Notice ID 16PBGC-22-R-0006
The contractor shall provide CID timely and accurate exposure, risk, performance reporting, and stress testing at the total plan level, asset class level, composite level, individual portfolio level, and individual security level for the PGBC Trust and Revolving Fund holdings; and provide liability driven investment (“LDI”) reporting on funded status, interest rate hedge ratio, spread hedge ratio, surplus volatility, and key rate durations.
Phase 1: Implementation
Implementation shall preferably not exceed six (6) months and is deemed completed once the IRMS is considered operational by mutual agreement of the contractor and PBGC CID. During the implementation phase, the Contractor shall:
Demonstrate compliance with all Federal and PBGC rules as it relates to information security and obtaining an Authority to Operate (ATO).
Establish secure connections between the various parties supplying PBGC portfolio data for use in the IRMS.
Provide a historical data load to perform acceptance testing, as well as to provide historical data for use in the IRMS by PBGC staff.
Implementation Phase fees are not assessed until the above requirements are met and when PBGC and the Contractor agree the IRMS is fully operational upon PBGC’s determination of the contractor’s successful completion of the tasks listed in SOW Section C.5.1.
Phase II: Operational Phase:
The Operational Phase shall begin at the end of Phase 1. Fees for use of the IRMS are assessed during this phase. During the Operational Phase, the Contractor shall perform:
Analytics and reporting
This requirement is anticipated to encompass the largest share of the Contractor’s time and resources...
The IRMS shall provide reporting on at least a monthly basis (e.g., month-end) and at most a daily basis (e.g., intra-day reporting is not required).
The IRMS shall have look-through capability (e.g., look-through for commingled funds and derivative instruments) to correctly map the exposures to the asset class, issuer, country, currency, sector, industry, factor, security and other common factor, and properly account for fixed income, public equities, private market assets (e.g. private equity, private debt, private real estate) and derivative instruments.
The IRMS shall report on the market and notional value of derivative holdings, and distinguish between exchange traded, over the counter (“OTC “) Centrally Cleared and OTC Non-Centrally Cleared (Bilateral) derivatives. The IRMS shall monitor counterparty exposure (gross exposure, collateral pledged and net exposure) at the Program, asset class, composite, investment manager and individual portfolio levels...
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