Attachment A - Statement of Work.pdf

RFQ FHF-23-Q-0093

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ATTACHMENT A - STATEMENT OF WORK

ABS/MBS LOAN LEVEL DATASET

BACKGROUND

The Federal Housing Finance Agency (FHFA) was created by the Housing and Economic Recovery Act of 2008 (HERA) to regulate and supervise Fannie Mae, Freddie Mac, the 11 Federal Home Loan Banks, and the FHLBanks’ Office of Finance (together, the Regulated Entities). HERA combined three organizations, the Office of Federal Housing Enterprise Oversight, the Federal Housing Finance Board, and a group from the Department of Housing and Urban Development, which collectively had previously regulated these entities. These institutions play critical roles in supporting our nation’s housing finance system. Fannie Mae and Freddie Mac guarantee mortgage-backed securities (MBS) and hold mortgages and MBS for investment. The Federal Home Loan Banks lend money to banks and other financial institutions using mortgages as collateral and invests in mortgage-related assets. In 2008, FHFA placed Fannie Mae and Freddie Mac in conservatorships, where they remain.

The primary function of the FHFA is to ensure the capital adequacy and the financial safety and soundness of the Regulated Entities; and to ensure that they discharge their housing finance mission. Additional information on FHFA and its mission can be found at:

https://www.fhfa.gov.

Since the mid-2000s, FHFA has licensed for the use of an Asset Backed Security/Mortgage Backed Security (ABS/MBS) Loan Level Dataset. The data, which includes loan level industry-wide origination and performance information for the subprime and jumbo loan mortgage market, has been used for modeling and monitoring the current and projected financial credit risk exposure of the Federal Home Loan Banks and the Enterprises’ investments in private label securities (PLS) deals. More recently, the ABS/MBS Loan Level dataset has been used to analyze refinance opportunities for mortgages financed with private-label MBS.

FHFA’s current data license with CoreLogic Solutions, will expire on September 30, 2023.

SCOPE

During the base period, the contractor will supply a historical ABS/MBA Loan Level Database and will also supply monthly ABS/MBA Loan Level Database updates incorporating the most recent performance information.

• Within 14 business days of contract award, the contractor shall supply:

o a historical data file containing pool and deal, static and dynamic loan level data, for at least 98% of ABS/MBS securities issued. As noted in the Scope section, the data shall be provided in SAS, CSV, or TXT format and shall be provided to FHFA on CD, DVD, or through an FTP site.

o the data dictionary (and any other supporting material) for the data fields provided.

• Contractor shall provide monthly updates. Updates shall be provided to FHFA by the 5th https://www.fhfa.gov/

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• On an as needed basis, contractor experts shall answer FHFA’s data-related questions.

Such answers must be provided within two business days.

• Contractor shall resolve any data-related problems (e.g., inconsistent formatting, corrupt files) within four business days.

Basic Data Elements and License Requirements

The contractor is required to provide a dataset that covers at least 98% of non-agency market, with the fields of static and monthly performance information specified below. All the loans in the dataset are collateral in non-agency, publicly-placed mortgage backed securities. Historical data goes back to 1992.

The contractor must provide the information for all PLS the dataset covers in the following 4 areas:

Pool and Deal information

1) Time Period of the Record

2) Pool Name

3) Total number of loans in pool (includes paid loans)

4) Current active number of loans in pool

5) Unique ID for each pool

6) ID for each deal

7) Unique ID for data processing group

8) Current actual principal balance

9) Current investor principal balance

10) Data Source Full Name

11) Issuer name

12) Full Deal name

13) Deal closing date (YYYYMMDD)

14) Lead Underwriter name

15) Collateral type (ABS or MBS)

Static Loan Information

1) Unique ID for each pool

2) ID for each deal

3) Unique Loan ID (lower and upper case alphabetic)

4) Unique Extended ID

5) Collateral type (ABS or MBS)

6) Loan number provided by data source

7) US Postal ZIP Code for the property

8) Property State

9) Property Type

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10) Number of units

11) Occupancy Status

12) Origination Date (YYYYMMDD)

13) Maturity date or last due date of the loan (YYYYMMDD)

14) First payment due date for the loans (YYYYMMDD)

15) Loan origination amount

16) Balance as of deal closing date

17) Interest rate as of deal closing date

18) Property sale price

19) Property appraisal value

20) Product type

21) Original stated loan term in months

22) Initial or original interest rate as of the loan's first payment date

23) Back-end debt-to-income ratio number one as provided by data source

24) Front-end debt-to-income ratio number two as provided by data source

25) Loan Type

26) Loan Purpose

27) Payment frequency

28) Loan source

29) Buydown

30) Loan documentation level

31) PMI Issuer code (see attached decode list)

32) Convertible flag

33) Pool insurance

34) Recourse

35) Original loan to value (LTV) ration

36) Servicer fee rate

37) Negative amortization flag

38) Negative Amortization limit

39) Index ID

40) Margin for adjustable rate loans

41) Periodic interest rate cap for adjustable rate loans

42) Periodic interest rate floor for adjustable rate loans

43) Periodic pay cap for adjustable rate loans

44) Periodic pay floor for adjustable rate loans

45) Maximum lifetime interest rate for adjustable rate loans

46) Minimum lifetime interest rate for adjustable rate loans

47) Rate reset frequency in months for adjustable rate loans

48) Pay reset frequency for adjustable rate loans

49) # of monthly payments for which the initial interest rate is fixed for adjustable rate hybrid loans.

