Non-discretionary Risk Advisor for Office of Investment Management, UNJSPF

The Office of Investment Management (OIM) of the United Nations Joint Staff Pension Fund (UNJSPF) seeks to retain a Risk Advisory Services Provider on a non-discretionary basis to provide advisory/consultancy services for the Risk Management and Performance of OIM. Overview of the UNJSPF: 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. The United Nations Secretary-General has the fiduciary responsible for the investment of the assets of the UNJSPF. The Secretary-General has delegated this responsibility to the Representative of the Secretary-General for the investment of the assets of the UNJSPF (RSG). The RSG is, in turn, assisted in this function by the Office of Investment Management (OIM) of the UNJSPF. All investments made, at the time of the purchase, must meet the criteria of safety, profitability, liquidity, and convertibility endorsed by the General Assembly and the United Nations Joint Staff Pension Board (“UNJSPB”). The UNJSPF is mostly internally managed with a total market value of approximately $82 billion as of 28 February 2021, invested in more than 100 countries and regions distributed in 26 currencies and in both publicly traded securities as well as private capital investments (private equity and real assets). For specialty mandates such as small cap which are not fully covered by internal research, external fund managers are utilized. Approximately USD 3.34B or 6.7% of the total public equity portfolio is externally managed in regions such as the US, Europe and Japan. Please consult the Fund’s website at https://oim.unjspf.org/ for a breakdown of the Fund’s assets per type of investment and additional information. Scope: The Risk Advisory Services provider will provide assistance for the overall OIM Risk and Compliance Services. Services required will be the following: A. Assessment - Initial 3 months 1. Assist on the analysis and evaluation of OIM’s existing Risk, Performance and Compliance functions compared with peer’s best practices for (i) the existing Risk, Performance and Compliance functions (Market risk (Public and Private), Credit Risk and Derivatives, EWRM - Operational Risk, External Managers, Performance, and Compliance) and the tools used by each of the functions, and (ii) the need of new functions or resources. Deliverable - The output would be a report outlining strengths and points for development and a roadmap to establish a target model for the Risk and Compliance Services and a implementation plan given the current expanded overall OIM strategy that contemplates use of derivatives, secondary lending and co-investment, as examples. The recommendations would have to consider the Fund’s characteristics and risk tolerance. 2. The consultant will review existing goals and the strategy to achieve these goals and recommend adjustments as necessary. As part of this phase, the consultant would also review current deliverables and activities and recommend additional deliverables necessary as the Fund grows and in the number of asset and sub-asset classes, and diversification. The consultant will assist in preparing the strategy documents and presentations to stakeholders. The consultant will also assist in implementing the strategy in a more granular level as it is also expected a review of the current methodology and practices and assist the Risk and Compliance team in the implementation. Deliverable - the report should include a very detailed plan for 1-year, 3-years and 5-years with the steps to accomplish the recommended strategy in agreement with the Risk, Performance and Compliance teams. B. Regular Deliverables 1. Provide assistance to the Risk team related to adoption of risk management methodologies to address public markets (equity and fixed income), private markets, currencies and derivatives risks. 2. Provide advice on the performance measurement analysis for the Risk Group related to total fund and individual asset classes; 3. Discuss the risk and performance analysis with the risk and performance on a weekly basis, highlighting imminent risks; 4. Assist the risk team on methodology to calculate Risk Budget and Risk Limits for all asset classes by region, by country, by sector and by currency. 5. Review annually the internal procedures and controls for risk management, performance, and compliance. 6. Assist with implementation of Risk, Performance and Compliance procedures for TBAs, listed derivatives and OTC and collateral valuation, including assisting the risk team with margins requirements monitoring. Also assist the Risk team in assess the current tools that are being used by the Risk and Compliance teams. 7. Review Risk Manual, the Code of Ethics, the Compliance Manual as well as related policies and procedures. 8. Assist the Compliance section with data privacy compliance services, vendor diligence services, investment portfolio oversight by providing advisory services as well as best industry practices information. 9. Assist the Compliance section with AML and CTF with compliance advisory services. 10. Provide training for the Risk and Compliance Services team on new Risk Management Methodologies and on the items mentioned above. 11. Assist on ad-hoc benchmark and asset allocation analysis. 12. Assist Operational risk officer document risk, performance and compliance processes. 13. Assist Operational Risk Officer develop key risk indicators to better measure and track operational risks. 14. Review documented fraud scenarios and advise on any gaps based on industry known fraud incidents. 15. Maintain regular communications with the Risk Group, which would include frequent video-conferences consultations as required to effectively accomplish all the services. The Advisor shall make itself available as an educational and research resource, and provide introductions to industry participants, notification of conferences, seminars and other events, and access to various specialized research publications. C. Minimum required qualifications: (a) Minimum Experience: a solid 10-year track record in providing risk management services. (b) Service providers must have a blemish free background – free of suspension, censure or any other disciplinary action by any professional, state, or national / statutory or regulatory entity. Respondents to this EOI must fulfill the above required qualifications.