20_Solicitation - Attachment 9D - TPIMS Future State Requirements.xlsx
XLSX spreadsheet 31 KB Posted
- Attached to
- Transformational Pension Insurance Modeling System (T-PIMS) Federal contract opportunity
- Solicitation number
- 16PBGC21R0010
- Issued by
- Pension Benefit Guaranty Corporation
About this file
This document outlines requirements for the Transformational Pension Insurance Modeling System (T-PIMS) project. The Pension Benefit Guaranty Corporation seeks to establish an Indefinite Delivery Indefinite Quantity contract with a single award to cover modernization, enhancement, operations and maintenance, and actuarial support services over 10 years. The first task order requires modernization of T-PIMS to be a cloud-hosted system meeting the provided business and technical blueprint, with delivery within 27 months of contract award. T-PIMS must allow faster runtimes with more simulations and a larger set of input data than the existing system. It should also be adjustable to meet technical assistance requests. The contractor will be responsible for full lifecycle systems work to increase efficiencies and reduce long-term costs.
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Text version
TPIMS MVP
RFP 16PBGC21R0010, ATTACHMENT 9D - PBGC SE PIMS Future State Requirements - TPIMS MVP
| ID # | Component | Subcomponent | Name | Description |
| 1 | Source Data | Data Entry | Data Entry Studies | The system shall include a framework to periodically perform data entry studies on the sensitivity of the model to inclusion of plan-specific attachment data |
| 2 | Source Data | Data Entry | Data Entry | The system shall be capable of importing all applicable data sources, with the implementation of automated collection of plan and economic data and potential use of optical character recognition around plan-specific reporting templates, at PRAD's request |
| 3 | Source Data | Data Processing | Plan Sample Size | The system shall enable runs of at least a 1,000 SE plan sample |
| 4 | Source Data | Data Processing | Plan Bundling | The system shall allow for bundling of multiple plans into synthetic "plan sponsors" based on plan or sponsor characteristic (e.g. industry, credit rating, plan size) |
| 5 | Data Management | Data Governance | Automated Data Validation | The system shall include procedures and tools to enable automated data validation within the modeling process |
| 6 | Data Management | Data Governance | Quality Control | The system shall include automated data quality checks and edits processes to assess reasonableness of ranges, flag irregular plan or financial movement, and reject invalid data |
| 7 | Data Management | Data Transfer | SFTP Service | The system will feature secure file transfer protocol (SFTP) services to securely transfer data and relevant files between environments throughout the modeling process |
| 8 | Cloud Infrastructure | Cloud Environment | Cloud Provider | The system shall be hosted in a Federal Risk and Authorization Management Program (FedRAMP) certified cloud environment, OIT has indicated this will be Microsoft Azure |
| 9 | Cloud Infrastructure | Roles and Responsibilities | User Roles | The Blueprint for the system shall define user-specific roles and responsibilities. The system should have one user interface, with different access controls for different user roles. |
| 10 | Cloud Infrastructure | User Interface | User Interface | The user interface shall include data management, parameter selection, model execution, outputs, and data visualization |
| 11 | Cloud Infrastructure | Production Environment | Production Controls | The production model will include appropriate financial system and modeling controls to lock core calculations and data process, allowing users to only adjust model input parameters |
| 12 | Cloud Infrastructure | R&D Environment | R&D Mirror | The system shall include capabilities to spin up on-demand production mirrors (research and development (R&D) containers), which can be used for quick-turn requests, technical assistance queries, experimentation, recalibration, and refinement of sub-modules. Users will have additional permissions in this environment to adjust model calculations and override assumptions, beyond normal parameter adjustment roles |
| 13 | Cloud Infrastructure | Scalability | Distributed Computing | The system shall leverage cloud-based distributed computing and parallel processing solutions (e.g., microservices, containers) to decrease runtime while increasing the number of stochastic runs |
| 14 | Cloud Infrastructure | Installation Management | Installation Management | The system shall have approved applications and processes to support installation management, event logging, and event tracking |
