the financial services regulatory authority (fsra) is seeking the services of a consulting firm to provide a comprehensive financial and risk analysis of the pension benefits guarantee fund (pbgf) in order to evaluate the pbgf`s long-term sustainability considering the pbgf assessment levels, industry risks, the de-risking trend and consolidation activity in the pension sector.
scope of work
phase 1 deliverables
1. identify and articulate risks facing the long-term sustainability of the pbgf. seek agreement with fsra regarding these risks before further modelling and analysis is undertaken;
2. project liability cash flows under a range of risk scenarios and stress events (moderate and severe) to articulate a range of possible outcomes and probabilities;
3. determine sufficiency of current reserves, reserves required and margins for adverse deviations;
4. recommend ways to project adequacy of reserves and appropriate cycle to perform this type of formal financial, actuarial and risk analysis;
5. based on the range of outcomes and the objective for the pbgf to be independently self-sustaining, propose possible mitigation strategies including alternative pbgf benefit coverage formulas, different pbgf assessment formulas and assessment levels, a more appropriate return-seeking investment strategy (phase 2), and ways to address insufficient reserves, if the current level is deemed insufficient.
phase 2 deliverables
1. recommend the appropriate balance between capital protection and return seeking for the pbgf fund, considering the analysis performed in phase 1 and the need for the pbgf to be independently sustainable;
2. define risk appetite in terms of tolerance for increases in pbgf assessments, and the need for an independently sustainable pbgf;
3. projected liability cash flows under a number of stress events (moderate and severe) to inform asset cash flows and liquidity requirements;
4. liquidity requirements under moderate and severe scenarios;
5. strategic asset allocation to meet projected liability cash flows under moderate and stress scenarios, including asset class characteristics such as duration and quality;
6. benchmark recommendations and risk-adjusted return objectives.
all amendments to the associated notice, including amended documents, plans and specifications (where applicable), are issued by the originator of the notice. merx asks you to contact the buying agency directly for these amendments. merx stipulates that potential bidders may also be required to register with the buying authority as a bidder/plan taker. the contact information can be found within the main tender document and/or on this notice abstract.