meet the minimum requirements for two of the five trust fund strategies. Can we qualify as a Multiple Mandate Manager if we submit technical proposals for three distinct investment offerings that satisfy two of the five Trust Fund Strategies?

Answer: As described in Section L.2.1 Multiple Mandate Manager – Trust Fund, three of the five strategies are required to qualify.

37. Our firm has two questions with regards to the Pension Benefit Guaranty Corporation (PBGC) Specialist Global Fixed Income portion of the RFP.

a. In reference to the minimum requirements in attachment 10, subsection D, page 136 of the RFP. Our firm manages the 2 accounts referenced below. Each account is an annuity, 40 act fund, managed in an institutional separate account for our Global Macro strategy.

· To expand on their characteristics, they are separate accounts of an insurance company that is invested in our Global Macro strategy and the end clients own “units” that represent their ownership of the strategy. The end clients are individuals that are taxable entities, but the annuity vehicle is managed as a tax-exempt separate account vehicle.

b. In reference to the minimum requirements in attachment 10, subsection A, page 136 of the RFP. We are willing to run the strategy against one of the two mandated benchmarks. However, will you accept a strategy that has historically been run against a different benchmark, for example the U.S. LIBOR Market 3-Month Total Return Index?

Answer: Only products that are currently managed against one of the benchmarks referenced in Attachment 10, subsection A, will be accepted. No exceptions will be made.

38. Regarding PBGC01-RP-15-0008 in general:

a. In our experience, federal agency contracts contain a Standard Form 1449.

b. Will the Standard Form 1449 be released prior to the due date for the submission of the RFP?

c. And if so, must it be signed by the offeror?

Answer: This is a combined synopsis/solicitation for commercial items prepared with the format in The FAR, Subpart 12.6, as supplemented with additional information included in this notice. The FedBizOpps announcement constitutes the only solicitation and an SF 1449 will not be issued.

39. Regarding PBGC01-RP-15-0008 in general:

a. Does the PBGC have a style bias for fundamental strategies versus more quantitatively-driven processes?

Answer: No

40. Section C – Statement of Work – II. Scope of Work – Trust Fund Strategies – Core Fixed Income (p. 33):

a. Is any use of below investment grade securities, FX, and/or non-USD securities permitted?

b. If so, are Core Plus mandates eligible for inclusion in the search, or only more investment grade-oriented Core strategies?

Answer: Per Section L Instructions to Offerors, mandatory requirements will be evaluated on a pass/fail basis and Offerors must pass mandatory requirements to make it to the technical evaluation phase. PBGC will evaluate technical capabilities of the Offeror based on information contained in the technical proposals. Section M Evaluation Factors for Award further describes the process that PBGC will employ to evaluate proposals. Firm Level Technical Evaluation and Product Level Technical Evaluations will be assigned adjectival ratings of “Excellent,” “Good,” “Acceptable,” “Marginal,” or “Unacceptable” based on how successfully the proposal addresses the requirements outlined in the solicitation. It is up to the Offerors’ independent discretion on how they respond to the questions contained in the technical evaluation questionnaire.

41. Section C – Statement of Work – II. Scope of Work – Trust Fund Strategies – High Yield (p. 33):

a. Would the PBGC consider an unconstrained product that allows options/futures for hedging, CCC-rated bonds, and equities?

Answer: Per Section L Instructions to Offerors, mandatory requirements will be evaluated on a pass/fail basis and Offerors must pass mandatory requirements to make it to the technical evaluation phase. PBGC will evaluate technical capabilities of the Offeror based on information contained in the technical proposals. Section M Evaluation Factors for Award further describes the process that PBGC will employ to evaluate proposals. Firm Level Technical Evaluation and Product Level Technical Evaluations will be assigned adjectival ratings of “Excellent,” “Good,” “Acceptable,” “Marginal,” or “Unacceptable” based on how successfully the proposal addresses the requirements outlined in the solicitation. It is up to the Offerors’ independent discretion on how they respond to the questions contained in the technical evaluation questionnaire.

42. Section C – Statement of Work – II. Scope of Work – Activities, Paragraph 2 (p. 34):

a. We understand “investment guidelines will be negotiated between the PBGC and the contractor subsequent to contract award.” However, with respect to the listed strategies: Core Fixed Income (CFI), Global Fixed Income (GFI), Long Duration (LD), Emerging Market Debt (EMD) and High Yield (HY), and the Treasuries and TIPS within the Revolving Fund, would you please provide more guidance on the following?:

1. Risk and return expectations

2. Desired target alpha

3. Desired tracking error

4. Derivatives usage and limits: (e.g., net or gross notional limits? Duration contribution limits?)

5. Leverage usage and limits

6. Concentration limits on sectors and issuers

Answer: Per Section L Instructions to Offerors, mandatory requirements will be evaluated on a pass/fail basis and Offerors must pass mandatory requirements to make it to the technical evaluation phase. PBGC will evaluate technical capabilities of the Offeror based on information contained in the technical proposals. Section M Evaluation Factors for Award further describes the process that PBGC will employ to evaluate proposals. Firm Level Technical Evaluation and Product Level Technical Evaluations will be assigned adjectival ratings of “Excellent,” “Good,” “Acceptable,” “Marginal,” or “Unacceptable” based on how successfully the proposal addresses the requirements outlined in the solicitation. It is up to the Offerors’ independent discretion on how they respond to the questions contained in the technical evaluation questionnaire.

