B.01_Attachment_005_MAM_Questionnaire_With_Amended_Changes.docx

Attachment 005

TIB-2019-RFP-XXXX

TSP Investment Management Questionnaire

IT IS IMPORTANT TO FOLLOW THESE INSTRUCTIONS CAREFULLY.

Questionnaire response word count limits, where applicable, are provided below. Word count limits refer to the entire question number and not to only one question (lettered or otherwise) within a group of questions for that number, unless otherwise noted. Please note that the word count limits are maximums, not targets.

Microsoft Word will be used to count the number of words in the responses that have word limits. Note that any portions of the responses exceeding the specified word limits will not be reviewed, including any references to attachments, inclusions, web pages, etc. not specifically requested or permitted.

Organization charts and the completion of tables are exempted from word count limits.

Offerors may expand numbers of rows and columns in tables, but may not change the requested content of questions or tables when providing responses, unless permitted within the question.

Information should be provided on a current basis unless otherwise indicated. Current means as of the date of this RFP or as close as reasonably possible.

NOTE: Throughout this questionnaire, any reference to returns of the MSCI EAFE Index and the MSCI ACWI ex-US IMI Index is on a net of dividend withholding taxes basis as calculated by MSCI Inc (formerly Morgan Stanley Capital International). The same applies to all international indices cited by offerors.

Factor 1 – Organization, Risk Management, and Compliance

Organization and Ownership Structure

Provide background information on your organization including:

Ownership structure Relationship with any affiliated companies What percent is employee owned if any Headquarters location Year Business was founded What regulating bodies are you governed by?

(300 words)

What year was the index management division established? Provide a brief history of the index management division. (300 words)

What year did your firm begin managing passive portfolios indexed to the Bloomberg Barclays U.S. Aggregate Bond Index? Provide a history. (200 words)

What year did your firm begin managing passive portfolios indexed to the S&P 500 Index? Provide a history. (200 words)

What year did your firm begin managing passive portfolios indexed to the Dow Jones US Completion Total Market Index? Provide a history. (200 words)

What year did your firm begin managing passive portfolios indexed to the MSCI EAFE Index and MSCI ACWI ex-US IMI Index? Provide a history. (200 words)

Complete the following table for your index management offices. State the primary function of staff (e.g. Portfolio Managers, Research, Marketing, Trading, Operations, etc.) and number of staff in each respective index management office. (Add rows as needed)

Location (City, State, Country) Primary Function(s) of Staff # of Staff

Index Office (1)

Index Office (2)

Which of your firm's offices would service this account? What services would specifically be provided by each office, if multiple offices would provide services, and how do they work together? (300 words)

Describe any ownership changes in your firm or subsidiary in the last five (5) years. (300 words)

What do you see as your index management division’s competitive advantage, describing in your answer the factors that make your index management division unique from your competitors? (300 words)

Describe the business continuity plan your firm has in place in order to permit it to continue to deliver the services described in this RFP and to preserve all associated electronic and written records in the event of a disaster. What is your projected recovery time for a material disruption in business operations and portfolio management services? How frequently is the business continuity plan tested? Do you run parallel data centers? Are the backup data centers located in multiple geographic locations? (700 words)

Investment Personnel and Compensation

Describe the structure of your U.S. fixed income passive management division and provide a staff organization chart showing functions, positions, number of years in the organization’s passive management group and industry, and titles of all professionals in the division. (300 words)

Describe the structure of your U.S. large-cap equities passive management division and provide a staff organization chart showing functions, positions, number of years in the organization’s passive management group and industry, and titles of all professionals in the division. (300 words)

Describe the structure of your U.S. small- and mid-cap equities passive management division and provide a staff organization chart showing functions, positions, number of years in the organization’s passive management group and industry, and titles of all professionals in the division. (300 words)

Describe the structure of your international equities passive management division and provide a staff organization chart showing functions, positions, number of years in the organization’s passive management group and industry, and titles of all professionals in the division. (300 words)

Provide detailed biographies of each of the primary professionals who will be assigned to the TSP account as an attachment to this questionnaire. Include senior executive management personnel who will be knowledgeable of the account and made available to the TSP. (Limit biographies to one half page each.)

