RFP_Questions_Set_2__FID_response.doc

Responses to Questions

1. What is the portfolio risk, return and tracking error targets for Core Fixed Income and High Yield mandates?

Answer: The only portfolio metric required for this solicitation is an average rolling 60 month information ratio. See attachments 2 and attachment 6 for the methodology that must be used in calculating the rolling information ratio for the Core and High Yield mandates.

2. Could you provide the current investment guidelines for the Core Fixed Income strategy?

Answer: Investment guidelines will be provided and negotiated as part of the contracting phase of the solicitation.

3. Are there any restrictions or prohibited securities for Core Fixed Income and High Yield searches?

Answer: Investment guidelines will be negotiated and provided following phase II of the solicitation.

4. To participate in the Multiple Mandate Manager – Trust Fund search, would you consider a proposal for two out of the five strategies?

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

5. For the Long Duration mandate, what is the duration requirement and how much flexibility (e.g. +/- versus the benchmark) does the manager have?

Answer: Managers should focus on ensuring that they have a product that meets the Long Duration requirements as outlined in Attachment 4. Manager flexibility, including +/- versus the benchmark will be agreed upon as part of the contracting if selected.

6. Regarding the assessment of the information ratio: the official composite for our strategy exceeds your requirement. However it uses the JPM GBI Emerging Markets Broad Diversified for the 50% local currency component, rather that the JPM GBI Emerging Markets Global Diversified benchmark as specified in your rfp. Would you be prepared to accept our composite as being sufficient for meeting your criteria? For your information, we have run our composite data against the JPM GBI Emerging Markets Global Diversified as a simulation, and confirm that the information ratio also exceeds 0.5. We would intend to submit both datasets to you in our submission.

Answer: Offerers need to meet the requirements described in Section L and Attachment 11 to qualify under this solicitation. No exceptions will be made.

7. In respect of Firm Level Mandatory Requirements for ‘Specialist Global and/or EMD Firm level mandatory requirements’ on page 134 of the RFP, please confirm if requirement C is intended to be limited to Assets Under Management in which the firm acts in the capacity of an ERISA fiduciary.

Answer: The reference to fiduciary in requirement C of Attachment 9 is not specific to ERISA. However, requirement B of Attachment 9 requires the firm to agree to act in accordance with the fiduciary standards of ERISA under this contract.

8. In regards to the investment management services for the Revolving Fund detailed in Section C, subsection I. Introduction; Paragraph 5:

We would appreciate additional details on the role of the advisor – i.e., :

How much discretion would the advisor have over the Revolving Fund?

How often does the PBGC envision the advisor would communicate with PBGC’s CID – i.e., daily or if/as transactions are recommended?

Answer: Advisor will have full discretion to direct trades in the Revolving Fund portfolio once daily between 1 pm and 2 pm.

9. Does the PBGC anticipate requesting bidders to submit data as of December 31, 2014 or as of September 30, 2014 as indicated in Technical Evaluation questionnaire?

This question was answered already and posted on the FedBizOpps.gov website.

10. Regarding the Multiple Mandate product level mandatory requirement – may a manager submit two products in the same category i.e. High Yield – US High Yield and a High Yield 2% Cap strategy to satisfy the “three of the five distinct strategies”?

Answer: No. As outlined in Section L.2.1, a manger must meet the mandatories for three of the five distinct strategies in order to qualify

11. In the High Yield category can a manager submit a Global High Yield strategy and/or a U.S. High Yield strategy. Are both acceptable?

Answer: Only one product per strategy is permitted. The manager must determine which product they would like to submit for consideration.

12. We actively manage a High Yield strategy to the BofA ML US High Yield Master II which meets the 60 months rolling information ratio, will this strategy be acceptable for consideration?

Answer: Only products that are actively managed against the benchmarks specified in Attachment 6 will be considered under this solicitation.