43. Section C - Statement of Work - II. Scope of Work – Activities, Paragraph 2 (p. 34):

a. We understand “investment guidelines will be negotiated between the PBGC and the contractor subsequent to contract award.” However, in the response to the proposal, does the PBGC expect to receive draft or sample investment guidelines and other potential contractual documents that might be necessary?

Answer: Attachment 8, Section C Investment Results, question 20 asks for a copy of the discretionary investment guidelines.

44. Section C - Statement of Work - II. Scope of Work – Disaster Recovery, Paragraph 1 (p. 35):

a. The section referenced immediately above provides that the offeror shall provide a copy of its annual disaster recovery test report to the PBGC within 30 calendar days of the completion of the test. Our firm keeps the results of its annual disaster recovery testing confidential.

b. Is it sufficient to provide an annual high-level summation of our testing results for mission critical functions related to this assignment?

c. If not, what would be your minimum requirements for disaster recovery test results reporting?

Answer: A summary of tests conducted and general DR locations is sufficient. However, PBGC reserves the right to verify the existence of plans during onsite reviews.

45. Section C - Statement of Work - II. Scope of Work – Deliverables/Reports, Item 2 (p. 37):

a. Given the potential use of derivatives in connection with one or more strategies/products, does the PBGC anticipate that the offeror will use (a) the PBGC’s own derivatives trading documentation with counterparties, or (b) the offeror’s derivatives trading documentation with counterparties, including but not limited to ISDAs, Futures Agreements, etc.?

Answer: The PBGC anticipates that the Offeror will use its own derivative trading documentation with counterparties.

46. Section L.2.1 Multiple Mandate Manager – Trust Fund (p. 73) - and - Q&A #2 – Question # 5 (p.1):

a. Section L.2.1 states that “Offerors can submit technical proposals for all five distinct strategies, so long as three of the product level mandatory requirements are met in order to qualify for technical evaluation as a Multiple Mandate Manager.”

b. But, the answer to Question # 5 from Q&A – 2 (released on 19 Dec 2014) states “If a manager meets the firm level mandatory requirements as well as the product level mandatory requirements for at least 3 of the 5 distinct strategies as outlined in section L.2.1, a High Yield strategy will be considered, if it meets the Multiple Mandate Product Level Mandatory Requirements (High Yield Fixed Income) in Attachment 6.”

c. Please provide clarification on what seems to be a potential discrepancy in the above statements.

d. If an offeror meets the Multiple Manager classification, does every product submitted in Attachment 8 need to meet the requirements in Attachments 2-6 in order to be eligible for consideration in Phase II?

Answer: A minimum of three products is needed to meet the Product Level Mandatory requirements. If two additional distinct strategies are submitted, they are not required to meet the product level mandatory requirements. However, Offerors are only able to submit one product per strategy.

47. Section L.2.3 Volumes Description – Volume III Technical Requirements – Volume III (a) Multiple Mandate Technical Volume – Attachment 8 Multiple Mandate Product Level Technical Evaluation Questionnaire (p. 78):

a. The section referenced immediately above provides that offerors who respond as a Multiple Mandate Manger can submit at least three and up to seven products within the seven product strategies. Is an offeror allowed to submit multiple products per strategy, or is the offeror allowed to only submit one product per strategy?

Answer: The Offeror is only allowed to submit one product per strategy.

48. Attachments 2-6 (pp.89-103):

a. Can the minimum assets under management criterion per product be met with a combination of assets under management from both commingled funds and separate accounts managed to the same strategy and by the same portfolio management team?

Answer: Yes

49. Attachment 8 Multiple Mandate Product Level Technical Evaluation Questionnaire - Question 20 (p. 119):

a. Will shorting be permitted in the products proposed?

b. Please clarify what is meant by “no net short exposure in the portfolio”.

Answer: Shorting of bond sectors on an absolute basis is not permitted. However, if the sector is in the benchmark, then bringing the sector down to 0% weighting is allowed.

