Attachment_1_PWS_PF_Model_Outcomes_Testing.docx

EXPORT-IMPORT BANK ON BEHALF OF

The Enterprise Risk Committee TO PROVIDE Outcomes Testing on EXIM Bank’s Project Finance Risk Rating Model

PERFORMANCE WORK STATEMENT (PWS)

3/13/17

1.0 INTRODUCTION

The Contractor shall provide all personnel, equipment, supplies, facilities, transportation, tools, materials, supervision, and other items and non-personal services necessary to perform Outcomes Testing on EXIM Bank’s Project Finance Risk Rating Model as defined in this Performance Work Statement except for those items specified as Government furnished property and services.

2.0 BACKGROUND

EXIM Bank uses risk rating models to quantify credit risk to a score that approximates the level of risk involved with financing of a transaction. These scores determine how EXIM Bank transactions should be priced as well as the level of reserves that should be allocated. In FY 2015 a validation review of EXIM Bank’s risk rating models was performed that included two phases, (i) a conceptual soundness review of the components, weighting and features the make up the risk rating models – performed on all of the Bank’s risk rating models and (ii) outcomes testing, including a comparison of EXIM Bank model results with credit rating agency risk ratings – performed on only two of the Bank’s risk rating models. EXIM Bank’s Project Finance Model has already undergone and finalized a conceptual soundness review. For this requirement, EXIM Bank is only requesting outcomes testing be performed on the Project Finance Model, to complete its validation review.

3.0 SCOPE

EXIM Bank is requesting outcomes testing be performed on its Project Finance Model. This should include a comparative credit analysis and risk rating of a sample of Project Finance transactions with a summary analysis of risk rating results.

4.0 OBJECTIVES (NATURE OF WORK)

Desired Outcome: Outcomes testing of the Project Finance Model that includes a comparative credit analysis and risk rating of a sample of Project Finance transactions with a summary analysis of the risk rating results.

Constraints: Results must be comparable to major credit rating agency global scale market ratings.

5.0 SPECFIC REQUIREMENTS/TASKS

· Contractor must be a Nationally Recognized Statistical Rating Organization ("NRSRO") or commonly owned by a NRSRO as designated by the Securities and Exchange Commission

· Contractor is to provide outcomes testing on the Project Finance Model that includes a comparative credit analysis and risk rating of a sample of EXIM Bank Project Finance transactions with a summary analysis of the risk rating results.

· Contractor must provide a summary analysis that includes an assessment of the accuracy of the results (as compared to the third party validation test) and directional bias of the results (if applicable). The third party validation test is to be provided by the contractor through this requirement (i.e. outcomes testing).

· Results provided by the contractor are to be comparable with major credit rating agency global scale market ratings. Major credit rating agency global scale market ratings are to be used as benchmarks in the validation test.

· Contractor provided outcomes testing results are to include recommendations for model improvements (if applicable).

· Contractor will provide draft outcomes testing review report. Report will be reviewed by model owners and comments will be consolidated by the COR and returned to the contractor. Contractor will qualify results in the description of their findings if needed.

· Contractor will provide final outcomes testing review report after draft report edits have been completed.

· Contractor will allow for teleconference meetings, including a kick-off meeting and a presentation of summary results, at the request of EXIM Bank.

6.0 APPLICABLE DIRECTIVES

N/A

7.0 GOVERNMENT FURNISHED ITEMS

· EXIM Bank will provide a sample of Project Finance transactions, representative of EXIM Bank’s portfolio. These transactions will include at a minimum the credit memo and financial projections necessary to analyze and risk rate the transaction that was available at the time of the EXIM Bank risk rating. If during validation any other information is required for completion of tasks, vendor will provide written request to Contracting Officer’s Representative (COR). Once COR has reviewed request and determined there is a valid need for information, transactions and other credit information will be provided by the contracting office’s representative.

· The selected vendor will be required to sign a non-disclosure agreement prior to receiving access to the Model and the Project Finance transactions noted above.

8.0 DELIVERABLES

Lists any reports or documentation that is required as a deliverable to include the frequency, # of copies, and format. A deliverable is anything that can be physically delivered but may include non-physical things such as meeting minutes. Note: All PWS deliverables should be included in this table.

· The summary analysis will include an assessment of the accuracy of the results (as compared to the third party validation test) and directional bias of the results (if applicable).

· Results are to be scalable to major credit rating agency global scale market ratings to be used as benchmarks in the validation test.

· Outcomes will also include recommendations for model improvements as needed.

Following the outcomes testing review (two month expected time frame)

· The summary analysis will include an assessment of the accuracy of the results (as compared to the third party validation test) and directional bias of the results (if applicable).

· All comments and edits provided by EXIM Bank will be addressed in this report

· Results are to be scalable to major credit rating agency global scale market ratings to be used as benchmarks in the validation test.

· Outcomes will also include recommendations for model improvements as needed.

Following feedback from EXIM Bank on draft report (one month expected time frame)

9.0 PERFORMANCE REQUIREMENT SUMMARY (PRS)

The Contractor service requirements are summarized into performance objectives that relate directly to mission essential items. The performance threshold briefly describes the minimum acceptable levels of service required for each requirement. These thresholds are critical to mission success.

Method

10.0 PERIOD OF PERFORMANCE

Upon award of the contract, it is expected to take approximately 14 calendar days to compile the transactions and credit information for the vendor to review. Following that, outcomes’ testing is expected to take approximately 60 calendar days, with an additionally 30 calendar days provided to allow for EXIM Bank to review the draft report and return comments to the vendor, for inclusion in the final report. It is expected to take approximately 7 calendar days for the vendor to return a final report to EXIM Bank.

11.0 PLACE OF PERFORMANCE

Work is expected to take place primarily at the vendor’s work site. If any travel to EXIM Bank is required, the cost for this will be included as part of the firm fixed price. EXIM Bank will not separately reimburse for travel expenses of any kind.