Fixed Income Portfolio Analytics Solution

Overview of the Fund 1. The United Nations Joint Staff Pension Fund (“UNJSPF” or “the Fund”) was established by the General Assembly of the United Nations ("UN") to provide retirement, death, disability and related benefits for the staff of the UN and other international intergovernmental organizations admitted to membership in the Fund. 2. The Office of Investment Management (“OIM”) of the UNJSPF is responsible for managing a multi-asset class, global investment portfolio worth over US$63 billion as of 31 March 2020, about 82% of which is actively managed internally. OIM invests globally in over 100 countries and regions distributed in over 26 currencies in both publicly traded securities as well as private capital investments. Currently, the Fund’s global custody accounting and performance services for both public and private capital investments are provided by Northern Trust, while the Fund’s integrated buy-side asset management system is Bloomberg AIM. 3. The Fixed Income portfolios of the Fund consists of Time Deposits, Treasury Bills, Commercial Paper, Certificate of Deposits, Discount Notes, Corporate Bonds, Supranational, Sovereign and Agency Bonds, Asset Backed Securities, foreign-exchange (FX) and others. The current breakdown of the Fixed Income portfolios is: US Securitized (50%), US Treasury (35%) and Emerging Markets (15%). The benchmarks used are Bloomberg Barclays US Securitized (50%) LD19TRUU, Bloomberg Barclays US Treasury (35%) LUATTRUU and Bloomberg Barclays EM local Currency Government 10% Country Capped (15%) ELM1TRUU. 4. Please consult the Fund’s website at http://oim.unjspf.org/ for additional information and a breakdown of the Fund’s assets per type of investment.   Purpose of this Request 5. OIM is requesting information relating to solutions for Fixed Income portfolio analytics, attribution and performance which will support the team in making informed decisions by enabling an easily and accurately measure portfolio risk and performance return. This system solution would provide the Fixed Income team a seamless workflow. Ideally, it will include intraday performance monitoring, historical performance attribution, ex-ante tracking error, scenario analysis, portfolio optimization as well as fundamentals. Further, the application will allow a myriad of analytical reports that can be customized, scheduled and shared across teams. 6. Please send a presentation including all necessary documents that would best demonstrate your solution to answer the following required functionalities for OIM’s Fixed Income portfolio: • Portfolio Analytics • Attribution Models • Intra Day Performance • Risk (VAR/Tracking Error) Models • Portfolio Optimization • Robust Report Scheduler- The application shall allow users to automate reports and share as needed. • Customizable Reports- The solution shall offer access to standards reports, customizable reports that can be viewed online or exported. The solution will allow reports to be produced in different formats including XLS, CSV, PDF and XML. • Enterprise Reports- The solution shall offer ability to share reports firmwide. • Classifications- The solution shall allow users to slice and dice portfolio accounts/account groups (i.e. Account Group grouped by duration, credit ratings, custom sectors). Please share any limitations regarding classifications on screen and in any reports. • Benchmarks- The solution shall offer ability to compare a portfolio or group of portfolios against a benchmark/blended benchmark/custom benchmark). • Asset types- Are there any asset types not covered? If so, please list and explain? 7. Additionally, please also respond to the following questions specific to OIM Fixed Income business needs: a) Confirm if you can provide sample reports using 3 months data which will be provided by the United Nations. Note that the reports should be executed for the entire Fixed Income portfolio accounts, including cash. b) Confirm if you can upload historical data (including daily holdings, transactions and cash). Can more than 1 year of history to be uploaded? Describe the data needed and if there are any limitations. c) Confirm if the solution allows users to customize reports. Describe how and specifically what can be customized (i.e. columns, categorizations). d) Describe in more details the attribution and risk models that the solution utilizes for Fixed Income assets. e) Confirm if the solution offers the ability to run analytics/attribution/risk on an account group and look-thru to underlying securities. Describe if there are any limitations. f) Confirm if your solution has seamless turnkey integration with our custodian (Northern Trust) and our integrated buy-side asset management solution (Bloomberg AIM). g) Confirm if your solution has seamless integration with our benchmark index data provider (Bloomberg Index Services Limited). h) Confirm if your solution has seamless integration with our market data provider (Bloomberg) and our custodian (Northern Trust) for prices. Please list all the pricing sources available by default.