Attachment D_QandA Worksheet-Government.pdf

# PAGE # SECTION INDUSTRY'S QUESTIONS/COMMENTS GOVERNMENT'S ANSWERS

1 9 3.1.7 and 3.2.8 In the context of a one world model, can we apply the minimum of 2,000 defaults requirement to the entire global universe (US and Foreign)?

Sections 3.1.7 and 3.2.8 of the Statement of Work (SOW) states the OCC requires, at a miminum, "The default database used to develop the public company PD model shall contain 2,000 public company defaults (regardless of geographic location of the defaulting public company) from a time period that includes at least one business cycle." This requirement explicitly states that there is no geographic restriction to the location of the defaulting company included in the default database.

2 8, 9 C.3

Would it be helpful or required by the OCC to have calculations that derive full term structures of default probabilities by employing a statistical procedure that effectively walks the predicted and explanatory variables successively apart in a series of multiple regressions over the entire historical database?

Sections 3.1.5 and 3.2.5 of the SOW states the OCC requires, at a minimum, "A 1-year term structure of default probabilities." Further, section C.3.1 of the RFQ notes that "Also, the Government will evaluate the degree to which each Quoter meets or exceeds the minimum requirements, in a manner beneficial to the Government, will be evaluated more favorably." The RFQ has no requirement regarding the specific statistical method used to calculate the term structure of PD data nor has the OCC established that a particular statistical methodolgy regarding the term structure will be evaluated more favorably. It is presumed that all methodologies used by the Contractor are statistically correct and achieves accurate PD results.

3 8, 9 C.3 Does the OCC require or find it beneficial to have model calculations that estimate unique coefficients for the explanatory variables based on the predicted variable values at each desired future period (one month, three months, 6 months, ten years forward)?

Sections 3.1.5 and 3.2.5 of the SOW states the OCC requires, at a minimum, "A 1-year term structure of default probabilities." Further, section C.3.1 of the RFQ notes that "Also, the Government will evaluate the degree to which each Quoter meets or exceeds the minimum requirements, in a manner beneficial to the Government, will be evaluated more favorably." The RFQ has no requirement regarding the specific statistical method used to calculate the term structure of PD data nor has the OCC established that a particular statistical methodolgy regarding the term structure will be evaluated more favorably. It is presumed that all methodologies used by the Contractor are statistically correct and achieves accurate PD results.

4 8, 9 C.3

Would having access to cumulative default probabilities calculations be important or required by the OCC? To give more context, default probabilities can be calculated to estimate for a given point-in-time, e.g., a specific month in future, and cumulative default probabilities which calculate the probability of default over a length of time. A cumulative default probability estimates the probability that a default will occur anytime between today and the selected maturity. Only the rigorous calculation of the full term structure of default probabilities provides the basis for the cumulative default probabilities calculation.

Sections 3.1.5 and 3.2.5 of the SOW states the OCC requires, at a minimum, "A 1-year term structure of default probabilities." Further, section C.3.1 of the RFQ notes that "Also, the Government will evaluate the degree to which each Quoter meets or exceeds the minimum requirements, in a manner beneficial to the Government, will be evaluated more favorably." Since the requirement identified in sections 3.1.5 and 3.2.5 is that the PD data sought by the OCC will come within a "term structure" context, and that the OCC will evaluate more favorably proposals where the term structure exceeds the identified 1-year minimum requirement, the OCC seeks to purchase cumulative PD data as opposed to point-in-time PD data, against which the phrase "term structure" would not apply.

5 39 B.1 Signed SF 30 : Please confirm our understanding this SF30 is not applicable as of 10.17.2023, but may yet become applicable between now and 10.31.2023

Noting the statement "Signed SF 30 (Solicitation Amendments Acceptance), as applicable", no solicitation amendment has been released to date necessitating a SF 30. Therefore, the SF 30 is currently not applicable.

6 6

Section 1 - Schedule of

Supplies/Service s

(SF) 1449 - An (SF) 1449 is not included with the current upload of documents on Sam.gov. Is the OCC expecting submission of a signed 1449 within the response packet?

The resulting SF 1449 will be required at time of award and not solicitation. Therefore, a completed and signed SF 1449 will not be required at time of quotation package submission. Refer to section B.1 of Section V of the RFQ for the contents of the quotation package and submission volumes.

7 40 B.2 and C 4.4

Factor 1 Technical Capability - "the Quoter shall propose a PD solution, non-web based, that provides PD data." Is the OCC seeking downloadable data-files only, as opposed to a web based User Interface solution? If one searches in the doc for “web” and “portal” one finds that the “solution” is supposed to be “non-web based” (4), although repeated reference is subsequently made to “Contractor’s website portal” (9-10) or just “portal” (3, 4). There are also references to “Probability of Default Data Web-based Subscription Service (12) and other Web “products,” “applications,” and “service.” Is any of this contradictory? What is a “portal” in this context?

As identified in section C.4 of the SOW, the OCC requires two methods for accessing the PD data. First, in section 4.4, the OCC requires access to the PD data through the Contractor's website. The term "portal" is used as a generic descriptor for a website owned and maintained by the Contractor that allows clients to access and download PD data.

Second, in section 4.5, the OCC requires access to the PD data through a daily transfer of PD data files via secure file transfer protocol.

8 11 C.6 (4.0) "E2-2 - No General Exceptions Authorized by OCC." Please explain what this means. Does it pertain to VPAT 508? And/or sit alongside allowance of an Addendum to the VPAT, per 'Subfactor 1 - IT Accessibility' on page 40|44?