Who will be the primary client service officer assigned to the TSP relationship? How many other customer relationships does this person have? Please provide similar information for any individuals providing significant support to the primary client service officer on this relationship. How does the client service officer work with the passive management team, the securities lending team, and the custody team to ensure the client is being serviced appropriately? How many clients did the person that would be responsible for this relationship take on and lose in each of the past three years? What amount of assets did this represent? Explain cause of asset losses. How many years has this individual been in this role for with the firm? (400 words)

How often would the Chief Investment Officer and/or other senior personnel in the organization (e.g., CEO) be available for client meetings? (100 words)

Describe the compensation structure for your firm’s client service personnel, portfolio managers, research analysts, and traders, including incentives, bonuses, performance-based compensation, equity ownership, and the portion of total compensation represented by incentives. (300 words)

Conflicts of Interest

Explain your company’s policies or procedures to address conflicts of interest within your organization. (200 words)

Describe any potential conflicts of interest your firm may have in the management of this account, as well as associated risk mitigation strategies. Include any activities of affiliated or parent organizations, brokerage activities, investment banking activities or any existing or prior arrangements or relationships with any current FRTIB Board Member. Include any other pertinent activities, actions or relationships not specifically outlined in this question. (400 words)

Compliance/Regulatory Oversight

Has your firm and parent company, its principals, employees, or affiliates ever:

been the focus of a non-routine Securities and Exchange Commission (SEC) inquiry or investigation or a similar inquiry or investigation from any similar federal, state or self-regulatory body or organization, been a party to any litigation concerning fiduciary responsibility or other investment related matters amounting to more than $10 million, submitted a claim to your errors and omissions, fiduciary, liability, and/or fidelity bond insurance carrier(s), or entered into any settlement, consent decree, cease and desist order or other similar agreement of any kind where the matter pertains to more than $10 million?

If your firm answered yes to any part of this question, please provide details along with materiality. Under litigation proceedings, please list litigation proceedings related to asset management business first. (100 words per “yes” incident.)

In reference to your firm’s SEC Form ADV Part 1 Section 11 Disclosure Reporting Pages (DRPs), please provide an explanation for any disclosure. (100 words per disclosure)

How many professionals are dedicated to the compliance function, including specifically as it pertains to the index mandates and the proposed I Fund benchmark transition noted in the Statement of Work? Describe the logic behind this level of staffing. Describe its scope. To whom does the Chief Compliance Officer report? (300 words)

Financials

Briefly describe each of your organization's core business units and the percentage of revenue and earnings derived from each. Please indicate what percentage of revenue and earnings are derived from the passive management unit. If passive management is not its own line of business, what other business strategies fall under its line of business? (400 words)

Describe the current/recent financial condition of your firm. (200 words)

If applicable to your firm, please provide details on any qualifications of your financial statements made by an external auditor in the last 15 years. (200 words per incident)

Has any external auditor resigned as auditor of your firm during the past 15 years? If so please provide full details. (200 words per incident)

Does your firm have an internal audit function? How many professionals are dedicated to the internal audit team? How is the scope of work of the internal audit team determined? To whom does the head of internal audit report? (200 words)

Client Communications

Describe online information and reporting capabilities you make available for client use. Discuss capability to provide client reports electronically via e-mail as well as in hard copy. (200 words)

Customized reporting is important to successfully managing the TSP. Discuss your ability and willingness to customize your reporting to FRTIB’s specific needs, as identified before discretionary management over Fund assets begins. (300 words) Please attach samples of your standard reports to the extent possible pertaining to each of the items enumerated in the RFP Sections F.3.1. Daily Reports, F.3.2. Monthly Reports, and F.3.3.b. Quarterly Reports derivatives exposure only. Attachments are exempt from word count limits.

Information Security

Describe your information security practices and with what standards they comply. (400 words)

Class Action Settlements

How do you monitor for class action suits and similar matters whose pursuit is in the best interest of participants? If you use outside services, please specify these and explain how you use them. (400 words)

Describe your policies for working with client class action participation and your policies around opt-out. Please distinguish between international and domestic. (400 words)

Describe how you are willing to provide historical trade data retention services supportive of future class action claims for assets transferred from one custodian to another. (400 words)

General

Describe your error remediation policies with respect to any custodian, administrative, or operational errors when there are financial implications related to the value of the portfolio and to client accounts. (400 words)

Describe your preferred methodology for payment of fees related to this contract. Note that this is not the place for describing your pricing proposal. (100 words)

Describe your proxy voting policy on behalf of clients. (300 words)

Explain how you are able to act globally on behalf of the TSP with respect to custodian responsibilities. (400 words)

Explain how you are able to generate investment performance in line with the TSP Funds’ respective indices from the first day of funding, whether partial or full. Are you comfortable with being held to performance targets from day one; in other words, no performance holiday? Explain. (300 words)

Explain your process for receiving (delivering) securities from (to) another manager/custodian/securities lending agent without operational error and how you would work to make a transition seamless such that the TSP Funds being managed would achieve a continuous daily index-like performance throughout any transition in the absence of any participant transaction blackout, L Funds rebalancing suspension, or performance holiday. (800 words)

Factor 2 – Index Fund Management, Investment Performance, and Trading

Assets Under Management/Performance

Total Assets Under Management ($mm) _________

Provide suggested investment guidelines related to your cash sweep investment vehicle used in the management of the TSP’s four index Funds. (one page)

U.S. Fixed Income

Complete the table below with respect to U.S. fixed income assets under management as of December 31, 2018.