50) # of monthly payments for which the initial principal and interest rate payment is fixed for adjustable rate hybrid loans.

51) Amortization Term

52) FICO Score at origination

53) Lien Position

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54) Paper Grade as received from data source

55) Prepay Penalty

56) Prepay Penalty Term in Months

57) First Rate Cap

58) Mortgage insurance coverage percent at origination

59) Dollar value of pledged assets at origination on pledged asset loans, sometimes called additional collateral loans.

60) "Effective" LTV of loan after taking into account pledged assets.

61) LTV of first lien

62) LTV of second lien

63) Combined LTV of all liens on the loan at security issuance as provided from data source.

64) Servicer of the loan at security issuance

65) Originator of the loan

66) # of monthly payments to recast

Dynamic Loan Information

1) Time Period of the Record

2) Unique ID for each pool

3) ID for each deal

4) Unique ID for data processing group

5) Code to identify servicer

6) Unique Loan ID (lower and upper case alphabetic)

7) Unique Extended ID

8) Collateral type (ABS or MBS)

9) Last paid interest (YYYYMMDD)

10) Current actual principal balance

11) Current interest rate of the loan

12) Total payment due

13) Scheduled principal portion of the Scheduled monthly payment

14) Scheduled monthly mortgage principal & interest payment

15) MBA method delinquency status for this loan for this month

16) OTS method delinquency status for this loan this month

17) 12 mo. floating MBA_STAT delinquency history

18) Foreclosure start date (YYYYMMDD)

19) Foreclosure end date (YYYYMMDD)

20) Payoff date (YYYYMMDD)

21) Reason the loan balance went to zero

22) REO date (YYYYMMDD)

23) Current scheduled or Investor balance

24) Interest rate at next reset for adjustable rate loans

25) Loss Amount

26) Net Pass Through rate

Loan Modification Information

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1) Unique ID for each pool

2) ID for each deal

3) Unique Loan ID (lower and upper case alphabetic)

4) Unique Extended ID

5) Collateral type (ABS or MBS)

6) Loan Modification Date (YYYYMMDD) Actual payment modification date

7) Temporary Interest Rate Reduction Flag (Y/N)

8) Scheduled loan balance as of the monthly cutoff date (ending scheduled balance)

9) Ending Actual loan balance as of the monthly cutoff date

10) Date first payment due under modified terms (YYYYMMDD)

11) Capitalization occurred (Y/N)

12) Total $ added or subtracted to loan prior to modification to get MOD_BAL

13) Total loan balance after modification

14) Interest rate after modification

15) Margin after modification

16) Periodic rate cap after modification

17) Lifetime rate cap after modification

18) Monthly P&I payment after modification

19) Maturity date after modification (YYYYMMDD)

20) Interest rate reset frequency after modification (in # of months)

21) First rate reset date after loan modification (YYYYMMDD)

22) First payment reset date after loan modification (YYYYMMDD)

23) Index used at next rate reset after loan modification (same codes as in MSTR data)

24) Prepayment penalty expiration date after loan modification (YYYYMMDD)

25) Change in loan status from fixed rate to ARM (Y/N)

26) Change in loan status from ARM to fixed (Y/N)

27) Change in loan status from IO to fully amortizing (Y/N)

28) Change in loan status from fully amortizing to IO (Y/N)

29) IO term after modification (in # of months)

30) Balloon principal due at balloon payment due date

31) Balloon payment due date (YYYYMMDD)

32) Debt Forgiveness Indicator (Y/N)

33) Principal owed forgiven amount

34) Interest owed forgiven amount

35) Total amount of debt forgiveness

36) Updated property value as of loan modification

37) Total $ capitalized reimbursement amount owing or paid to the servicer for servicer advances made on a loan

A comprehensive data dictionary and code book shall be provided that gives a detailed description of the content of each field and the meaning of different codes used in each.

The contractor also shall supply detailed information about the market coverage of its dataset.

The licensing agreement under which the contractor supplies the data shall permit FHFA staff and contractors to use the data to:

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1. Construct and publicly release summary statistics (delinquency, default, prepayment, loan modification, etc.) for vintages, different geographic areas and market segments.