50. Attachment 3 (pg 92) and Attachment 4 (pg 95)– While we currently manage strategies against the PBGC's specified indexes, marketing compliance guidelines require that we respond with composite information. For the Long Duration and Global Fixed Income products, can we use a composite that uses an asset-weighted benchmark made up of all of the indexes for the accounts within it? If yes, is it possible to include indexes in the asset-weighted benchmark that are not included in your index list in item A, if the majority of the indexes in this composite are on your list?

To clarify, the asset-weighted benchmark used for the composite is a benchmark made up of all of the clients benchmarks within the composite weighted by the market value of our clients’ account assets. For Long Duration and Global Fixed Income, we have broad composites with accounts that have different benchmarks similar to the ones you reference. We think that an asset-weighted benchmark shows the true experience of all of our clients relative to their stated benchmarks.

Answer: As described in Section L of the solicitation, three of the five distinct strategies must meet the mandatory requirements. Specifically, a qualifying product must be actively managed against one of the PBGC’s specified benchmarks and the performance history presented for the qualifying product must comply with Global Investment Performance Standards (GIPS).

51. Pg 95, Attachment 4.A – Will you accept a composite that uses the Barclays Long Gov/Corporate index (instead of the Barclays Long Gov/Credit index) for part of the period if we can confirm that we currently manage Long Duration strategies against the Barclays Long Gov/Credit index?

Answer: No

52. We are writing with an inquiry regarding the 5 year live track record minimum requirement for the PBGC Specialist Emerging Markets Debt RFP.

The [Name of firm intentionally omitted by the Government] Emerging Markets Debt (EMD) team came to [Name of firm intentionally omitted] in 2010, launching its first composites in December of that year (hence, less than 5 years track record at [Name of firm omitted] ). However, the [Name of firm omitted] EMD team has been managing EMD portfolios since the late 1990s and therefore has over 15 years of live EMD portfolio management experience.

Prior to May 2010 the team was at [Name of firm omitted]. The portfolio management team then resigned from [Name of firm omitted] and joined [Name of firm omitted] in September 2010.

Below is a historical description of the five strategies the team manages. During the period of transition between [Name of firm omitted] and [Name of firm omitted], there was a period that the team was out of the market. Clients have typically substituted a benchmark return for this short time period.

Please advise if [Name of firm omitted] meets the minimum 5 year live track record requirement based on this history.

Answer: It is required that the 5 year live performance history occurred with the submitting firm. No transition periods or simulated results will be accepted.

53. We are writing to request permission to submit a Specialist Global Fixed Income proposal for our [Name of firm omitted] Global Core Plus strategy using the Barclays Global Aggregate (Unhedged) Index as the benchmark. The stated benchmark for this strategy is the industry standard: the Barclays Global Aggregate (Unhedged) Index. All of our clients prefer an unhedged index so as to gain non-US currency exposure.

The three benchmarks provided in the RFP are:

a. Barclays Global Aggregate Hedged Index

b. Barclays Global Aggregate ex-USD Hedged Index

c. Citigroup World Government Bond Index

The first two are hedged. The third is government only. None of these indices are comparable to our Global Core Plus Fixed Income approach. As such, we do not have any clients benchmarking our strategy to any of these indices. We believe that it is only appropriate to measure Information Ratio versus a comparable benchmark.

Our average rolling Information Ratio versus the Barclays Global Aggregate (Unhedged) is 0.62. Our average rolling Information Ratio versus the three benchmarks in the PBGC RFP are all within the 0.40-0.49 range, i.e. do not meet the minimum criteria.

Answer: No exceptions to benchmarks will be made.

54. In preparing our response to the Fixed Income RFP issued by the Pension Benefit Guaranty Corporation (PBGC), we came across a few questions. Please review our questions below and kindly confirm whether our understanding is correct.

a. For the Multiple Mandate RFP, will an Emerging Market Debt Strategy that is managed versus the JPM EMBI Global Index be accepted and counted as one of the qualify products, assuming all other qualifications are met?

Answer: No. The JPM EMBI Global Index is not one of the benchmarks stipulated in Attachment 5. No exceptions to benchmarks will be made.

b. With regards to the average rolling 60-month IR requirement:

· Please clarify the start date that we should be using for calculations. The example provided in the RFP indicates that for a product that began March 31, 2008, the first period should begin 3 months later (June 30, 2008). We want to ensure that we should be starting 3 months later and that this is not just an error in the RFP document. Please confirm our understanding.

· For our Strategy that began on Dec 31, 1986, we have populated the rolling 60-month time period for the past 10 years (see attached). We understand that the first performance data for the 60-month period would be Nov 1, 1999 – Oct 31, 2004. Please confirm our understanding.

Answer: The rolling IR calculation should begin the month following product inception, or the first full month performance is available. Correction: The example in the RFP should read, “if a product has an inception date of May 31, 2008.”