| 15 | Cloud Infrastructure | Data Mart | Reporting | The system shall have a reporting data mart to store model outputs, results, audit trail parameters, and run logs |
| 16 | Cloud Infrastructure | API | API - Internal | The system shall include application programming interface (API) services to share data within PBGC systems and reporting applications |
| 17 | Cloud Infrastructure | Audit Trail | Output Logs | The system shall enable audit-trail considerations, including an output and log of all parameters used in a given run |
| 18 | Cloud Infrastructure | Audit Trail | Data Lineage | The system shall be designed in a transparent fashion, enabling users to trace results back through intermediate datasets to input and source data |
| 19 | Cloud Infrastructure | ITSLCM | Change Control Processes | The system shall maintain Information Technology Solutions Life Cycle Management (ITSLCM) approved controls around code updates and change request processes |
| 20 | Cloud Infrastructure | ITSLCM | Promotion of Experimental Analytics | The system shall follow approved ITSLCM processes to promote experimental code from R&D or analytics environments into and production |
| 21 | Cloud Infrastructure | Documentation | Systems Documentation | The system shall maintain infrastructure documentation describing all systems, sources, processes, controls, users, critical-to-quality (CTQ) metrics |
| 22 | Cloud Infrastructure | Documentation | Documentation Updates | System documentation shall be updated as relevant changes requests and system updates warrant. Additionally, an annual review of systems documentation will be performed to confirm it is in line with current processes |
| 23 | Core Model | Model Design | Modular Model Design | The model shall be developed with a Modular Model Design, de-coupling components into executable submodules |
| 24 | Core Model | Model Design | Language Selection | The core modeling application shall be programmed in Python |
| 25 | Core Model | Model Design | User-Defined Population Runs | The system shall enable the user to select individual plans, sponsors, or industries to run in R&D scenarios |
| 26 | Core Model | Model Theory | Bankruptcy Model | The system shall include a modernized bankruptcy model and credit rating methodologies, tested against historical institution performance and credit rating migration trends |
| 27 | Core Model | Model Theory | Economic Modeling - Stochastic Simulations | The system shall increase the numbers of runs in a stochastic run to 10,000 scenarios |
| 28 | Core Model | Model Theory | Present Value Model | The core actuarial model shall use plan level data and economic & bankruptcy scenarios in order to project future PBGC claims, premium income, and net position in accordance with PRAD methodology. |
| 29 | Core Model | Model Theory | Economic Modeling - Tail Risk | The system shall supplement the stochastic economic simulation engine with a series of deterministic scenarios focused on tail-risk (downside risk). Tail risk scenarios will be benchmarked against 3rd party tail-risk scenarios to aid interpretability and reasonableness (e.g., the Federal Reserve Board's Comprehensive Capital Analysis and Review (CCAR) scenarios) |
| 30 | Core Model | Parameters and Assumptions | Parameter Flexibility | The core model shall include a centralized master control where users can easily identify and adjust model input parameters |
| 31 | Core Model | Parameters and Assumptions | Calculation Complexity | The system shall enable users to select between different levels of complexity in underlying equations and assumptions. Simplified (e.g., global or flat assumptions) and more granular (e.g., more complex mathematics or firm-specific calculations) calculations will be available for core PIMS functionality. |
Examples of where this may apply include, but are not limited to:
● Benefits formulas
● Asset return and capital markets modeling
● Wage and salary growth
● Discount Rates
● Variable Rate Premiums
● Risk Transfers
● Plan Contribution policies
● Interest Rate Stabilization
| 32 | Core Model | Parameters and Assumptions | Starting Valuation Assumptions | The core model shall include calendar year and fiscal year results |
| 33 | Core Model | Parameters and Assumptions | Mortality Tables | The system shall enable the user to select from an array of approved mortality assumptions, or input their own in R&D environments |
| 34 | Core Model | User Support | Training | The system shall be supported by training materials to support transparency, interpretability, and enable PRAD to train new users |
