Risk_Sharing_Analytics_Services_SOW_7-13-17.pdf

Export-Import Bank of the United States (EXIM Bank)

Risk Sharing Analytics Services for the Office of the Chief Financial Officer (OCFO)

Statement of Work dated

July 13, 2017

1. INTRODUCTION

This Statement of Work serves to outline and specify the Export-Import Bank's requirement Risk Sharing Analytics Services. The objective is to review and provide technical analysis of proposed risk sharing structures and pricing obtained by EXIM Bank through its risk sharing pilot program. Specifically in relation to the pilot program related to risk sharing parts EXIM Bank’s aircraft portfolio.

The Bank has a comprehensive risk management framework overseen by the Chief Risk Officer (CRO) and the Enterprise Risk Committee (ERC). This framework starts with effective transaction underwriting to ensure a reasonable assurance of repayment, and continues through careful transaction structuring and documentation, and active portfolio monitoring and management until the Bank's exposure is finally repaid.

EXIM has been directed by Congress to explore risk sharing through the Bank’s current Charter, which states:

SEC. 51008. PILOT PROGRAM FOR REINSURANCE.

(a) IN GENERAL

Notwithstanding any provision of the Export-Import Bank Act of 1945 (12 U.S.C. 635 et seq.), the Export-Import Bank of the United States (in this section referred to as the ‘‘Bank’’) may establish a pilot program under which the Bank may enter into contracts and other arrangements to share risks associated with the provision of guarantees, insurance, or credit, or the participation in the extension of credit, by the Bank under that Act.

(b) LIMITATIONS ON AMOUNT OF RISK-SHARING

The aggregate amount of liability the Bank may transfer through risk-sharing pursuant to a contract or other arrangement entered into under subsection (a) may not exceed $1,000,000,000. The aggregate amount of liability the Bank may transfer through risk-sharing during a fiscal year pursuant to contracts or other arrangements entered into under subsection

(a) during that fiscal year may not exceed $10,000,000,000.

EXIM Bank issued a multiple award contract that will explore risk sharing to assist the Bank in the creation of a pilot program for risk sharing related to EXIM Bank’s aircraft portfolio.

2. SCOPE

EXIM Bank seeks an independent, external party to model EXIM Bank’s aircraft to determine the expected loss and tail loss of various combinations of deal(s) within the portfolio. In addition, the Contractor shall take market comparisons in relation to the risk they model in order to determine the most economically beneficial transfer of the risks associated with parts of EXIM Bank’s aircraft portfolio to the private markets. The Contractor is not replacing the parties that EXIM Bank has engaged to work on risk sharing, but instead to provide an independent judgement as to whether EXIM Bank is getting the best price and terms possible given the nature of the portfolio it is attempting to risk share.

3. GENERAL INSTRUCTIONS REGARDING DELIVERABLES

All final deliverables shall have a forwarding cover letter that specifies the document being delivered and the Task Order number. The Contractor shall provide all deliverables in Microsoft Word, Microsoft PowerPoint, Microsoft Excel, Microsoft Projects, or other software as appropriate and unless otherwise indicated. Unless otherwise directed, all deliverables shall be sent through email. The Contractor shall deliver electronic copies of all deliverables to the designated Contracting Officer Representative (COR).

The Contractor shall deliver electronic copies of the cover letter only (i.e. without deliverable) to the Contracting Officer (CO).

4. CONFIDENTIAL TREATMENT OF SENSITIVE INFORMATION

In accordance with the Risk Management Analysis Services Conditional Access to Sensitive but Unclassified Information Non-disclosure Agreement by and between the parties, dated XX/XX/XXXX (the "NDA") the Contractor shall guarantee strict confidentiality of the information/data that it is provided by the Government during the performance of the contract. The Government has determined that the information or data that the Contractor will be provided during the performance of the contract is of a sensitive nature. Disclosure of the information/data, in whole or in part, by the Contractor can only be made after the Contractor receives prior written approval from the Contracting Officer other than as provided for in the NOA.

5. DELIVERABLES

The Project shall consist of the following deliverables (the "'Deliverables"):

5.1 Modeling

The Contractor shall develop a model that can incorporate various combinations of EXIM Bank aircraft data in order to quickly and efficiently develop expected and tail loss estimations. The model shall allow EXIM Bank to use the results of this model to inform or challenge the assumptions the parties EXIM Bank has contracted with to explore risk sharing.

5.2 Market comparisons

For the risk sharing structure(s) EXIM Bank chooses to pursue with the parties it has chosen to explore risk sharing, the Contractor shall write and deliver to EXIM Bank a report (in MS Word or PDF format) that contains:

• An executive summary analyzing the pricing range EXIM Bank should expect based on the risk sharing structure

• A detailed description of the methodology used by the Contractor to arrive at their price conclusion

• If the pricing EXIM has received from the parties it has contracted with is different from the expectation, the Contractor shall write a description of next steps to inform or challenge the assumptions the parties EXIM Bank has contracted with in order to arrive at a proper pricing for the risk being transferred.

EXIM Bank anticipates no more than three structures, which may include several combinations of deal(s), which the Contractor will analyze over the period of performance.

6. PERIOD OF PERFORMANCE

August, 2017 through December 31, 2017