2. Develop econometric models to forecast cash flows of ABS/MBS loans.

3. Publish reports, working papers, and journal articles using results from the data

To assist FHFA in its use of the licensed data, the contractor must provide basic data support. In particular, the contractor must make available (by phone and email) experts to answer questions about the licensed data. Such experts shall answer FHFA’s data-related questions within 48 hours.

DELIVERABLES

The historical and updated data shall be supplied on CDs or DVDs or through an FTP server. Files will be provided in a consistent format (SAS, CSV, or TXT) along with an accompanying data dictionary and any other supporting materials (e.g., a methodology description).

SECURITY REQUIREMENTS

In the event that the Contractor may visit FHFA Headquarters, the FHFA Contracting Officer’s Representative (COR) will coordinate visitor access and escorting duties.

LICENSE AGREEMENT REQUIREMENTS

The license agreement for the data product, at a minimum, must include and/or conform to the following requirements:

• At the termination or expiration of the license agreement, FHFA shall have the right to maintain and use indefinitely print or electronic copies of its reports, presentations, or other content created in accordance with the license agreement;

• Authorized end users may simultaneously use the product and be from multiple divisions across FHFA, and may access and use the product from their official duty stations or remotely via FHFA’s virtual private network (VPN) when such end users are conducting business for the benefit of FHFA;

• FHFA does not permit compliance audits; however, the license agreement may require that FHFA will provide written assurance of its compliance or other alternative agreed to in writing by the Contracting Officer;

• The license agreement shall not include an indemnification of the Contractor by the

FHFA;

• The license agreement shall be governed by, and construed in accordance with, the federal laws of the United States of America;

• The Contractor shall represent and warrant that it makes commercially reasonable efforts to ensure that the software, data, or product as applicable is free of any viruses, worms, Trojan horses, malware, and/or other malicious code;

• The license agreement shall not include terms that authorize assignment of the purchase order except in accordance with Federal Acquisition Regulation Subpart 42.12;

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• Contractor shall acknowledge and agree that if there is a conflict between the terms and conditions of the license agreement and those of the purchase order, the purchase order governs;

• The license agreement shall permit FHFA to use the data product for official Government purposes, including but not limited to reports, presentations, graphs, public releases, other publications, and examination of the regulated entities;

• The license agreement may acknowledge that FHFA is a federal government agency and is exempt, by law, from the payment and collection of sales taxes; and

• The license agreement shall be subject to the terms and conditions in the FHFA Subscriber Addendum (Attachment D).

INFORMATION COMMUNICATION TECHNOLOGY (ICT) Accessibility (Section 508)

Section 508 of the Rehabilitation Act, as amended by the Workforce Investment Act of 1998 (P.L. 105-220) requires that when Federal agencies develop, procure, maintain, or use information and communication technology (ICT), it shall be accessible to people with disabilities. Federal employees and members of the public who have disabilities must have access to, and use of, information and data that is comparable to people without disabilities. As such, the following requirements apply to this solicitation:

1) Products, platforms, and services delivered as part of this work statement that are ICT, or contain ICT, must conform to the Revised 508 Standards, which are located at 36 C.F.R. §

1194.1 & Apps. A, C & D, and available at https://www.access-board.gov/guidelines-and-standards/communications-and-it/about-the-ict-refresh/final-rule/text-of-the-standards-and-guidelines

2) E102 / 702.10 – Web Content Accessibility Guidelines (WCAG) success criteria level A & AA are incorporated as a requirement. The referenced WCAG criteria is available at http://www.w3.org/TR/WCAG20/

The following items are identified as containing ICT: Software deliverable *

Applicable Functional Performance Criteria: All functional performance criteria apply when using an alternative design or technology that achieves substantially equivalent or greater accessibility and usability by individuals with disabilities than would be provided by conformance to one or more of the requirements in Chapters 4-6 of the Revised 508 Standards, or when Chapters 4-6 do not address one or more functions of ICT.

Applicable Requirements for Software and Web Products

Web deliverables/tools and access shall conform to the following standards:

• E302 – Functional Performance Criteria

PLACE OF PERFORMANCE

https://www.access-board.gov/guidelines-and-standards/communications-and-it/about-the-ict-refresh/final-rule/text-of-the-standards-and-guidelines https://www.access-board.gov/guidelines-and-standards/communications-and-it/about-the-ict-refresh/final-rule/text-of-the-standards-and-guidelines https://www.access-board.gov/guidelines-and-standards/communications-and-it/about-the-ict-refresh/final-rule/text-of-the-standards-and-guidelines http://www.w3.org/TR/WCAG20/

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Work will generally be performed at the Contractor’s place of business, and periodically at FHFA’s Washington, D.C. office located at 400 7th Street, SW. Washington DC 20219.

PERIOD OF PERFORMANCE

The base period of performance shall be October 1, 2023 – September 30, 2024, with nine (9) one-year option periods.