Attachment 1 - Performance Work Statement_2022.doc

Attachment 1-Performance Work Statement (PWS) Investment Consulting Services

PERFORMANCE WORK STATEMENT (PWS)

1.

INTRODUCTION/BACKGROUND:

The objective of this performance work statement (PWS) is to obtain support to provide Investment Consulting Services (ICS) to the Department of Energy (DOE), Office of the General Counsel, Office of Standard Contract Management (OSCM) regarding strategy and investments in the Nuclear Waste Fund (NWF or ‘the Fund’).

This contract is to provide support to the DOE Investment Manager with the purpose of assisting the manager in making appropriate investments for the Fund. The DOE regularly invests fee income and portfolio interest and maturing securities. The investment manager, a U.S. government employee, selects appropriate investments for this available cash. The DOE is restricted to investments in U.S. Treasury Securities. No other asset allocation (e.g. equities, corporate bonds), nor any derivatives (e.g. options) is permitted as part of any investment strategy.

The NWF’s Investment Manager provides the OSCM management, and occasionally, outside agencies, requested information such as reports on Funds status and trends. Additionally, the Investment Manager provides for OSCM senior management’s consideration investment policies, objectives, strategies and performance and the operational results of the Fund.

2.

TECHNICAL REQUIREMENTS:

The purpose of this contract is to support the NWF Investment Manager, and OSCM, in the Manager’s decision-making process.

This support consists of the following components:

A. Maintain a database of NWF securities. The database should track each security listed, with the date of purchase and have the market value updated daily using the daily market prices. The database should have transaction information for each security.

B In addition, the database should have the following information about each security:

i. Security CUSIP number

ii. Lot number, if more than one purchase

iii. Par amount

iv. Coupon

v. Maturity

vi. Workout date, or expected call date

vii. Purchase Yield to Maturity

viii. Duration

ix. Market Price

x. Market Value

C. Maintain a database of NWF liabilities. Updated Gross Liabilities will be provided as available. Net Liabilities should reflect Gross Liabilities less expected fee income. Expected fee income will be provided by OSCM. Gross Liabilities will be in either nominal dollars or in real dollars.

The Gross Liabilities, using nominal costs, should be valued using the zero-coupon Treasury bond yield curve. The Gross Liabilities, using real costs, should be valued using the TIPS yield curve.

The database should be web-accessible to OSCM staff and allow a user to develop asset liability reports, such as comparison of assets and liabilities by duration segment.

D. Provide monthly recommendations for specific NWF securities that DOE could purchase to meet their strategic goals. Analysis should include specific securities that NWF could invest in to meet strategic objectives.

E. Maintain access to a financial markets reporting service, such as Bloomberg.

F. Provide monthly market summary of bonds held by the Nuclear Waste Fund or under consideration for purchase, as requested by OSCM.

G. Conduct three to five short term studies (e.g. review the effect on current asset allocation of limited changes in OSCM liabilities, or describe the investment opportunities to NWF from availability of new 30 year bond issue)

H. Provide annual or semi-annual review of overall NWF investment strategy. This strategy review would involve a review of the status of portfolio surplus, and also discussion of the degree of interest rate and inflation risk in general.

I. Respond to information queries from OSCM (e.g. what investment actions, such as purchase of TIPS, can be taken to minimize the impact of changes and uncertainties in the liability structure; how do changes in Treasury bond market conditions affect investment strategy or tactics.)

3. DELIVERABLES:

A. Asset Sale/ Purchase Recommendation: Due monthly on the 20th of each month or within two working days after receipt from the OSCM of a report on changes in portfolio holdings during the previous month and expected cash flow in the ensuing month.

Deliverable description: Each month, the contractor will be expected to provide a list of one or more securities that could be purchased or sold to meet asset liability matching requirements.

B. Market Pricing Report: due monthly on the 20th of each month:

Deliverable description/ format: The market pricing report should contain all information on securities described in Section 2.A. and be updated within one day after receipt from OSCM of a report on changes in portfolio holdings during the previous month. Report should list all the securities held by the NWF. The information should be available for download from the Contractor website on a daily basis and accessible to the OSCM Portfolio Manager. The contractor must notify OSCM of any changes to the website in order to ensure that all OSCM data input formats stay consistent with the contractor’s website.

C. Strategy Presentation and Report: due semi-annually; specific timing to be agreed by OSCM.

Deliverable description: The strategy report should include a discussion of the status of the portfolio (including value of holdings, present values of liabilities, and duration calculations) and degree to which portfolio is meeting liability matching or other strategy objectives. Report should be in MS WORD, and Power Point or pdf file, both soft and hard copies. Presentation should be made in person at DOE headquarters in Washington, DC.

D. Short Term Studies: The other work that the Investment Consulting Services contractor may be asked to support include Fee Adequacy Studies and Investment Policy Changes for a variety of questions from outside Agencies and DOE auditors.

4.

OTHER APPLICABLE DOCUMENTS:

None

5. GOVERNMENT FURNISHED EQUIPMENT:

None 6.

PLACE OF PERFORMANCE:

The selected contractor shall perform work at contractor facilities and be available to meet with OSCM located in Washington, DC.

7.

PERIOD OF PERFORMANCE: The period of performance shall be from January 16, 2023 – January 15, 2028.

8.

SECURITY REQUIREMENT: All work, which is performed relative to the tasking identified in this SOW, is unclassified. OSCM will provide necessary security clearance badges in order for contractor to obtain Building Access Badges.

9.

TRAVEL: Contractor’s travel costs and Other Direct Charges are included in the fixed price and will not be reimbursed. Approximately two round trips to Washington, D.C. per fiscal year are anticipated (two to three person/trip x 2 trips per year) are expected.

Costs for additional non-local travel shall be reimbursed subject to DOE approval.

10.

MONTHLY PROGRESS, STATUS AND MANAGEMENT REPORTS:

See #3.

11.

OSCM TECHNICAL POINT OF CONTACT:

Name:

To be announced prior to award