Total U.S. fixed income assets ($mm)

Passive U.S. fixed income assets ($mm)

Passive assets indexed to the Bloomberg Barclays U.S. Aggregate Bond Index or reasonably comparable and recognized U.S. fixed income indices (provide breakout by index) ($mm)

Indirect Passive Assets of the above (provide breakout by index) ($mm)*

*Direct exposure represents assets directly invested in the indices. Indirect exposure represents the portion of assets invested in the indices as part of other strategies such as a total US bond market index or a global index with US holdings.

If and only if your firm does not have assets indexed to the Bloomberg Barclays U.S. Aggregate Bond Index, please note this clearly and answer the remaining questions in this U.S. Fixed Income section with respect to comparable indices.

Complete the table below and enter values for assets under management (AUM) for passive Bloomberg Barclays U.S. Aggregate Bond Index investments.

($mm)

Total

Provide the following information regarding assets and clients (not accounts) gained and/or lost in the past 5 years with respect to passive investments indexed to the Bloomberg Barclays U.S. Aggregate Bond Index.

($mm)

Total

Complete the following table, providing 5 years of MONTHLY (and other periods as specified) gross returns (including securities lending but gross of securities lending fees and management fees) for passive accounts managed to the Bloomberg Barclays U.S. Aggregate Bond Index and provide as an attachment to the questionnaire. Please also provide a soft (electronic) copy Excel file with your submission. Please also include the 5-year annualized tracking error. Provide all information as of December 31, 2018. Please do not include TSP’s performance in the composite performance, if applicable.

Account Composite Return Benchmark Return

Fund Composite Return Difference

12/31/2018

11/30/2018

10/31/2018

09/30/2018

08/31/2018

07/31/2018

06/30/2018

05/31/2018

Yearly

Annualized

1 Year

3 Year

5 Year

Tracking Error

5 Year

Provide annual Bloomberg Barclays U.S. Aggregate Bond performance attribution for the two composites requested in the previous question.

Attribution of Performance Differences (Separate Account Composite)

Security Mis-weights

Tax Advantage

Fair Value

Securities Lending

Trading Costs

Custody and Admin

Futures and Cash Drag

Other (identify each component)

Attribution of Performance Differences (Commingled Fund Composite)

Security Mis-weights

Tax Advantage

Fair Value

Securities Lending

Trading Costs

Custody and Admin

Futures and Cash Drag

Other (identify each component)

Use the following table to provide the number of personnel currently working on investments indexed to the Bloomberg Barclays U.S. Aggregate Bond Index.

Number of personnel assigned to Bloomberg Barclays U.S. Aggregate Bond Index investments

Portfolio Managers

Analysts

Economists

Traders

Administration, Operations

Client Service

Marketing, Sales

Other (Specify)

Total

Provide the following information for investment professionals on your Bloomberg Barclays U.S. Aggregate Bond Index team (analysts, portfolio managers, traders, client service representatives) that have been gained or lost in the last five (5) years. Please explain changes in numbers of personnel. (200 words for information outside of table)

Total

Total

U.S. Large-Cap Equities

Complete the table below with respect to U.S. large-cap assets under management as of December 31, 2018.

Total U.S. large-cap assets ($mm)

Passive assets indexed to the S&P 500 Index or reasonably comparable and recognized U.S. large-cap indices (provide breakout by index) ($mm)

Indirect Passive Assets of the above (provide breakout by index) ($mm)*

*Direct exposure represents assets directly invested in the indices. Indirect exposure represents the portion of assets invested in the indices as part of other strategies, such as the US Total Stock Market Index.

If and only if your firm does not have assets indexed to the S&P 500 Index, please note this clearly and answer the remaining questions in this U.S. Large-Cap Equities section with respect to comparable indices.

Complete the chart below and enter values for assets under management (AUM) for passive S&P 500 index investments.

Total

Provide the following information regarding assets and clients (not accounts) gained and/or lost in the past 5 years with respect to passive investments indexed to the S&P 500 Index.

($mm)

Total

Complete the following table, providing 5 years of MONTHLY (and other periods as specified) gross returns (including securities lending but gross of securities lending fees and management fees) for passive accounts managed to the S&P 500 Index and provide as an attachment to the questionnaire. Please also provide a soft (electronic) copy Excel file with your submission. Please also include the five-year annualized tracking error. Provide all information as of December 31, 2018. Please do not include TSP’s performance in the composite performance, if applicable.

Account Composite Return Benchmark Return

Fund Commingled Return Difference

12/31/2018

11/30/2018

10/31/2018

09/30/2018

08/31/2018

07/31/2018

06/30/2018

05/31/2018

Yearly

Annualized

1 Year

3 Year

5 Year

Tracking Error

5 Year

Provide annual S&P 500 Index performance attribution for the two composites requested in the previous question.

