Attachment_VI_Table.xlsx

395 KB Posted

Attached to
Fixed Income Investment Management Services (LDI)
Solicitation number
PBGC01-RP-17-0014
Issued by

About this file

From the source

Attachment VI - Attachment 6 Table Fixed Income is replaced in its entirety by Attachment VI Table Fixed Income.

View the file

Other files

File Type Posted
RP-17-0014-002_Fixed_Income_LDI_4-19-17.pdf PDF
Responses_to_Questions_Apr_14-17_LDI.pdf PDF
LDI_Fixed_Income_Addiditional_Questions_1.pdf PDF
LDI_-_Responses_to_Questions__-_Fixed_Income_-3-17-17.pdf PDF
RP-17-0014-01_Amendmant.pdf PDF
Fixed_Income_Investment_Management_Services_(LDI)_RP-17-0014.pdf PDF
Attachment_6_Table_-_Fixed_Income.xlsx XLSX spreadsheet
Copy_of_Product_Level_Mandatory_Requirements_Table_A(a).xlsx XLSX spreadsheet
Attachment_4_Table_-_Fixed_Income_-.xlsx XLSX spreadsheet

On GovTribe

Work with this file

  • Download the original file
  • Contacts named in this file
  • Similar government files
  • Ask GovTribe AI about this file
Try for free Login

Text version

The file's text, extracted by GovTribe without its formatting.

Table2

Name Title Responsibilities1 Total Years of Experience Years With Firm Years With Subject Product1 Education2/Degree/Year School Professional Designation

1 Indicates whether individual has responsibilities for products other than the subject products.
2 Most advanced degree only.

&F &A &12Attachment 8 Tables &T &D

Table3

Fixed Income EmployeesTargetCurrent (12/31/2016)2015201420132012201120092008Left Past 3 Yrs. (ending 12/31/2014)
Portfolio Managers
Research Staff/Analysts
Total Investment Staff
Operational Risk Assessment Staff
Executive Mgmt. (non-invest. staff)
Marketing/Client Service
Total Fixed Income Employees

