Asset Liability Management model

Descriptions

Border to Coast offers investment propositions across Public and Private asset classes that

deliver investment opportunities and management to our Partner Funds. As part of our

strategic plan, we intend to expand our range of services for our Partner Funds. A key

capability is to enable us to support Partner Funds with their SAA and Portfolio Construction

decisions. Therefore, we aim to procure an Asset Liability Management (ALM) model to

support the efficient implementation of these new capabilities. The ALM model will support

evaluation of scheme investment strategy and risk management, strategic investment

planning, asset allocation, and scenario analysis. The core functionalities and modules of the

ALM are expected to include Economic Scenario Generator and Capital Market Assumptions,

capable of accurate representation of Partner Funds underlying asset classes and investment

strategies, stochastic ALM projections and stress testing, and comprehensive reporting

modules. The ALM model will utilize the current scheme actuaries' liability data as input.

The contract will cover a 6-year period, followed by a review, with the expectation that if

satisfied, the contract will be extended for another 3 years (therefore 9 years in total).