Attribution of Performance Differences (Separate Account Composite)

Security Mis-weights

Tax Advantage

Fair Value

Securities Lending

Trading Costs

Custody and Admin

Futures and Cash Drag

Other (identify each component)

Attribution of Performance Differences (Commingled Fund Composite)

Security Mis-weights

Tax Advantage

Fair Value

Securities Lending

Trading Costs

Custody and Admin

Futures and Cash Drag

Other (identify each component)

Use the following table to provide the number of personnel currently working on investments indexed to the S&P 500 Index.

Number of personnel assigned to S&P 500 Index investments

Portfolio Managers

Analysts

Economists

Traders

Administration, Operations

Client Service

Marketing, Sales

Other (Specify)

Total

Provide the following information for investment professionals on your S&P 500 Index team (analysts, portfolio managers, traders, client service representatives) that have been gained or lost in the last five (5) years. Please explain changes in numbers of personnel. (200 words for information outside of table)

Total

Total

U.S. Small- and Mid-Cap Equities

Complete the table below with respect to U.S. small- and mid-cap equity assets under management.

Total U.S. small- and mid-cap equity assets ($mm)

Passive U.S. small- and mid-cap equity assets ($mm)

Passive assets indexed to the Dow Jones U.S. Completion Total Stock Market Index or reasonably comparable and recognized U.S. small- and mid-cap equity indices (provide breakout by index) ($mm)

Indirect Passive Assets of the above (provide breakout by index) ($mm)*

*Direct exposure represents assets directly invested in the indices. Indirect exposure represents the portion of assets invested in the indices as part of other strategies, such as the DJ US Total Stock Market Index.

If and only if your firm does not have assets indexed to the Dow Jones U.S. Completion Total Stock Market Index, please note this clearly and answer the remaining questions in this U.S. Small- and Mid-Cap Equities section with respect to comparable indices.

Complete the chart below and enter values for assets under management (AUM) for passive Dow Jones U.S. Completion Total Stock Market Index and comparable index investments as of December 31, 2018.

Total

Provide the following information regarding assets and clients (not accounts) gained and/or lost in the past 5 years with respect to passive investments indexed to the Dow Jones U.S. Completion Total Stock Market Index.

($mm)

Total

Complete the following table, providing 5 years of MONTHLY (and other periods as specified) gross returns (including securities lending but gross of securities lending fees and management fees) for passive accounts managed to the Dow Jones U.S. Completion Total Stock Market Index and provide as an attachment to the questionnaire. Please also provide a soft (electronic) copy Excel file with your submission. Please also include the 5 year annualized tracking error. Provide all information as of December 31, 2018. Please do not include TSP’s performance in the composite performance, if applicable.

Account Composite Return Benchmark Return

Commingled Fund Return Difference

12/31/2018

11/30/2018

10/31/2018

09/30/2018

08/31/2018

07/31/2018

06/30/2018

05/31/2018

Yearly

Annualized

1 Year

3 Year

5 Year

Tracking Error

5 Year

Provide annual Dow Jones U.S. Completion Total Stock Market Index performance attribution for the two composites requested in the previous question.

Attribution of Performance Differences (Separate Account Composite)

Security Mis-weights

Tax Advantage

Fair Value

Securities Lending

Trading Costs

Custody and Admin

Futures and Cash Drag

Other (identify each component)

Security Mis-weights

Tax Advantage

Fair Value

Securities Lending

Trading Costs

Custody and Admin

Futures and Cash Drag

Other (identify each component)

Use the following table to provide the number of personnel currently working on investments indexed to the Dow Jones U.S. Completion Total Stock Market Index.

Number of personnel assigned to Dow Jones U.S. Completion Total Stock Market Index investments

Portfolio Managers

Analysts

Economists

Traders

Administration, Operations

Client Service

Marketing, Sales

Other (Specify)

Total

Provide the following information for investment professionals on your Dow Jones U.S. Completion Total Stock Market Index team(s) (analysts, portfolio managers, traders, client service representatives) that have been gained or lost in the last five (5) years. Please explain changes in numbers of personnel. (200 words for information outside of table)

Total

Total

International Equities

Complete the table below with respect to international equity assets under management as of December 31, 2018.

Total international equity assets ($mm)

Passive international equity assets ($mm)

Passive assets directly indexed to the MSCI EAFE Index, MSCI ACWI ex-US IMI, or reasonably comparable and recognized international equity indices (provide breakout by index)* ($mm)

Passive assets indirectly indexed to the indices named above (provide breakout by index)*

*Direct exposure represents assets directly invested in the indices. Indirect exposure represents the portion of assets invested in the indices as part of other strategies, such as MSCI EM Index, MSCI Canada Index, MSCI EAFE Small-Cap Index or a global index.