&F &A &12Attachment 8 Tables &T &D

Table4

Monthly ReturnsQuarterly Returns
MonthPortfolio (gross of fees)BenchmarkAlphaGeometric ExcessMonthPortfolio (gross of fees)BenchmarkAlphaGeometric Excess
Dec-160.00%0.00%Dec-160.00%0.00%
Nov-160.00%0.00%Sep-160.00%0.00%
Oct-160.00%0.00%Jun-160.00%0.00%
Sep-160.00%0.00%Mar-160.00%0.00%
Aug-160.00%0.00%Dec-150.00%0.00%
Jul-160.00%0.00%Sep-150.00%0.00%
Jun-160.00%0.00%Jun-150.00%0.00%
May-160.00%0.00%Mar-150.00%0.00%
Apr-160.00%0.00%Dec-140.00%0.00%
Mar-160.00%0.00%Sep-140.00%0.00%
Feb-160.00%0.00%Jun-140.00%0.00%
Jan-160.00%0.00%Mar-140.00%0.00%
Dec-150.00%0.00%Dec-130.00%0.00%
Nov-150.00%0.00%Sep-130.00%0.00%
Oct-150.00%0.00%Jun-130.00%0.00%
Sep-150.00%0.00%Mar-130.00%0.00%
Aug-150.00%0.00%Dec-120.00%0.00%
Jul-150.00%0.00%Sep-120.00%0.00%
Jun-150.00%0.00%Jun-120.00%0.00%
May-150.00%0.00%Mar-120.00%0.00%
Apr-150.00%0.00%Dec-110.00%0.00%
Mar-150.00%0.00%Sep-110.00%0.00%
Feb-150.00%0.00%Jun-110.00%0.00%
Jan-150.00%0.00%Mar-110.00%0.00%
Dec-140.00%0.00%Dec-100.00%0.00%
Nov-140.00%0.00%Sep-100.00%0.00%
Oct-140.00%0.00%Jun-100.00%0.00%
Sep-140.00%0.00%Mar-100.00%0.00%
Aug-140.00%0.00%Dec-090.00%0.00%
Jul-140.00%0.00%Sep-090.00%0.00%
Jun-140.00%0.00%Jun-090.00%0.00%
May-140.00%0.00%Mar-090.00%0.00%
Apr-140.00%0.00%Dec-080.00%0.00%
Mar-140.00%0.00%Sep-080.00%0.00%
Feb-140.00%0.00%Jun-080.00%0.00%
Jan-140.00%0.00%Mar-080.00%0.00%
Dec-130.00%0.00%Dec-070.00%0.00%
Nov-130.00%0.00%Sep-070.00%0.00%
Oct-130.00%0.00%Jun-070.00%0.00%
Sep-130.00%0.00%Mar-070.00%0.00%
Aug-130.00%0.00%Dec-060.00%
Jul-130.00%0.00%
Jun-130.00%0.00%
May-130.00%0.00%
Apr-130.00%0.00%
Mar-130.00%0.00%
Feb-130.00%0.00%
Jan-130.00%0.00%
Dec-120.00%0.00%
Nov-120.00%0.00%
Oct-120.00%0.00%
Sep-120.00%0.00%
Aug-120.00%0.00%
Jul-120.00%0.00%
Jun-120.00%0.00%
May-120.00%0.00%
Apr-120.00%0.00%
Mar-120.00%0.00%
Feb-120.00%0.00%
Jan-120.00%0.00%
Dec-110.00%0.00%
Nov-110.00%0.00%
Oct-110.00%0.00%
Sep-110.00%0.00%
Aug-110.00%0.00%
Jul-110.00%0.00%
Jun-110.00%0.00%
May-110.00%0.00%
Apr-110.00%0.00%
Mar-110.00%0.00%
Feb-110.00%0.00%
Jan-110.00%0.00%
Dec-100.00%0.00%
Nov-100.00%0.00%
Oct-100.00%0.00%
Sep-100.00%0.00%
Aug-100.00%0.00%
Jul-100.00%0.00%
Jun-100.00%0.00%
May-100.00%0.00%
Apr-100.00%0.00%
Mar-100.00%0.00%
Feb-100.00%0.00%
Jan-100.00%0.00%
Dec-090.00%0.00%
Nov-090.00%0.00%
Oct-090.00%0.00%
Sep-090.00%0.00%
Aug-090.00%0.00%
Jul-090.00%0.00%
Jun-090.00%0.00%
May-090.00%0.00%
Apr-090.00%0.00%
Mar-090.00%0.00%
Feb-090.00%0.00%
Jan-090.00%0.00%
Dec-080.00%0.00%
Nov-080.00%0.00%
Oct-080.00%0.00%
Sep-080.00%0.00%
Aug-080.00%0.00%
Jul-080.00%0.00%
Jun-080.00%0.00%
May-080.00%0.00%
Apr-080.00%0.00%
Mar-080.00%0.00%
Feb-080.00%0.00%
Jan-080.00%0.00%
Dec-070.00%0.00%
Nov-070.00%0.00%
Oct-070.00%0.00%
Sep-070.00%0.00%
Aug-070.00%0.00%
Jul-070.00%0.00%
Jun-070.00%0.00%
May-070.00%0.00%
Apr-070.00%0.00%
Mar-070.00%0.00%
Feb-070.00%0.00%
Jan-070.00%0.00%

&F &A &12Attachment 8 Tables &T &D

Table5

Effective DurationEffective ConvexityOption Adjusted SpreadYield to Maturity*Average CouponAverage Quality (Moody’s)Number of HoldingsKey Rate Duration 2Key Rate Duration 5Key Rate Duration 10Key Rate Duration 20Key Rate Duration 30
PortfolioDec-16
Sep-16
Jun-16
Mar-16
Dec-15
Sep-15
Jun-15
Mar-15
Dec-14
Sep-14
Jun-14
Mar-14
Dec-13
Sep-13
Jun-13
Mar-13
Dec-12
Sep-12
Jun-12
Mar-12
BenchmarkDec-16
Sep-16
Jun-16
Mar-16
Dec-15
Sep-15
Jun-15
Mar-15
Dec-14
Sep-14
Jun-14
Mar-14
Dec-13
Sep-13
Jun-13
Mar-13
Dec-12
Sep-12
Jun-12
Mar-12
*Represents SEC yield

&F &A &12Attachment 8 Tables &T &D

Table 6

SectorTreasuriesGovt Related - AgenciesGovt Related - Local AuthGovt Related -SovereignGovt Related – SupranationalCorporate – IndustrialCorporate – UtilityCorporate – FinancialSecuritized - CMBSSecuritized – ABSSecuritized – CoveredSecuritized – US MBSOtherState the name of the largest component of otherTotal
PortfolioDec-160.0%
Sep-160.0%
Jun-160.0%
Mar-160.0%
Dec-150.0%
Sep-150.0%
Jun-150.0%
Mar-150.0%
Dec-140.0%
Sep-140.0%
Jun-140.0%
Mar-140.0%
Dec-130.0%
Sep-130.0%
Jun-130.0%
Mar-130.0%
Dec-120.0%
Sep-120.0%
Jun-120.0%
Mar-120.0%
BenchmarkDec-160.0%
Sep-160.0%
Jun-160.0%
Mar-160.0%
Dec-150.0%
Sep-150.0%
Jun-150.0%
Mar-150.0%
Dec-140.0%
Sep-140.0%
Jun-140.0%
Mar-140.0%
Dec-130.0%
Sep-130.0%
Jun-130.0%
Mar-130.0%
Dec-120.0%
Sep-120.0%
Jun-120.0%
Mar-120.0%
* Net SDI represents net short duration instruments