Remove - E202 – No General Exceptions Authorized by OCC Replace - E202 – General Exceptions AuthorizedRemove - E202 – No General Exceptions Authorized by OCC Replace - E202 – General Exceptions Authorized by OC

This language does pertain to the VPAT 508 terms and conditions.

In terms of defining the meaning of E202, the OCC requires a complete VPAT to determine if an waiver would be required to proceed with procuring the solution under the terms of the E202.7 'Best Meets' exception. Additional pages (as an addendum) to the VPAT are allowed for further explanations as to any unmet requirements identified in the submitted VPAT.

QUESTIONS AND ANSWERS WORKSHEET FOR OCC PROBABILITIES OF DEFAULT DATA (2031JW24Q00007)

ATTACHMENT D - Q&A WORKSHEET (GOVT)

# PAGE # SECTION INDUSTRY'S QUESTIONS/COMMENTS GOVERNMENT'S ANSWERS

9 6

B.1.1. - Compare with Attachment

A (PriceCost Schedule)

Attachment A (Price-Cost+Schedule) refers to CLINS 0002, 1002, 2002, 3002, 4002 and 5002 as 'Optional', whereas B.1.1 in the main tender document does not refer to those CLINS as optional. Please clarify apparent discrepancy.

RFQ B.1.1 through B.1.1.5 references 3.3 of Section II, C. Description of Services for all X002 CLINs, which is identified as 'Optional Bank PD Data'. The Attachment A identifies the same CLIN structure with respect to the tasks listing. Therefore, no discrepancy found.

10 9 3.1.5

Required US Public Company PD Data - "A 1-year term structure of default probabilities".

Please expand on this requirement. For example, does the Program Office mean a 10-year PD Term Structure, a 1-year PD Term Structure, a 1 year Probability of Default, or a term structure of 1 year intervals?

Sections 3.1.5 and 3.2.5 of the SOW states the OCC requires, at a minimum, "A 1-year term structure of default probabilities." Further, section C.3.1 of the RFQ notes that "Also, the Government will evaluate the degree to which each Quoter meets or exceeds the minimum requirements, in a manner beneficial to the Government, will be evaluated more favorably." Since the requirement identified in sections 3.1.5 and 3.2.5 is that the PD data sought by the OCC will come within a "term structure" context, and that the OCC will evaluate more favorably proposals where the term structure exceeds the identified 1-year minimum requirement, the OCC seeks to purchase cumulative PD data as opposed to point-in-time PD data, against which the phrase "term structure" would not apply. It is up to each Quoter to determine the degree of granularity it will include in its proposed term structure (e.g., a 3-month cumulative PD, 6-month cumulative PD, 1-year cumulative PD, 2-year cumulative PD, 3-year cumulative PD, etc.).

11 9 3.2.5

Required Foreign Public Company PD Data - "A 1-year term structure of default probabilities," Please expand on this requirement. For example, does the Program Office mean a 10-year PD Term Structure, a 1-year PD Term Structure, a 1 year Probability of Default, or a term structure of 1 year intervals?

Sections 3.1.5 and 3.2.5 of the SOW states the OCC requires, at a minimum, "A 1-year term structure of default probabilities." Further, section C.3.1 of the RFQ notes that "Also, the Government will evaluate the degree to which each Quoter meets or exceeds the minimum requirements, in a manner beneficial to the Government, will be evaluated more favorably." Since the requirement identified in sections 3.1.5 and 3.2.5 is that the PD data sought by the OCC will come within a "term structure" context, and that the OCC will evaluate more favorably proposals where the term structure exceeds the identified 1-year minimum requirement, the OCC seeks to purchase cumulative PD data as opposed to point-in-time PD data, against which the phrase "term structure" would not apply. It is up to each Quoter to determine the degree of granularity it will include in its proposed term structure (e.g., a 3-month cumulative PD, 6-month cumulative PD, 1-year cumulative PD, 2-year cumulative PD, 3-year cumulative PD, etc.).

12 10 3.3.3

Optional Bank PD Data - "A 1-year term structure of default probabilities," Please expand on this requirement. For example, does the Program Office mean a 10-year PD Term Structure, a 1-year PD Term Structure, a 1 year Probability of Default, or a term structure of 1 year intervals?

Sections 3.1.5 and 3.2.5 of the SOW state the OCC requires, at a minimum, "A 1-year term structure of default probabilities." Further, section C.3.1 of the RFQ notes that "Also, the Government will evaluate the degree to which each Quoter meets or exceeds the minimum requirements, in a manner beneficial to the Government, will be evaluated more favorably." Since the requirement identified in sections 3.1.5 and 3.2.5 is that the PD data sought by the OCC will come within a "term structure" context, and that the OCC will evaluate more favorably proposals where the term structure exceeds the identified 1-year minimum requirement, the OCC seeks to purchase cumulative PD data as opposed to point-in-time PD data, against which the phrase "term structure" would not apply. It is up to each Quoter to determine the degree of granularity it will include in its proposed term structure (e.g., a 3-month cumulative PD, 6-month cumulative PD, 1-year cumulative PD, 2-year cumulative PD, 3-year cumulative PD, etc.).

13 10 3.3.4 Coverage requested for all active FDIC insured commercial banks. Are there any restrictions on preferred methodology to cover banks that would not be covered via a Merton Model?

Section 3.3 of the SOW does not identify any specific methodology required for calcluating PD data for U.S. banks at the charter level. Further, section C.3.1 of the RFQ does not identify any specific methodology for calculating PD data for U.S. banks at the charter level against which Quoters will be evaluated. It is presumed that all methodologies used by the Contractor are statistically correct and achieves accurate PD results.