Asset Liability Management Study for the United Nations Joint Staff Pension Fund

1. Purpose The United Nations Joint Staff Pension Fund (UNJSPF) seeks to contract for an asset liability management (ALM) study to assist the United Nations Secretary-General and United Nations Joint Staff Pension Board (Board) on the management of investments, funding obligations and liabilities. The UNJSPF completes an ALM study at least every 4 years to complement its biennial actuarial valuations. 2. Background The UNJSPF is a defined benefit plan established by the General Assembly of the UN to provide retirement, death, disability and related benefits for the staff of the UN and 24 other organizations admitted to membership of the Fund. The Fund is administered by the United Nations Joint Staff Pension Board, the Chief Executive of Pension Administration and the Staff Pension Committees of member organizations. The Board reports to the General Assembly. The UNJSPF manages much of its investments internally. The General Assembly, through the Fund’s Regulations, has given the fiduciary responsibility of the investment of the Fund’s assets to the Secretary-General who, in turn, has delegated this responsibility to their Representative. The Office of Investment Management (OIM) assists the Representative of the Secretary-General (RSG) in investing the assets of the Fund. As of 31 December 2021, the UNJSPF had 137,261 participants and 82,312 beneficiaries in receipt of a periodic benefit, with assets of $91bn in market value. Although the base currency is US dollars, the Fund's participants and beneficiaries are distributed around the world, with some beneficiaries having the option of their benefits increasing with local inflation, rather than with US CPI. The UNJSPF investments are globally diversified. Although most of the exposure is in major developed markets, the Fund is committed to finding sound investment opportunities in emerging markets and development-related areas. As of 31 December 2021, the asset allocation was 57.1% in public equities, 24.8% in fixed income, 7.1% in real estate, 7.1% in private equity and 3.9% in short-term holdings. The assets were invested in 92 countries, 7 regions and 42 currencies. 3. Scope of services The provider of services shall carry out an ALM Study using stochastic projections of the UNJSPF’s assets and liabilities. The goal of the ALM Study is to assess the impact of key investment and solvency-related decisions upon the long-term financial condition and performance of the UNJSPF. Through carrying out a thorough risk analysis of the Fund, this includes: a) evaluating the current and alternative asset allocations, to optimize the balance of risk and reward inherent in the allocation; b) recommending long-term strategic asset allocation(s) that would optimize UNJSPF asset growth in the context of its liability, risk appetite and risk tolerance c) assessing whether the current assumed asset return is expected to be achieved in the long term; d) forecasting the likelihood that the current contribution rate will remain sufficient; e) validating the risk tolerances to be used in the UNJSPF’s Funding Policy; and f) forecasting the likelihood that future funded ratios and solvency metrics will remain in an acceptable range, including the risks of under- and over-funding within the long-term asset allocation strategies recommended, as well as under the current investment strategy. The ALM Study should also identify suitable asset classes for the UNJSPF in a global context and specify a long-term target weight for each asset class, focused on both broad asset classes and their underlying strategic investment segments