| 35 | Core Model | User Support | Help Functions | The core model shall include help functions (e.g., help popups) within the PIMS application to assist users in troubleshooting, understanding methodologies, and identifying relevant correlated or dependent variables |
| 36 | Core Model | Model Governance | Model Documentation | The model, input assumptions, and component submodules, shall be captured in a full suite of documentation, which includes, but is not limited to: model whitepapers, standard operating procedures (SOPs), process flows, business requirements, model testing plans, model control documents. |
| 37 | Core Model | Model Governance | Documentation Updates | Model documentation shall be updated as relevant model updates are pushed into production. Additionally, an annual review of model documentation will be performed to confirm it is in line with current processes |
| 38 | Core Model | Model Governance | Model Testing Framework | The system shall include an annual model testing framework (e.g., back testing, benchmarking, sensitivity analysis) which will include tests applicable to component submodules (e.g., bankruptcy and economic forecasting) as well as overall valuation engines |
| 39 | Core Model | Model Governance | Model Risk Management Framework | Models within the system will be built and maintained in compliance with PRAD model risk management polices and industry best practices (e.g., Supervisory Letter SR 11-7) |
| 40 | Core Model | Model Governance | Sunsetting Legacy Code | The model will undergo annual code reviews to identify and retire unnecessary or legacy code, as well as identify areas to improve coding efficiency |
| 41 | Reporting & Analytics | Standard Reporting | Projection Report Model Exhibit Tables | The system shall automatically produce PIMS Projection Report Exhibit Tables, including spare fields for ad hoc outputs. This function should be integrated with the data visualization tool. |
| 42 | Reporting & Analytics | Standard Reporting | Intermediate Reports | The system shall output a series of reports detailing intermediate results and calculations to support PRAD review |
| 43 | Reporting & Analytics | Standard Reporting | Scenario Reports | The system shall output a series of reports describing the econometric scenarios and key trends influencing the run to support PRAD review |
| 44 | Reporting & Analytics | BI Tools/Dashboarding | Data Visualization Tool | The system shall include a data visualization/business intelligence (BI) dashboarding application |
| 45 | Reporting & Analytics | BI Tools/Dashboarding | Drill-Down Capabilities | The system shall provide drill-down/filtering capabilities to subset results by plan, sponsor, and industry |
| 46 | Reporting & Analytics | BI Tools/Dashboarding | Table View Capabilities | The dashboarding application shall include table views, which allow results and reports to be exported into Excel workbooks for end-users |
| 47 | Reporting & Analytics | BI Tools/Dashboarding | Ad Hoc Reporting | The system shall enable users to create and define ad hoc reports based on model results |
| 48 | Reporting & Analytics | Self-Service Analytics | Analytics Environment | The system shall have a self-service analytics environment for users to derive new insights and perform experimentation |
| 49 | Reporting & Analytics | Self-Service Analytics | Analytics Tools | The self-service analytics environment shall include Python in addition to Excel |
| 50 | Reporting & Analytics | Federal Compliance Standards | 508 Compliance | The system's reporting and analytics environment shall be Section 508-compliant |
| 51 | Security | System Security | Permissions | The system shall be configured with role-based security controls and permissions |
| 52 | Security | System Security | Authentication | The system will feature authentication and verification security controls |
| 53 | Security | Federal Compliance Standards | FISMA | The system shall meet Federal Information Security Management Act (FISMA) standards |
TPIMS Enhancements PBGC SE PIMS Future State Requirements - TPIMS MVP
| ID # | Component | Subcomponent | Name | Description |
| 1 | Core Model | Model Design | Risk-Based Premiums | The system shall be built with flexibility/functionality to run Risk-Based Premium scenarios for research purposes |
| 2 | Core Model | Model Theory | Plan-Level Cash Flow Model | The system shall include a parallel model driven by plan-level liability cash flows. The Cash-Flow model will be calibrated to a run of the Core Model, but use simplified cash-flow assumptions as a more efficient tool for analysis that does not require a full stochastic run. The Cash-Flow model may also be used to develop PBGC-trusteed plan cash flows. |
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