55. Section D, Question 2, Page 133

We have a number of clients, including foreign government entities, who are legally prohibited from publicly disclosing their investments and have included these restrictions in our contracts with them. In these cases would it be permissible to list these clients by investor type, investment strategy and portfolio amount?

Answer: Per Section L Instructions to Offerors, mandatory requirements will be evaluated on a pass/fail basis and Offerors must pass mandatory requirements to make it to the technical evaluation phase. PBGC will evaluate technical capabilities of the Offeror based on information contained in the technical proposals. Section M Evaluation Factors for Award further describes the process that PBGC will employ to evaluate proposals. Firm Level Technical Evaluation and Product Level Technical Evaluations will be assigned adjectival ratings of “Excellent,” “Good,” “Acceptable,” “Marginal,” or “Unacceptable” based on how successfully the proposal addresses the SOW requirements. It is up to the Offerors’ independent discretion on how they respond to the questions contained in the technical evaluation questionnaire.

56. I am curious if the RFP for active fixed income also includes structured credit. We are a CLO credit manager with a track record dating back to 2006, and an alternative to fixed rate HY. Effectively a portfolio of B/BB sr, secured, floating rate leveraged loans.

Answer: No

57. Section J, Attachment 5, Paragraph 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.”

Please clarify that, if we have a sufficiently long track record (15+ years), should we calculate the average utilizing:

a) Our monthly returns data over the past 15 years (from 1999), and calculate the information ratios for the full past 10 years from 2004; or

b) Our monthly returns data over the past 10 years (from 2004), and calculate the information ratios for the past 5 years from 2009.

Answer: The Offeror shall submit rolling 60-month information ratios calculated from the past ten years of monthly return data or since inception, whichever is shorter, through 9/30/14. For example, a firm with a track record of 15+ years should use the most recent 10 years of monthly performance history, ending 9/30/14, to calculate the rolling 60-month information ratios, i.e., 60 data points of information ratios would be averaged and submitted.

58. Section L, Paragraph L.2.2

“To be considered for technical evaluation as a Specialist Global and/or EMD Manager with the PBGC, offerors need to meet all of the Specialist Global and/or EMD firm level mandatory requirements and at least one of the product level mandatory requirements for the following strategies: Global Fixed Income (GFI) and/or Emerging Market Debt (EMD). Offerors in this classification are not limited to submitting technical proposals for only one strategy. Offerors can submit technical proposals for both the Specialist Global and/or EMD Strategies, so long as one of the product level mandatory requirements is met in order to qualify for technical evaluation as a Specialist Global and/or EMD Manager.”

With respect to the paragraph above, can you confirm that if we meet the firm level requirements, and one of our proposed strategies meets the product level mandatory requirements for Emerging Market Debt, we can also submit a technical proposal for the Global Fixed Income category even if the proposed Global Fixed Income product does not meet the Global Fixed Income product level mandatory requirements?

Answer: Your interpretation is correct. So long as the firm level mandatory requirements and at least one of the product level mandatory requirements are met, an Offeror can submit a technical proposal for the other product. Please note that only one product per strategy will be accepted.

59. Section L, Paragraph L.2.3, Volume III (b), Attachment 13 Tables – Specialist Global and/or EMD Product Level Technical Evaluation Questionnaire Tables (Excel file) Our proposed Global Fixed Income product does not meet all of the product level mandatory requirements for Global Fixed Income, however because our proposed Emerging Market Debt product meets all of the product level mandatory requirements for Emerging Market Debt, we intend to also submit a technical proposal for Global Fixed Income. The Global Fixed Income product that we intend to propose is currently managed against a variety of benchmarks including the Barclays Global Aggregate Hedged Index and the Barclays U.S. Aggregate Index. Our track record and AUM managed against the Barclays U.S. Aggregate Index meets all of the mandatory requirements except for the benchmark requirement, while our track record and AUM managed against the Barclays Global Aggregate Hedged Index has a significantly shorter track record and lower AUM. We kindly request responses to the following 3 questions as clarification on the appropriate way to complete Section L, Attachment 13 Tables in the technical proposal for Global Fixed Income.

· Can we complete Section L, Attachment 13, Tables for our global fixed income product managed against the Barclays U.S. Aggregate Index where we have a significantly longer history and higher AUM to evaluate? Our proposed benchmark for PBGC would be the Barclays Global Aggregate Hedged Index

· Or, alternatively, should we complete Section L, Attachment 13, Tables for our global fixed income product managed against the Barclays Global Aggregate Hedged Index, our proposed benchmark, where we have a significantly shorter history and lower AUM to evaluate?

· If we complete Section L, Attachment 13, Tables for our global fixed income product managed against the Barclays Global Aggregate Hedged Index, our proposed benchmark, where we have a significantly shorter history and lower AUM to evaluate, can we also provide data (as supplementary information) for our global fixed income product managed against the Barclays…