Asset liability management study in order to assist the Secretary-General and the Pension Fund

1. Purpose The United Nations Joint Staff Pension Fund (UNJSPF) is seeking to contract for an asset liability management study in order to assist the Secretary-General and the Pension Fund in developing an optimal long-term strategic asset allocation for the Fund’s investments. The study should include stochastic projections of its key variables, setting forth the implications of possible adjustments to the current long term strategic asset allocation, including all appropriate asset classes and global diversification. 2. Background UNJSPF is a traditional final average pay defined benefit pension plan that provides retirement, death, and disability benefits to the staff of the United Nations and its other member organizations on a global basis. The operations of the Fund are unique in that it services over 121,000 active participants employed by the UN and its 23 other member Organizations and over 68,000 beneficiaries residing in 190 countries. Benefits are also paid in 15 currencies. The plan design also includes an optional two-track feature designed to track the monthly benefit in local (non-US) currencies against the $US benefit, including an inflationary adjustment, and pay the larger benefit subject to certain limitations. This feature is designed to create a more stable benefit value for the participant in local currency. In accordance with the Regulations adopted by the General Assembly, the Fund is administered by the United Nations Joint Staff Pension Board that has been established as a subsidiary organ of the General Assembly of the United Nations and a staff pension committee for each member organization and a secretariat to the Board and to each such committee. The Chief Executive Officer is responsible for managing the Fund, under the authority of the Pension Board, which in turn reports to the General Assembly. The UNJSPF is an internally managed fund, with $50 billion under management. The Secretary-General of the UN has the fiduciary responsibility for the investment of the assets of the Fund. The Secretary-General has delegated his fiduciary responsibilities to a senior UN official referred to as the Representative of the Secretary-General for the Investments of the UNJSPF (RSG). The RSG has delegated much of the operating responsibility for the management of the investments and the administration of the assets of the Fund to the staff of the Investment Management Division. 3. Scope of Services 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 and to recommend a long-term asset allocation strategy(ies) that would optimize UNJSPF asset growth in the context of the Fund’s liability, risk appetite and risk tolerance. In that context, the ALM Study should also identify suitable asset classes for the UNJSPF and specify a long-term target weight for each asset class, focused on both broad asset classes and their underlying strategic investment segments. It should provide analysis on the adequacy of the Fund’s contribution rate and the potential risks of under and over funding within the long term asset allocations strategies recommended, as well as under the current strategic asset allocation. The specific items to be covered in the study will be included in the RFP Statement of Work.