APPLICATION TO SUBMIT TENDER FOR A FIXED INCOME PORTFOLIO MANAGEMENT SYSTEM

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Patrick Perry
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1 APPLICATION TO SUBMIT TENDER FOR A FIXED INCOME PORTFOLIO MANAGEMENT SYSTEM 1.1 INTRODUCTION Applications to submit tenders regarding the procurement of a front office fixed income portfolio management system for AP2 (Second Swedish National Pension Fund), which was advertised in TED on the 12th of June 2013, shall be made in accordance with the procedure in this document. Please note that your application must be received by AP2 not later than the 22 nd of July 2013 in the form and with the information described in this document. 1.2 AP2 (THE SECOND SWEDISH NATIONAL PENSION FUND) AP2 is one of five buffer funds within the Swedish pension system. AP2 shall maximize long-term return at low risk. The overall target is to optimize the Swedish pension assets for which it is responsible. AP2 was established in 2001 and is based in Gothenburg. The fund had total assets of SEK billion under management as per the 31 st of December of AP2 manages more than SEK 30 billion of fixed income securities internally, mainly allocated to developed markets but increasingly also to emerging markets. 1.3 SCOPE OF TENDER AP2 requires a front office system for management and analysis of fixed income portfolios. We are looking for a system which can support investment decisions by providing quick and user-friendly ex-ante risk analysis, stress testing, portfolio optimization, back testing of strategies, and performance attribution. The risk analysis capabilities should include a multi-factor risk model for fixed income with a proven track record, and it is essential that the solution integrates seamlessly with data for our main global fixed income benchmark (Barclays Global Aggregate bond index). The solution should be able to handle both absolute and relative risk analysis and performance attribution. It should be possible to carry out simulations such as whatif/scenario analyses and stress tests and to analyse the effects of changes to positions in the portfolio, both in terms of aggregated risk and broken down on underlying risk components. 1.4 DESCRIPTION OF THE PROCESS AND TIME PLAN The process will follow the time plan below: 1. The first step of the process is the application to submit a tender. Final date for receipt of applications to tender is: 22 nd of July (6)

in TED on the 12th of June 2013, shall be made in accordance with the procedure in this document.

2 2. Final date for questions to AP2 is: 26th of June AP2 will then invite up to 5 applicants from those that meet the conditions set forth herein to submit a tender in this procurement. Not all qualified applicants may therefore be invited. Final date for invitation to tender is expected to be: 16 th of August THE APPLICATION The application to submit a tender should include: - All documents and information required in this document. - Evidence to show that the application has been duly signed by authorized signatories of the applicant. The entire application should be delivered in paper format in a sealed envelope in two original copies. Please also supply a copy on two CDs or USB sticks in the sealed envelope. The application should be sent to AP2 clearly marked with Application to submit tender Fixed Income Portfolio Management System. Applications sent by e- mail or fax will not be accepted. All documentation must be clearly marked with the title of the proposal and the name of the tenderer. The name, phone number, postal address and address of the contact person must also be clearly stated in the tender documentation on the very first page/cover page. The application should be received by AP2 not later than the 22 nd of July Please send the application documents in a sealed envelope clearly marked Applications to submit tenders Fixed Income Portfolio Management System to the following address: Second Swedish National Pension Fund / AP2 P.O. Box SE Gothenburg Sweden For hand delivery: Östra Hamngatan 26-28, Gothenburg. Applications received after the final date for receipt of applications to tender, 22 nd of July 2013, will not be considered. 2 (6)

th of August 2013. 1.5 THE APPLICATION The application to submit a tender should include: - All documents and information required in this document.

3 1.6 CONDITIONS FOR PARTICIPATION In order to qualify for participation in the tender process, the tenderers must meet both the statutory and the other conditions set out below. The application must also include the following documentation: 1. Financial statements (annual report or similar document) for the past three years. 2. A brief description of the company expressing interest in participating in the tender process and, if applicable, a description of its parent company. 3. A brief description of the portfolio management system and its capabilities in terms of risk analysis, performance attribution, portfolio optimization, and scenario analysis STATUTORY CONDITIONS The statutory requirements are stated in LOU (The Swedish Public Procurement Act; 2007:1091) Ch Any service provider may be excluded from participation in a contract who: 1. is bankrupt or is being wound up, whose affairs are being administered by the court, who has entered into an arrangement with creditors, who has suspended business activities or who is in any analogous situation arising from a similar procedure under national laws and regulations; 2. is the subject of proceedings for a declaration of bankruptcy, for an order for compulsory winding-up or administration by the court or for an arrangement with creditors or of any other similar proceedings under national laws or regulations; 3. has been convicted of an offence concerning his professional conduct by a judgment which has the force of res judicata; 4. has been guilty of grave professional misconduct proven by any means which the contracting authorities can justify; 5. has not fulfilled obligations relating to the payment of social security contributions and taxes in accordance with the legal provisions of the country in which the entity is established or with those of Sweden; 6. is guilty of serious misrepresentation in supplying or failing to supply the information that may be required above. 3 (6)

A brief description of the company expressing interest in participating in the tender process and, if applicable, a description of its parent company. 3.