If and only if your firm does not have assets indexed to the MSCI EAFE Index or the MSCI ACWI ex-US IMI Index, please note this clearly and answer the remaining questions in this International Equities section with respect to comparable indices.

Complete the chart below and enter values for assets under management (AUM) for passive MSCI EAFE Index and MSCI ACWI ex-US IMI Index investments.

Calendar Year End

($mm)

Total

Provide the following information regarding assets and clients (not accounts) gained and/or lost in the past 5 years with respect to passive investments indexed to the MSCI EAFE Index and the MSCI ACWI ex-US IMI Index.

($mm)

Total

($mm)

Total

Complete the following table, providing 5 years of MONTHLY (and other periods as specified) gross returns (including securities lending but gross of securities lending fees and management fees) for passive accounts managed to the MSCI EAFE Index and provide as an attachment to the questionnaire. Please also provide a soft (electronic) copy Excel file with your submission. Please also include the 5 year annualized tracking error. Provide all information as of December 31, 2018. Please do not include TSP’s performance in the composite performance, if applicable.

Account Composite Return Benchmark Return

Commingled Fund Return Difference

12/31/2018

11/30/2018

10/31/2018

09/30/2018

08/31/2018

07/31/2018

06/30/2018

05/31/2018

Yearly

Annualized

1 Year

3 Year

5 Year

Tracking Error

5 Year

Complete the following table, providing 5 years of MONTHLY gross returns (including securities lending but gross of securities lending fees and management fees) for accounts managed to the MSCI ACWI ex-US IMI Index and provide as an attachment to the questionnaire. Please also provide a soft (electronic) copy Excel file with your submission. Please also include the 5 year tracking error. Provide all information as of December 31, 2018. Please do not include TSP’s performance in the composite performance, if applicable.

Account Composite Return Benchmark Return

Commingled Fund Return Difference

12/31/2018

11/30/2018

10/31/2018

09/30/2018

08/31/2018

07/31/2018

06/30/2018

05/31/2018

Yearly

Annualized

1 Year

3 Year

5 Year

Tracking Error

5 Year

Provide annual MSCI EAFE performance attribution for the two composites requested in the previous question.

Attribution of Performance Differences (Separate Account Composite)

Security Mis-weights

Tax Advantage

Fair Value

Securities Lending

Trading Costs

Custody and Admin

Futures and Cash Drag

Other (identify each component)

Security Mis-weights

Tax Advantage

Fair Value

Securities Lending

Trading Costs

Custody and Admin

Futures and Cash Drag

Other (identify each component)

Provide annual MSCI ACWI ex-US IMI performance attribution for the two composites requested in the previous question.

Attribution of Performance Differences (Separate Account Composite)

Security Mis-weights

Tax Advantage

Fair Value

Securities Lending

Trading Costs

Custody and Admin

Futures and Cash Drag

Other (identify each component)

Security Mis-weights

Tax Advantage

Fair Value

Securities Lending

Trading Costs

Custody and Admin

Futures and Cash Drag

Other (identify each component)

Use the following table to provide the number of personnel currently working on investments indexed to either MSCI EAFE or MSCI ACWI ex-US IMI strategies.

Number of personnel assigned to MSCI EAFE Index or MSCI ACWI ex-US IMI Index investments

Portfolio Managers

Analysts

Economists

Traders

Administration, Operations

Client Service

Marketing, Sales

Other (Specify)

Total

Provide the following information for investment professionals on your MSCI EAFE and MSCI ACWI ex-US IMI team(s) (analysts, portfolio managers, traders, client service representatives) that have been gained or lost in the last five (5) years. Please explain changes in numbers of personnel. (200 words for information outside of table)

Total

Total

Investment Process

Fixed Income

Provide a complete overview of your firm’s investment methodology and decision-making process for passive investments in U.S. fixed income. Comment specifically on initial fixed income universe/benchmark, liquidity criteria, fundamental research, security selection criteria, buy/sell decision, rebalancing, reconstitution, sector weightings, number of portfolio holdings, and management of corporate actions. Indicate the index replication technique used. How is tracking error managed in investments indexed to the Bloomberg Barclays U.S. Aggregate Bond Index (or comparable indices)? (800 words)

What tools are used with respect to both portfolio and risk management and which investment personnel/teams are responsible for using these tools? If optimization is a part of the investment process, please discuss what tools are utilized for optimizing the portfolio? (300 words)

Are derivatives used in the management of these strategies? If so, please discuss how they are used and incorporated into the strategy. (300 words)

Please detail any changes made in the product’s investment process over the past 5 years, if applicable, as well as the associated rationale. (300 words).

