New Mexico Public Employees Retirement Association, Santa Fe, is expected to launch an RFP for a custodian on Sept. 2, said Jonathan Grabel, chief investment officer for the $14.5 billion pension fund.
J.P. Morgan Chase is the incumbent and is it invited to rebid. The board is launching the RFP to see what other custody banks are available.
Separately, the board is expected to launch RFPs for fixed-income managers in October as part of an implementation plan for the pension fund's new asset allocation, which was approved in May. The new asset allocation adds a 5% allocation to credit it calls “fixed income plus.”
The number of managers and the scope and size of each mandate is to be determined.
The RFPs will be available on the pension fund's website.
As part of its preliminary implementation plan and timeline, the board will be reviewing its domestic equity portfolio in September and its international equity portfolio in November. The board will look at existing managers for ways of implementing the new asset allocation, which cut domestic equity to 21.1% from 29% and bumped up international equities to 24.8% from 20%. The equity reviews could result in RFPs.
The board is also working with its hedge fund consultant, Cliffwater, searching for redemption terms and conditions for its absolute-return managers. The pension fund's new asset allocation cut absolute return to 4% from 7%.