4 For 1-3 the tenderer shall as proof duly certify that none of the cases quoted above applies to the tenderer and for 5, a certificate issued by the competent authority in the relevant country (For Swedish companies, form RSV 4820 is issued by the Swedish National Tax Board, should be included OTHER CONDITIONS In addition to the statutory conditions set out above, the tenderer should meet the following conditions: a. AP2 s IT-infrastructure is mainly based on Microsoft products and thus a seamless and full integration of the solution with these products must be possible. b. The solution should be possible to offer as an ASP solution accessible through internet in a secured way, c. Standard interface should be available for automated daily upload of positions and transactions in a secured way, d. The solution should have a broad coverage regarding asset classes as well as instruments. In terms of pricing and valuation, the solution should at least cover cash instruments and standard derivatives (including futures, options and swaps). Asset classes covered should include: i. Fixed income, for both developed and emerging markets ii. Credits, for both mature and emerging markets iii. Foreign Exchange, e. The risk analysis capabilities of the system should include: a. A multi-factor risk model for global fixed income, b. Value at Risk (VaR) and Expected Shortfall (ES) c. Scenario-based analyses/stress testing f. The solution should offer portfolio optimization that incorporates the multifactor global risk model and allows for historical back testing of strategies based on the optimizer. The optimizer should have a flexible objective function and should be able to target multiple portfolio characteristics such as active risk, transaction costs, and expected return, while handling linear constraints. The optimizer should be able to readily suggest trades to replicate our main benchmark (Barclays Global Aggregate index) and to match changes in the benchmark. g. The solution should provide performance attribution, combining both sectorbased attribution and factor-based attribution. 4 (6)

2 OTHER CONDITIONS In addition to the statutory conditions set out above, the tenderer should meet the following conditions: a.

5 h. The solution should offer possibilities to simulate changes in positions based on the actual portfolio, analyzing the risk implications for the portfolio i. Our main benchmark (Barclays Global Aggregate index) should be fully available within the solution on a daily frequency. j. The solution should offer the possibility to feed user defined indices. k. The solution should be able to seamlessly perform both absolute and relative exante risk analysis compared to our main benchmark (Barclays Global Aggregate index). l. The system should be able to present output on an aggregated level and offer the possibility to drill down to other levels (e.g. risk factors, asset classes, instrument types, user defined sub-portfolios, and individual positions). For these conditions, please give a short explanation proving that the requested criteria are fulfilled. 5 (6)

The solution should be able to seamlessly perform both absolute and relative exante risk analysis compared to our main benchmark (Barclays Global Aggregate index). l.

6 1.7 OBJECTIVE CRITERIA FOR CHOOSING THE LIMITED NUMBER OF CANDIDATES A limited number of candidates will be chosen based on the following objective criteria: 1. Fulfilment of conditions for participation as specified in 1.6 above. 2. The portfolio management system should have a proven track record of servicing large asset managers and institutional investors with global fixed income portfolios. In order to be able to verify these objective criteria the tenderer should submit a list of large asset managers and institutional investors who currently use the system to manage fixed income portfolios, including how long they have been using the system (only anonymised if strictly necessary). 1.8 ADDITIONAL INFORMATION Please send your questions to: fisystem@ap2.se Answers to questions that arise during the application process will be distributed via e- mail to the respective contact persons at the tenderers. The final date for submitting questions will be on the 26th of June (6)

The portfolio management system should have a proven track record of servicing large asset managers and institutional investors with global fixed income portfolios.

APPLICATION TO SUBMIT TENDER FOR AN INTEGRATED PORTFOLIO MANAGEMENT AND DECISION SUPPORT SYSTEM FOR AP2:S PRIVATE EQUITY AND REAL ESTATE PORTFOLIOS

APPLICATION TO SUBMIT TENDER FOR AN INTEGRATED PORTFOLIO MANAGEMENT AND DECISION SUPPORT SYSTEM FOR AP2:S PRIVATE EQUITY AND REAL ESTATE PORTFOLIOS 1.1 INTRODUCTION Applications to submit tenders regarding