Describe the structure and organization of your research department, addressing separately fundamental research, quantitative research, and other research groups related to the passive investment process. Describe how the teams work together. (300 words)

What distinguishes your firm from other investment managers with respect to passive U.S. fixed income products? (300 words)

Provide suggested investment guidelines for the management of the fixed income investment strategy. (one page)

Explain your pricing methodology for the securities held in the fixed income strategy. (200 words)

U.S. Large-Cap Equities

Provide a complete overview of your firm’s investment methodology and decision-making process for passive investments in U.S. large-cap equities. Comment specifically on initial large-cap equity universe/benchmark, liquidity criteria, fundamental research, security selection criteria, buy/sell decision, rebalancing, reconstitution, sector weightings, number of portfolio holdings, and management of corporate actions. Indicate the index replication technique used. How is tracking error managed in investments indexed to the S&P 500 Index (or comparable indices)? (800 words)

What tools are used with respect to both portfolio and risk management and which investment personnel/teams are responsible for using these tools? If optimization is a part of the investment process, please discuss what tools are utilized for optimizing the portfolio? (300 words)

Are derivatives used in the management of these strategies? If so, please discuss how they are used and incorporated into the strategy. (300 words)

Please detail any changes made in the product’s investment process over the past 5 years, if applicable, as well as the associated rationale. (300 words)

Describe the structure and organization of your research department, addressing separately fundamental research, quantitative research, and other research groups related to the passive investment process. Describe how the teams work together. (300 words)

What distinguishes your firm from other investment managers with respect to passive U.S. large-cap products? (300 words)

Provide suggested investment guidelines for the management of the U.S. large-cap equities investment strategy. (one page)

U.S. Small- and Mid-Cap Equities

Provide a complete overview of your firm’s investment methodology and decision-making process for passive investments in U.S. small- and mid-cap equities. Comment specifically on initial small and mid-cap equity universe/benchmark, liquidity criteria, fundamental research, security selection criteria, buy/sell decision, rebalancing, reconstitution, sector weightings, number of portfolio holdings, and management of corporate actions. Indicate the index replication technique used. How is tracking error managed in investments indexed to the Dow Jones U.S. Completion Total Stock Market Index (or comparable indices)? (800 words)

What tools are used with respect to both portfolio and risk management and which investment personnel/teams are responsible for using these tools? If optimization is a part of the investment process, please discuss what tools are utilized for optimizing the portfolio? (300 words)

Are derivatives used in the management of these strategies? If so, please discuss how they are used and incorporated into the strategy. (300 words)

Please detail any changes made in the product’s investment process over the past 5 years, if applicable, as well as the associated rationale. (300 words).

Describe the structure and organization of your research department, addressing separately fundamental research, quantitative research, and other research groups related to the passive investment process. Describe how the teams work together. (300 words)

What distinguishes your firm from other investment managers with respect to passive U.S. small and mid-cap products? (300 words)

Provide suggested investment guidelines for the management of the U.S. small- and mid-cap equities investment strategy. (one page)

International Equities

Provide a complete overview of your firm’s investment methodology and decision-making process for passive investments in international equities, addressing the universe of securities in both the MSCI EAFE Index and the ACWI ex-US IMI Index. Comment specifically on initial international equity universe/benchmark, liquidity criteria, fundamental research, security selection criteria, buy/sell decision, rebalancing, reconstitution, sector and country weightings, foreign exchange, number of portfolio holdings, and management of corporate actions. Indicate the index replication technique used. How is tracking error managed in the EAFE strategy and the ACWI ex-US IMI strategy (or comparable indices)? What are your tracking error expectations for the two indices? (1000 words)

What tools are used with respect to both portfolio and risk management and which investment personnel/teams are responsible for using these tools? If optimization is a part of the investment process, please discuss what tools are utilized for optimizing the portfolio? (400 words)

Are derivatives used in the management of these strategies? If so, please discuss how they are used and incorporated into the strategy. (300 words)

Please detail any changes made in the product’s investment process over the past 5 years, if applicable, as well as the associated rationale. (300 words).

Describe the structure and organization of your research department, addressing separately fundamental research, quantitative research, and other research groups related to the passive investment process. Describe how the teams work together. (300 words)

What distinguishes your firm from other investment managers with respect to passive international equity products? (300 words)

Provide suggested investment guidelines for the management of the U.S. international equities investment strategy. (one page)

How do you intend to keep transactions costs low and tracking error to a minimum in international stocks, particularly in EM countries and small cap stocks in light of the need to provide daily liquidity? (400 words)

Are there circumstances for which you would not obtain direct exposure to stocks in an EM country (or countries) and instead either forego obtaining the exposure or use some proxy? Please explain and note how you believe this would impact index tracking. (400 words)

What is your policy and methodology with regard to fair value pricing for this product? (300 words)

Liquidity/Transaction Cost Management

Please note for purposes of analyzing data presented and referenced in this section that one-time re-targeting of TSP L Fund glide path asset allocations influenced trading activity in March 2014 and January 2016. Additional details available if requested.

