Draft_SOW_Probabilities_of_Default.pdf

DRAFT STATEMENT OF WORK

1.0 BACKGROUND

The Office of the Comptroller charters, regulates, and supervises all national banks. It also supervises the federal branches and agencies of foreign banks. The primary mission of OCC Economics Department within the OCC is to deliver economic and quantitative analysis to policymakers and bank examiners. Economics supports on-site and off-site supervision of banks, provides current economic analysis, supports policy development, and conducts original research to support the OCC mission of ensuring a safe and sound national banking system.

2.0 OBJECTIVES

The OCC requires a responsible contractor to provide estimates of probabilities of default (PDs) for U.S. and foreign public companies and sovereigns. Coverage of U.S. and foreign public companies and sovereigns shall be extensive and data shall be available starting in the early 1990s (early 2000s for sovereigns). The OCC will be able to access the PDs through (1) a convenient to use, web-based graphic user interface and (2) bulk data downloads. The contractor shall provide software or contractor services that will allow bulk data downloads by the OCC of current and historical values for the probabilities of default and related data (as described below) provided by the contractor.

3.0 SCOPE OF SERVICES

This Performance Work Statement (PWS) encompasses all activities necessary to provide Economics estimates of PDs for U.S. and foreign public companies and sovereigns. The Contractor is responsible for performing the services under this contract independently. The Contractor shall provide all personnel required for the performance of this contract.

4.0 PERFORMANCE REQUIREMENTS

The contractor shall provide:

4.1 Task 1 - Data. At a minimum:

• The data for U.S. and foreign public companies and sovereigns shall include company name, country, and probability of default for that company. The data shall include a company identifier that will enable the OCC to map the contractor’s data to Standard & Poor's Compustat® (using the GVKEY) or WORDS (using PERMCO). Additional identifiers such as ticker or issuer CUSIP are desirable. The data shall also include the factors that the contractor uses to calculate the company probability of default (related data) and industry classification. Consistent data on PDs and related data shall be available throughout the contract period from the early 1990s (2000s for sovereigns) to the present.

• The models that generate PDs shall be validated using generally-accepted validation methods. Contractors shall provide model-validation documentation for their model(s).

• The OCC seeks the longest and broadest possible coverage of US and foreign public companies and sovereigns. Coverage of all U.S. publicly-traded companies is highly desirable. The data shall start in the early 1990s using consistent methods from the early-1990s to the present. For non-U.S. companies and sovereigns, broad coverage of emerging and developed countries is highly desirable.

4.2 Task 2 - Web-based Interface. The web-based graphic user interface shall provide daily updates of the probabilities of default for the U.S. and foreign public companies and sovereigns contained in the data. The graphic user interface shall display current and historical probabilities of default and related data.

4.3 Task 3 - Bulk data downloads. The contractor shall provide software or contractor services that shall allow monthly data from the early 1990s to the present to be downloaded by the OCC on an ongoing monthly basis through a bulk data download. The contractor shall assist the OCC's efforts to download these data.

4.4 Task 4 - Technical Support. The contractor shall provide technical support to OCC users of the data, including guiding OCC users through the use of the data. At a minimum this will include (1) a technical training session on the web-based interface and a seminar on methodology and usage within 30 days of contract award and (2) working with the OCC to facilitate setting up the OCC's process for monthly bulk downloads. Ongoing technical support for the web-based interface and bulk-data download is required.

4.5 Task 5 - Access and Usage. OCC employees and contractors in the performance of OCC required tasks shall be authorized to share portions of the data or analysis of the data, accessed either through the graphic user interface or data download, with all other OCC employees and contractors regardless of location.

OCC employees and contractors should be authorized to use the data to conduct research and analysis that will be publicly disseminated in various forms, including but not limited to research papers, policy papers, and analytical presentations and memorandum. OCC employees shall be authorized to co-author such work with non-OCC employees.

