IRELAND - The National Treasury Management Agency (NTMA) is seeking a provider of a risk measurement system for the National Pension Reserve Fund (NPRF).
In a tender notice, the NTMA confirmed the Commission of the NPRF has directed it to begin a search to acquire a risk measurement system, to be used to manage the €19.3m fund.
However, the tender showed the NTMA is also interested in "exploring" the extent to which risk measurement, performance measurement and attribution, along with compliance monitoring and data management, can be integrated alongside the existing risk system.
The NTMA also highlighted a preference for a web-based system, which would allow users to access the system through a desktop internet browser, but one that would source the transactional data directly from the fund's integrated Oracle database or from CSV interface files - which store information in tabular form and can be used as spreadsheets or data management systems.
The minimum six-month contract for the risk measurement system follows the NPRF's disappointing first quarter results for 2008, which revealed a negative return of -10.5% reduced the value of the fund by €1.8bn. (See earlier IPE.com article: NPRF falls by €1.8bn in Q1)
At the time, the NPRF said by law it must secure the "optimal total financial return" for investments, "subject to acceptable risk levels", and stated its asset allocation strategy would remain based on the expectation equities would outperform bonds over the long-term, despite some short-term "performance swings".
NPRF was established in 2001 and is designed to meet "as much as possible" of the costs of social welfare and public service pensions from 2025 onwards, and as a result receives an annual investment of 1% of GNP.
At present, the fund's strategic target asset allocation for the end of 2009 is 66% in equities, 10% in private equity, 8% in property, 2% in commodities and 14% in bonds and currency funds, although the NPRF recently confirmed its intention to review its socially responsible investing (SRI) policy in light of the Irish government's decision against the production of cluster bombs. (See earlier IPE.com article: Irish effort forces NPRF to review SRI)
Closing date for applications to provide the risk measurement system is July 21 2008.
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