What size liquidity pool would you maintain to manage TSP redemptions in the Fixed Income Fund? Please provide liquidity target. How did you determine the size? Do you equitize the cash, and if so, how? Refer to the chart below and Attachment 003F in Section J of the RFP. (300 words)

Value) Largest Purchase Largest Redemption

How would you handle excess redemptions if the liquidity pool were exhausted? (100 words)

How does your firm manage to and monitor market liquidity for this product? (100 words)

What size liquidity pool would you maintain to manage TSP redemptions in the Large-Cap Equity Fund? Please provide liquidity target. How did you determine the size? Do you equitize the cash, and if so, how? Refer to the chart below and Attachment 003C in Section J of the RFP. (300 words)

Value) Largest Purchase Largest Redemption

What size liquidity pool would you maintain to manage TSP redemptions in the Small- and Mid-Cap Equity Fund? Please provide liquidity target. How did you determine the size? Do you equitize the cash, and if so, how? Refer to the chart below and attachment 003S in Section J of the RFP. (300 words)

Value) Largest Purchase Largest Redemption

What size liquidity pool would you maintain to manage TSP redemptions in the International Equity Fund? Please provide liquidity target. How did you determine the size? Do you equitize the cash, and if so, how? Refer to the chart below and attachment 003I in Section J of the RFP. Address EAFE and ACWI ex-US IMI indices separately if/as appropriate. (400 words)

Value) Largest Purchase Largest Redemption

Trading

Will you provide full indemnification against any losses related to rogue trading by your employees and those employees of your subcontractors and or trading partner counterparties to the extent these lead to costs to TSP Funds and participants? Please describe (300 words)

Describe your methodology for calculating and reporting trading costs related to account rebalancing and account cash inflows and outflows (300 words)

Describe your process for selecting, monitoring, and reviewing trading counterparties. (300 words)

U.S. Fixed Income

Describe the firm’s fixed income trading capabilities as they relate to the product and derivatives. (300 words)

Provide a description of your fixed income trading platform, including systems (proprietary and off-the-shelf) for execution and processing. (300 words)

Describe the pre- and post-trade and monitoring controls and review procedures. How are pre- and post-trade control procedures violations addressed? (300 words)

Describe the allocation objectives and implementation procedures across all accounts. What is the process by which trades are allocated across separate accounts as opposed to commingled accounts? (300 words)

Is trading centralized? Is trading segmented by investment product platforms? For example, are there dedicated traders for Treasury/Government securities, corporate securities, mortgage-backed securities? For derivatives? Is passive fixed income trading handled separately? Please explain all. (300 words)

How many traders are dedicated to domestic fixed income trading? Describe their experience and tenure at the firm as well as the sector(s) they are responsible for trading. (200 words) You may use a table or organization chart if desirable.

Provide biographical information of your senior and supervisory fixed income trading personnel in an attachment, if not previously included. (one half page each)

U.S. Equities

For questions in this section, note if there are differences for large-cap vs small- and mid-cap.

Describe the firm’s domestic equities trading capabilities as they relate to the product and derivatives. (300 words)

Provide a description of your domestic equities trading platform, including systems (proprietary and off-the-shelf) for execution and processing. (300 words)

Describe the pre- and post-trade monitoring, controls, and review procedures. How are pre- and post-trade violations addressed? (300 words)

Describe the allocation objectives and implementation procedures across all accounts. What is the process by which trades are allocated across separate accounts as opposed to commingled accounts? (200 words)

Is trading centralized? Is trading segmented by investment product platforms? For example, are there dedicated traders by industry? For derivatives? Is passive equity trading handled separately? Please explain all. (300 words)

How many traders are dedicated to domestic equities trading? Describe their experience and tenure at the firm as well as the sector(s) they are responsible for trading. (200 words) You may use a table or organization chart if desirable.

Provide biographical information of your senior and supervisory domestic equities trading personnel in an attachment, if not previously included. (one half page each)

International Equities

For questions in this section, note if there are differences for developed vs. EM countries and large-cap vs. small- and mid-cap.

Describe the firm’s developed international and emerging markets equities trading capabilities as they relate to the product and derivatives. (300 words)

Provide a description of your international equities trading platform, including systems (proprietary and off-the-shelf) for execution and processing. (300 words)

Describe the pre- and post-trade monitoring, controls, and review procedures. How are pre- and post-trade violations addressed? (300 words)

Describe the allocation objectives and implementation procedures across all accounts. What is the process by which trades are allocated across separate accounts as opposed to commingled accounts? (200 words)

Is trading centralized? Is trading segmented by investment product platforms? For example, are there dedicated traders by industry and for developed and emerging market country securities and large-, mid- and small-cap securities? For derivatives? Is passive international equity trading handled separately? Please explain all. (300 words)

How many traders are dedicated to international equities trading? Describe their experience and tenure at the firm as well as the sector(s) they are responsible for trading. (200 words) You may use a table or organization chart if desirable.