&F &A &12Attachment 8 Tables &T &D

Table7

QualityDec-16Sep-16Jun-16Mar-16Dec-15Sep-15Jun-15Mar-15Dec-14Sep-14Jun-14Mar-14Dec-13Sep-13Jun-13Mar-13Dec-12Sep-12Jun-12Mar-12
PortfolioCash and Cash Equivalents
Aaa/AAA/AAA
Aa1/AA+/AA+
Aa2/AA/AA
Aa3/AA-/AA-
A1/A+/A+
A2/A/A
A3/A-/A-
Baa1/BBB+/BBB+
Baa2/BBB/BBB
Baa3/BBB-/BBB-
Ba1/BB+/BB+
Ba2/BB/BB
Ba3/BB-/BB-
B1/B+/B+
B2/B/B
B3/B-/B-
Caa1/CCC+/CCC+
Caa2/CCC/CCC
Caa3/CCC-/CCC-
Ca/CC/CC
Unrated
Totals
BenchmarkCash and Cash Equivalents
Aaa/AAA/AAA
Aa1/AA+/AA+
Aa2/AA/AA
Aa3/AA-/AA-
A1/A+/A+
A2/A/A
A3/A-/A-
Baa1/BBB+/BBB+
Baa2/BBB/BBB
Baa3/BBB-/BBB-
Ba1/BB+/BB+
Ba2/BB/BB
Ba3/BB-/BB-
B1/B+/B+
B2/B/B
B3/B-/B-
Caa1/CCC+/CCC+
Caa2/CCC/CCC
Caa3/CCC-/CCC-
Ca/CC/CC
Unrated
Totals0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%0.0%

&F &A &12Attachment 8 Tables &T &D

Table8

Security Name Ticker/CUSIP# Par Total Cost U.S.$ Total Market Value U.S.$ Percentage of Total Portfolio Benchmark Weight

205,048,945,649104.570%
(8,881,547,643)(4.570%)
196,167,397,006100.000%

&F &A &12Attachment 8 Tables &T &D

Table9

Calendar YearCalendar Year Return (Gross of Fee) (in %)Calendar Year Return (Net of Fee)(in %)Product Benchmark Calendar Year Return (in%)Number of PortfoliosTracking Error (%)Total Composite Assets ($Millions)Total Firm Assets ($Millions)
(Since Inception)
2016
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006

&F &A &12Attachment 8 Tables &T &D

Table10

Annualized Returns2016201520142013201220112010200920082007
High
Low
Difference

&F &A &12Attachment 8 Tables &T &D

Table11

Risk Statistics3 Years Ended 12/31/165 Years Ended 12/31/1610 Years Ended 12/31/16Since Inception
Portfolio Return (Gross of fees)
Benchmark Return
Alpha
Beta
R2
Up-Market Capture
Down-Market Capture
Standard Deviation
Tracking Error
Information Ratio
Sharpe Ratio
Sortino Ratio
"Batting Average"

&F &A &12Attachment 8 Tables &T &D

Table12

12/31/1612/31/1512/31/1412/31/1312/31/1212/31/11
(a) Total assets managed in the subject product (U.S.$ in mils.)
Total # of Accounts
Average Account Size (U.S.$ in mils.)
Assets of the largest separate accounts (U.S.$ in mils.)
Assets of all separate accounts > $50M (U.S. $ in mils.)
# Accounts gained
$ Gained (U.S.$ in mils.)
# Accounts lost
$ Lost (U.S.$ in mils.)
(b) Total assets managed in the subject product for U.S. tax-exempt clients ($ in mils.)
Total # of Accounts
Average Account Size
# Accounts gained
$ Gained
# Accounts lost
$ Lost

&F &A &12Attachment 8 Tables &T &D

Table13

U.S. Tax-exempt Clients Insurance Clients Other Clients Date of Inception Market Value (9/30/14)

&F &A &12Attachment 8 Tables &T &D

File details come from the government source that posted it. Updated .