RFI - Cash Flow Models.pdf

Federal Housing Finance Agency Constitution Center

400 7th Street, S.W.

Washington, D.C. 20219

Telephone: (202) 649-3800 Facsimile: (202) 649-1071 www.fhfa.gov

Draft

CONTROLLED

Request for Information (RFI)

The Federal Housing Finance Agency (FHFA) requests information on potentially acquiring cash flow data and cash flow models (deal model libraries) in accordance with the draft statement of work (SOW). The request is for information only, and your response is neither an offer nor a quote. This request for information does not commit the FHFA to pay any costs incurred in the preparation and submission to this RFI. Also, this RFI neither obligates FHFA to contract for a data license nor guarantee any respondent inclusion on a potential solicitation mailing list.

FHFA anticipates, if this develops into a firm requirement, a solicitation may be issued July 2023.

Purpose

Based on market research results, FHFA may formulate a subsequent procurement strategy and solicitation.

FHFA is seeking to obtain cash flow data and models (deal model libraries) integrated with PolyPaths, prepayment/loss model software, as well as a ‘front-end” software application to access the cash flow data and models without the PolyPaths software. FHFA uses these models to monitor, model and report on structured (tranched) mortgage investments known as Collateralized Mortgage Obligations (CMOs), Mortgage-Backed Securities (pass-throughs) and Credit Risk Transfer (CRT) deals. FHFA also seeks direct programmer access to the deal model libraries that would integrate with MATLAB and Microsoft Excel interfaces.

FHFA cannot predict the investment decisions of the Federal Home Loan Banks (FHLBanks) or Enterprises nor the security issuance of the Enterprises and therefore requires nearly 100 percent coverage of the investment securities markets for adequate supervision work. FHFA is also seeking cash flow data and models to support numerous areas of ongoing research into the impacts of climate and natural disaster risk on the FHLBank, Fannie Mae and Freddie Mac (the regulated entities) Guarantee portfolios held by the Enterprises, investment securities and securities accepted as collateral by the FHLBanks. FHFA may also be seeking deal model libraries for State Housing Finance Agency bonds (HFA bonds) that provide financing and services for affordable housing and related community development activities. FHFA may also be seeking deal model libraries to monitor commercial real estate debt fund activity and Agency Seller/Servicer Risk Share deals.

FHFA prefers that the contractor’s market presence and experience are sufficient to ensure best practices in error-tracking and remediation. FHFA is also seeking to obtain information about the market presence and experience of potential vendors. To what extent do potential vendors have established relationships with broker and dealer institutions? This market presence affects the speed with which a new deal is modeled prior to issuance. To what extent do potential vendors have established relationships with mortgage seller and/or servicer institutions? This breadth and depth of the market presence affects the timeliness and accuracy of monthly updates to the securities data.

The specific purpose of this request is to accomplish the following:

1. Gauge vendor interest in this FHFA requirement.

2. Gather information that could be used to inform, formulate, and enhance a potential procurement strategy and solicitation.

Please see the attached DRAFT statement of work for more details. Information provided is for illustrative purposes and must be taken in the context that they may not be representative of future requirements.

Information and Input Requested

• A letter of interest, including a point of contact, phone number, and email.

• A brief overview of your firm's capabilities that addresses the above listed potential requirements, historical data support, and relevant clients.

• Your firm’s size status for North American Industry Classification System (NAICS) number:

513210. If you are uncertain of your size status, please see the Small Business Administration’s site for more details: http://www.sba.gov/content/table-small-business-size-standards

• Please include a rough order of magnitude price associated with the requirement.

• Please do not exceed twenty pages. However, your firm may submit any pre-created marketing literature to supplement the requirement.

• Is your firm a GSA schedule holder or Government-Wide Acquisition Contract (GWAC)? If so, include contract number, and Government POC name, phone, and email.

• Provide any comments in Track/Edit to the attached DRAFT statement of work. When making comments, please consider addressing the following areas:

• Address areas deemed unclear within the requirements.

• Address additional information your firm would require to successfully respond to a formal solicitation.

• Propose alternative language that may either improve clarity or better communicate requirements that align with industry practices.

• Suggest ways to make requirements either clearer or better defined if you believe the requirements are too broad.

Coverage of investment securities market

Please submit the percentage of the market covered by the deal model libraries for either each asset or debt class listed below. Please specify the percentages in terms of the number of deals, and, if possible, in terms of outstanding principal balance. Please also describe, where possible, the extent to which users can also view or analyze the collateral backing the deal at the loan, pool, or repline level.

1. US Residential MBS

i. Agency CMO

ii. Agency-Pool Backed Privately issued CMO

iii. Prepayment Linked Note

iv. Agency Credit Risk Transfer (CRT)

1. Structured Agency Credit Risk (STACR)

2. Connecticut Avenue Securities (CAS)

v. Agency Reinsurance Transactions

1. Agency Credit Insurance Structure (ACIS)

2. Credit Insurance Risk Transfer (CIRT)

vi. RMBS

vii. Home Equity

viii. Non-Performing/Re-Performing

ix. HECM

x. Agency Single Family Pool Option

2. US Commercial MBS

i. CMBS

ii. Agency Multi-Family

iii. Agency Multi-Family Pool Option (MPF)

iv. Single Family Rental

v. Franchise

vi. Small Balance Commercial Loan

vii. Commercial Real Estate CDO

3. Agency pool information data

4. Manufactured housing deal model libraries

5. State Housing Finance Agency (HFA) bonds

6. Commercial real estate debt funds

7. Agency Seller/Servicer Risk Share deals

Market experience questions

1. Please describe, and quantify where possible, the contractor’s market presence and experience in terms of error-tracking and remediation.

2. Please describe, and quantify where possible, the contractor’s market presence and experience with broker and dealer institutions in terms of the speed with which a new deal is modeled prior to issuance.

3. Please describe, and quantify where possible, the contractor’s market presence and experience with mortgage seller and/or servicer institutions in terms of the timeliness and accuracy of monthly updates to securities data.

If this does become a firm requirement, and the FHFA decides to request either a proposal or quote from your firm, you will be advised.

Please do NOT include any non-disclosure restrictions; state your submission is for evaluation purposes only; or submit other similar restrictions. FHFA is conducting market research and may share your inputs with others to develop a potential, future solicitation. Such restrictions eliminate that utility.

Please submit a response to this RFI by 2pm Eastern Time on June 14, 2023.

Questions or requests for clarification may be made to me via email at Jennifer.Sellers@fhfa.gov.

Sincerely, Jennifer T. Sellers/Contracting Officer

Attachments – Draft Statement of Work