Provide biographical information of your senior and supervisory international equities trading personnel in an attachment, if not previously included. (one half page each)

Explain how you conduct your foreign exchange activity. (300 words)

Explain how you are able to act globally on behalf of the TSP with respect to trading securities and foreign exchange activity. (300 words)

Other

Describe your error remediation policies with respect to any investment management and/or trading errors when there are financial implications related to the value of the portfolio and to client accounts. (400 words)

Factor 3 - Securities Lending

Organization and Team

Where is the securities lending group headquartered? Please list all additional locations that run securities lending operations and the functions performed at each of these locations. Provide an organizational chart identifying the key personnel within the securities lending team. Discuss any senior turnover in the last 5 years. (300 words)

Submit a breakdown of persons dedicated to providing securities lending services for each of the following categories. (Do not double-count)

Number of Personnel

Lending/Trading

Operations

Credit analysis

Risk management

Compliance/Legal

Non-Cash Collateral Management

Cash Reinvestment

Trading

Currency Management

Marketing/Client Servicing

Others (provide category)

Total

Provide a five-year personnel turnover for the following categories for Securities Lending.

Lending/Trading

Operations

Credit analysis

Risk management

Compliance/Legal

Non-Cash Collateral Management

Cash Reinvestment

Trading

Currency Management

Marketing/Client Servicing

Other(provide category)

TOTAL

Lending/Trading

Operations

Credit analysis

Risk management

Compliance/Legal

Non-Cash Collateral Management

Cash Reinvestment

Trading

Currency Management

Marketing/Client Servicing

Other(provide category)

TOTAL

Is there any pending litigation with respect to the securities lending program? Please state whether cases have been filed, whether they are class actions, identify the plaintiffs making the complaints, and whether the impact is estimated to be material. Is any breach of fiduciary duty involved? (150 words per item)

Lending Philosophy, Approach and Experience

Describe how the securities lending and cash collateral teams collaborate with the passive management team in order for all parties to successfully manage the passive, lending, and reinvestment functions of the portfolio. (200 words)

Describe your lending philosophy and process as well as how you are able to negotiate the most favorable rates on loans for clients. Provide details on differentiating factors of your program and the tools used to assist with monitoring market rates real time (400 words)

Attach to this questionnaire the most recent benchmark report from a third party service (e.g., Markit) that demonstrates your firm’s market share in the four investment strategies (U.S. fixed income, U.S. large-cap equities, U.S. small- and mid-cap equities, and international equities).

Describe your history and strengths in U.S. fixed income, U.S. large-cap equities, U.S. small- and mid-cap equities, and international equities. (400 words)

Describe your views or philosophies on the trade-offs between program size and utilization rates (volumes). (200 words)

Describe any changes that have been made to your securities lending program in the past 5 years resulting from structure changes, reorganization, corporate actions, change in focus, or any other reasons. (200 words)

Provide your firm’s lendable base, utilization rate, gross spreads, intrinsic spread, reinvestment income for assets indexed to the Bloomberg Barclays U.S. Aggregate Bond Index. Use comparable indices only if assets indexed to the Bloomberg Barclays U.S. Aggregate Bond Index are unavailable; note such situations clearly. Remove TSP assets from the calculation, if applicable.

Lendable base ($mm) Average Utilization Rate (%) Gross Spread (in bps) Intrinsic Spread (in bps) Reinvestment Spread (in bps)

Total

Provide your firm’s lendable base, utilization rate, gross spreads, intrinsic spread, reinvestment income for assets indexed to the S&P 500 Index. Use comparable indices only if assets indexed to the S&P 500 Index are unavailable; note such situations clearly. Remove TSP assets from the calculation, if applicable.

Lendable base ($mm) Average Utilization Rate (%) Gross Spread (in bps) Intrinsic Spread (in bps) Reinvestment Spread

Total

Provide your firm’s lendable base, utilization rate, gross spreads, intrinsic spread, reinvestment income for assets indexed to the Dow Jones U.S Completion Total Stock Market Index. Use comparable indices only if assets indexed to the Dow Jones U.S. Completion Total Stock Market Index are unavailable; note such situations clearly. Remove TSP assets from the calculation, if applicable.

Lendable base ($mm) Average Utilization Rate (%) Gross Spread (in bps) Intrinsic Spread (in bps) Reinvestment Spread

Total

Provide your firm’s lendable base, utilization rate, gross spreads, intrinsic spread, reinvestment income for assets indexed to the MSCI EAFE. Use comparable indices only if assets indexed to the MSCI EAFE Index are unavailable; note such situations clearly. Remove TSP assets from the calculation, if applicable.

Lendable base ($mm) Average Utilization Rate (%) Gross Spread (in bps) Intrinsic Spread (in bps) Reinvestment Spread

Total

Provide your firm’s…