RFI_Q&A.pdf

PROBABILITIES OF DEFAULT DATA

RFI# CC17HQQ0040

QUESTIONS AND ANSWERS

1. Is there an incumbent exists for the potential requirement: Probabilities of Default Data outlined under CC17HQQ0040. If so, could you please provide the following information:

• Vendor name: Kamakura Corporation

• Contract number: TCC12HQC0012

• Value: Total contract value is $1,585,000

• Date of award: July 1, 2012

• Expiration date: June 30, 2017

2. List of Items, Schedule of Requirements, Scope of Work, Terms of Reference, Bill of Materials required.

Please see the draft Statement of Work included in the Request for Information (“RFI”). Please note the addition of a new requirement to the draft Statement of Work.

3. Soft Copy of the Tender Document through email.

The agency has not yet issued a Request for Proposal/Bid, only a request for information.

4. Names of countries that will be eligible to participate in this tender.

The agency has not yet issued a Request for Proposal/Bid, only a RFI.

5. Information about the Tendering Procedure and Guidelines.

The agency has not yet issued a Request for Proposal/Bid, only a RFI.

6. Estimated Budget for this Purchase. Not for public disclosure.

7. Any Extension of Bidding Deadline?

There is no bidding at this time. The agency has only issued a RFI, not a Request for Proposal/Bid.

8. Any Addendum or Pre Bid meeting Minutes?

The agency has not yet issued a Request for Proposal/Bid.

9. Is the data in question related to these financial institutions inclusive of their entire balance sheet?

It is up to the vendor, not the agency, to determine the methodology of its Probability of Default (“PD”) data. The agency will evaluate proposals on the consistency, accuracy, and validation of the PD data.

10. Will the OCC be providing the historic data from the early 1990s (early 2000s for sovereigns) or is it expected that the respondent already owns the data?

The agency will not provide any data.

11. Will the OCC or their financial institutions be required to provide the current data to the respondent?

The agency will not provide any data.

a. If the OCC provides data, at what frequency will it be made available?

NA.

b. What data is the respondent responsible for providing?

All.

12. Could the OCC provide a rough estimate of the number of financial institutions to be monitored?

It is up to the vendor to decide the comprehensiveness of its PD data.

a. Could the OCC provide an understanding of the frequency of data reconciliation (i.e., daily, monthly, quarterly, etc.)?

The meaning of the question, as shown above, is unclear. I am not sure what “data reconciliation” means. If the questioner is asking how frequently the agency requires the PD data, the answer is at least monthly frequency.

13. Could the OCC provide a list or reference which foreign public companies and sovereigns require tracking?

It is up to the vendor to decide the comprehensiveness of its PD data.

14. How important is flexibility in sensitivity analysis and scenario exploration? The agency will evaluate proposals on the consistency, accuracy, and validation of the PD data.

15. What type of reporting and dynamic graphical data exploration is desired?

At a minimum, the agency requires the ability to chart the PD data as a time series.

16. Is there a need to obtain probability of default (PDs) on Private entities [i.e. Corporations, Banks, Insurance companies]?

The agency is adding to the RFI a new requirement regarding PD data for banks at the chart-level.

PD data for other private companies is not required.

a. If yes, how many Private entities do you intend to evaluate on an annual basis?

Not relevant except for the new requirement for PD data on banks at the charter level. It is up to the vendor to determine the comprehensiveness of its data.

b. What are the sectors [Corporations, Banks, Insurance] and what is the geographic breakdown?

There is no geographic breakdown.

c. Do you have access to financial statements for these private companies, banks, insurance companies?

No.

17. What is the number of unique Public company entities that you intend to obtain probability of default (PDs) for on an annual basis?

It is up to the vendor to determine the comprehensiveness of its PD data.

a. What are the sectors [Corporations, Banks, Insurance, Sovereigns] and what is the geographic breakdown?

There is no geographic breakdown.

b. Are you seeking spread-implied PDs for non-sovereign entities / subsidiaries of public companies (Corporates and/or Financial Institutions)?

There are various ways to calculate PDs. The agency is not limiting its request to any particular method. However, proposals will be evaluated on the consistency, accuracy, and validation of the PD data.

c. Are you looking for point in time PDs vs through the cycle PDs, or both?

Both

d. Do you want the ability to perform scenario analysis / stress testing analysis on the individual names in the portfolio?

Scenario analysis or stress testing is not a requirement.

e. Roughly how many of the Public companies have a rating by an NRSRO?

Unknown.

18. Do you segment the portfolios by industry sector SIC or NAICs codes? If so, can you provide the industry segmentation if needed?

The draft Statement of Work states that that the data shall include the company’s industry code.

The agency prefers NAICs codes. The agency provides no data.

19. How many users will be using the vendor tool and where will they be geographically located? Will they all be in one location?

The agency will make the PD data it receives via a bulk data download available to all agency personnel. However, it is likely that no more than 20 people would access the vendor’s web-based platform to directly obtain or analyze the PD data.

20. Do you have a current scoring workflow or financial spreading application that captures and stores the financial data and scores? Will the vendor PD tool be required to be linked to another application? If so, which one?

The agency provides no data. The agency has no other tool or application to which the vendor PD data will need to be linked. However, the draft Statement of Work notes that the agency may link the PD data to other data sources via unique company identifier variables, such as GVKEY, PERMCO, ticker, issuer CUSIP, or LEI.

21. Do you anticipate wanting the ability to run batch quires to receive credit scores / default probabilities?

No.

22. Will you consider multiple vendors to meet your needs?

The agency will sign the contract with only one vendor. It is up to the vendor to determine whether it will use sub-contractors, which are allowed.