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

1. Purpose The United Nations Joint Staff Pension Fund (UNJSPF) seeks a qualified service provider to conduct an Asset Liability Management (ALM) study. This study will assist the Secretary General and the United Nations Joint Staff Pension Board in managing the Fund’s investments, funding obligations, and long term solvency. The UNJSPF regularly conducts ALM studies to supplement actuarial valuations and guide strategic investment and risk governance decisions. 2. Background The UNJSPF is a defined benefit pension plan established by the United Nations General Assembly to provide retirement, death, disability, and related benefits to United Nations staff and other participating organisations. 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 organisations, and reports to the General Assembly. The Secretary General holds fiduciary responsibility for the Fund’s investments and has delegated this duty to a designated Representative. The Office of Investment Management (OIM) supports the Representative in managing the Fund’s investments. The Fund maintains a globally diversified portfolio and operates within an international governance framework that reflects the global distribution of its participants and the long term nature of its liabilities. As of 31 December 2025, the UNJSPF is a large global defined benefit pension plan with a geographically diverse participant and beneficiary base and significant assets under management. Although the Fund’s base currency is the United States dollar, benefit payments and investment exposures involve multiple currencies, reflecting its international membership and long term liabilities. UNJSPF investments are diversified across asset classes, regions, and currencies, and are managed according to the Fund’s Investment Policy Statement. 3. Scope of Services The selected service provider shall conduct a comprehensive Asset Liability Management (ALM) study using stochastic projections of the UNJSPF’s assets and liabilities over long term horizons. The study will evaluate how key investment, funding, and risk decisions impact the Fund’s long term financial condition and sustainability. The ALM study is expected to include, at a high level: 1. Evaluation of the Fund’s current and alternative asset allocations, with the objective of assessing long term risk return trade offs in the context of the Fund’s liabilities and risk appetite; 2. Development and assessment of long term strategic asset allocation(s), together with a reference portfolio framework intended to serve as a long term policy anchor; 3. Analysis of whether the Fund’s long term investment return assumptions remain reasonable under a range of modelled outcomes; 4. Assessment of the likelihood that contribution requirements remain consistent with the Fund’s funding objectives over time; 5. Evaluation of funded status and solvency outcomes under a range of economic, financial, and demographic scenarios; and 6. Identification and assessment of key long term financial risks relevant to the Fund, including market, inflation, currency, liquidity, and other balance sheet risks. The study should also include advanced analytical approaches such as factor based portfolio and risk decomposition, sensitivity and scenario analysis, and clear documentation of assumptions and methodologies to support governance review. The Fund may, as needed, require the selected service provider to undertake follow-up asset-liability management (ALM) analysis after completion of the initial study, and/or following a subsequent review of the Fund’s plan design and/or governance framework. The service provider may also be requested to perform additional ad hoc analytical work within the agreed ALM framework. Any such follow-up or ad hoc assignments should be done under the existing contract, subject to prior written request by the Fund and in accordance with the agreed scope, methodology, deliverables, timelines, and applicable contract terms, without the need for a separate procurement process. Specific Requirements/Information 1. Qualifications The selected vendor must have the professional qualifications and proven experience required to perform these services. This includes significant experience in asset-liability modelling for large institutional or public-sector defined benefit pension funds, as well as strong technical expertise in investments, capital market assumptions, and long-term risk analysis, including reference portfolio design. The UNJSPF recognises that no single firm may have all the required expertise and will consider joint expressions of interest from firms with complementary actuarial and investment capabilities. 2. Timescales The anticipated timeline for completing the ALM study aligns with the Fund’s governance and reporting cycle. The final report should be delivered in time to support the Board's and committees' deliberations in July 2027. Further details on timelines and interim deliverables will be provided in subsequent solicitation documents.