investors as of December 31, 2012. The firm must carry Errors and Omissions Insurance coverage or must have applied for such coverage by the submission date of the RFP. E&O insurance will be required throughout the duration of the contract. Securities Lending At $1 billion in total market capitalization as of December 31, 2012. Minimum of 10 years’ experience in providing securities lending services for institutional tax-exempt investors. At $100 billion in securities lending lendable base for each of the last five years ending December 31, 2012. Will accept responsibility for securities lending program as a fully indemnified agent program specific to borrower default and operational negligence. The firm must carry Errors and Omissions Insurance coverage or must have applied for such coverage by the submission date of the RFP. E&O insurance will be required throughout the duration of the contract. I. CUSTODY AND SAFEKEEPING SERVICES A. Experience your firm’s lines of business. Where does custody of retirement plans fit within the organization as a service or product offering? What is the approximate revenue contribution of your Institutional Trust and Custody Business to overall company revenue in percentage terms? Are there any current organizational issues (i.e., mergers, acquisitions, personnel changes, business concerns, etc.) at your institution that we should know about? Have there been any organizational issues over the last three years? Describe in detail any potential conflicts of interest your firm may have in the custody of the SFERS account, or in the alternative, state that no potential conflicts exist, including any known relationships the organization or any staff has with any member of SFERS’s Retirement Board or staff the Systems. Respondent must list all gifts given to members of SFERS’s Board of Investments and staff within the twelve months immediately prior to the date of this RFP. Include (1) the name of the person receiving the gift, (2) the earlier of the date the gift was promised or given, (3) a brief description of the gift, and (4) the fair market value of the gift when promised or given, whichever is greater. Provide the number of your organization’s clients as categorized in the following matrix. Report aggregate values of their total assets under custody in US$ millions for periods specified. Total Tax Exempt Trust and Custody Clients Only Total Number of Clients Asset Value (US$ millions)
Asset Class Lendable Assets (US$) Percent on Loan (using a 12 month rolling average) Assets on Loan (US$) Intrinsic Spread (bps) Rebate Rate in bps (using a 12 month rolling average) Re-invest Rate (bps) Avg. Daily Spreads Net Rebate and Fees (bps) Income (US$) SFERS Share of Revenue w/ Borrower Default Indemnification (Percent) Net SFERS Securities Lending Income (US$ millions) US Large Cap Eq US Mid & Small Cap Eq U.S. Corp High Yield Mortgages U.S. Govt TIPS Non-US Equities For example: $100 million loan outstanding for one year with a 0.20% net spread and a split of 80/20 is equal to $160,000 ($100,000,000 x 0.002 x 0.80). CALCULATION WORKSHEET #3 Securities Lending Revenue Estimate Worksheet - #3 (Assume SEC Rule 2a-7 Reinvestment Guideline) Class Lendable Assets (US$) Percent on Loan (using a 12 month rolling Assets on Loan (US$) Intrinsic Spread (bps) Rebate Rate in bps (using a Re-invest Rate (bps) Avg. Daily Spreads Net Rebate Gross Income (US$) Share of Revenue w/ Borrower Default Net SFERS Securities Lending Income (US$ millions)
BlackRock – Large Cap Value Separate Dimensional Fund Advisors – Cap Commingled Fund Intech – Large Cap Growth Separate SFERS – S&P500 Tobacco Free Separate Northern Trust – Small Cap Growth Commingled Fund Profit Investment Mgmt. – Large Cap Growth Separate Quantitative Mgmt. – S&P500 Enhanced Index Separate Sands Capital Mgmt. – Large Cap Growth Separate State Street Global Advisors Separate Wellington Capital Mgmt. – Large Cap Growth Separate Convertible Securities Advent Capital Management Separate Zazove Associates Separate Non-US Equity AQR International – EAFE Core Separate Ashmore Global – Special Situations (multiple) Commingled Fund (LP) Capital Guardian Trust – EAFE Core, Growth Separate Capital International – Emerging Market Commingled Fund Causeway Capital Mgmt. – EAFE Value Separate Dimensional Fund Advisors – EM Core/Intl SC & EM SC (multiple) Commingled Fund LSV Management – EAFE Value Separate Mondrian – Emerging Markets Separate Northern Trust – EAFE Core Commingled Fund Pyramis Global Advisors – Intl SC Separate State Street Global Advisors Separate Wellington Capital Mgmt – Emerging Markets Separate William Blair – International Growth Separate Currency Overlay BlackRock Separate FX Concepts Separate Adrian Lee & Partners Separate Fixed-Income Aberdeen Asset Management, Inc. – Core Plus Separate Abry Partners, LLC (Multiple) Commingled Fund (LP) AFL-CIO – Agency Mortgages Commingled Fund Artio Global Investors – Core Plus Separate BlackRock – Commingled Fund Cerberus – Levered Loan Portfolio (Multiple) Commingled Fund (LP) FidelityRE Opportunity Income Fund Commingled Fund GMO – Emerging Country Debt Commingled Fund Emerging Market Local Currency Debt ETF Commingled Fund Internal Fixed Income – Core Separate