5. DELIVERABLES

The contractor shall submit all deliverables in an electronic Word 2007 format. Deliverables shall be submitted in soft copy to the COR.

5.1 Web-based Interface Documentation. The contractor shall re-submit the documentation provided as a part of the proposal submission regarding the ease-of-use and functionality of their graphic user interface within 7 days of contract award.

5.2 Data and Functionality Documentation. The contractor shall re-submit the documentation provided as a part of the proposal submission that addresses both data and functionality.

Documentation shall explain how to download data, identify every variable that can be downloaded, and describe the frequency of the data (e.g. daily or monthly) and the precision of the estimate.

The documentation shall include complete information on the methodology (such as underlying model, empirical framework, and reference dataset) used to calculate the probability of default.

The contractor shall include documentation of model application (such as model inputs, model outputs, ability to perform what-if scenarios), model performance (back-testing or other validation, including the frequency of validation), processes used in creating and updating the data, and whether any industries exhibit unique characteristics that affect the applicability of the methodology. If the contractor's current and historical data are produced by more than one model, the contractor shall provide documentation for all the models used to produce the data as well as studies showing the extent to which there are "breaks" in the time series data when the contractor changed models. Re-submission of documentation shall be made within 7 days of contract award.

5.3 Changes in Models Documentation. If the contractor changes models during the contract period, the contractor shall provide similar documentation for its new model(s) as provided for in Section 5.2. Delivery of documentation shall be made within 30 days of the notification of changes in models.

6.0 PERFORMANCE REQUIREMENTS

The contractor shall asses its performance against the performance standards in the Performance Requirements Summary (Attachment 1).

7.0 PERSONNEL MANAGEMENT

7.1 Contractor Point of Contact. The Contractor shall identify a point of contact for this contract to interface with the OCC Contracting Officer’s Representative (COR).

7.2 OCC COR. The OCC COR shall be the Contractor's primary day-to-day contact in the performance of this contract.

8.0 PLACE OF PERFORMANCE

The contractor shall perform contract activities based out of their facilities. No work shall be performed at the OCC except that the contractor may provide training at the OCC’s Headquarters in Washington, DC at mutually agreed upon times.

9.0 PERIOD OF PERFORMANCE

The base period of performance is July 1, 2017 through June 30, 2018 and four (4) additional one-year option years.

10.0 TRAVEL

The contractor shall be responsible for all travel and associated costs in the performance of this contract.

11.0 GOVERNMENT FURNISHED EQUIPMENT AND SERVICES.

The OCC will not provide any government furnished equipment or services. The contractor shall be responsible for providing all equipment and materials for servicing capabilities based on this Statement of Work.

12.0 ACCESSIBILITY REQUIREMENTS.

The solution shall be accessible to users with disabilities as required in Section 508 of the Rehabilitation Act of 1973, as amended. Specific requirements mandate the solution meet defined technical standards and fulfill functional performance criteria. The solution shall be compatible and accessible with commercially available assistive technologies such as but not limited to screen reader software, screen magnification software and speech-to-text software.

To be considered eligible for award, vendors must propose goods and/or services that meet the applicable provisions of the Access Board’s standards as identified and explained:.

Documents and Reports – All documents and reports either delivered or generated as part of the proposed solution shall be in electronic format and suitable for publishing on the OCC Intranet and must comply with the technical standards as codified in 36 CFR 1194.22 (Web based Intranet and Internet Applications and Information) and Functional Performance Criteria identified below.

Web Based Interface and Bulk Data Downloads – All Web based or Software solutions shall meet the technical standards of both 36 CFR 1194.21 & 22, Software and Web based solutions, and meets the Functional Performance Criteria identified below.

Functional Performance Criteria – All electronic deliverables (documents, reports, Web interfaces, Software products), must fulfill the Functional Performance Criteria as codified in 36 CFR 1194.31 through the selection and application of all technical standards necessary to achieve this requirement.