Loss Given Default (“LGD”) Model

Solicitation Number: EXIM-17-S-0003 Notice Type: Sources Sought Name of the Project: Loss Given Default ("LGD") Model PLEASE NOTE THAT THIS IS NOT A REQUEST FOR PROPOSAL, NO SOLICITATION EXISTS AT THIS TIME. This synopsis is for information and planning purposes and is not to be construed as a commitment by the U.S. Government, nor will the U.S. Government pay for information solicited. The information from this notice will help the Export-Import Bank of the United States plan their acquisition strategy. EXIM Bank is conducting market research for potential procurement of a Loss Given Default ("LGD") Model. This market research is to determine the availability and technical capability of qualified businesses capable of providing such a database. EXIM Bank is seeking statements of capability from potential offerors. Vendors should be capable of showing experience and staffing to perform the requirement as demonstrated in their capability statement. EXIM Bank will also have One-on-One Meetings which can be conducted either on-site or through a webinar for vendors capable of providing this type of interaction. One-on-One meetings are not required but are for companies to provide additional information in an open forum with a Questions and Answer (Q&A) period. The Government may have questions in advance that will be sent to the POC that requests the meeting. 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. EXIM Bank is in the process of evaluating and implementing risk rating model improvement recommendations that were provided in 2015 as part of a validation review of the Bank's risk rating models. In line with the recommendations, EXIM Bank would like to pursue an assessment of LGD models for the purpose of evaluating transaction recovery value. SCOPE EXIM Bank is pursuing an assessment of an LGD model for the purpose of evaluating transaction recovery value. The LGD model must be able to integrate with EXIM Bank's existing underwriting / risk rating methodologies, knowledge and resources. The LGD model must be comprehensive enough to consider the variety of countries, industries, obligor risk types and transaction structures reflected in EXIM Bank's portfolio. In particular, the LGD model needs to have the ability to assess the recovery value of secured commercial aircraft transactions. Additionally, the LGD model must provide sufficient flexibility to consider recovery value either as a going concern or a bankruptcy / liquidation scenario. Factors considered within the LGD model need to be correlated and validated through the use of an underlying recovery database. The LGD model must also allow for the integration of EXIM Bank's historical recovery experience along with external recovery data. The end-product of the LGD model should be an estimated recovery rate. Documentation supporting the LGD model will be provided, including the definition of default that is considered within the model, and the underlying recovery database should be updated and validated on an annual (or more frequent) basis with training provided to Bank staff as needed. OBJECTIVES (NATURE OF WORK) Desired Outcome: EXIM Bank is provided LGD Models that can produce estimated recovery rates, based on the correlation of a transaction's specific recovery characteristics and validated recovery factors reflected within a recovery database, including whether a transaction is considered to be a going concern or bankruptcy / liquidation scenario upon default. Additionally, the LGD model must have the ability to assess the recovery value of secured commercial aircraft transactions. Constraints: The LGD Model needs to allow for the integration EXIM Bank's historical recovery experience and be comprehensive enough to consider the variety of countries, industries, obligor risk types and transaction structures reflected in EXIM Bank's portfolio. Characteristics of the Requirements: Loss Given Default ("LGD") Model During the Market Research Phase: Vendor shall present EXIM Bank with a LGD model and must clearly provide: o (i) the recovery factors and how they are considered within an LGD model; o (ii) how the model distinguishes a going concern scenario from a bankruptcy / liquidation scenario; o (iii) the model inputs that would be required from a model user; o (iv) the composition of underlying recovery database, including a breakdown of geographic, sector, obligor risk type, transaction structure and any other relevant concentrations; o (v) specifically how the recovery value of secured commercial aircraft transactions will be assessed; o (vi) how internal recovery experience can be integrated into the calculation of the recovery rate; o (vii) how recovery factors have been validated using the recovery database. If possible at no cost to the government during this market research: • Vendor shall allow EXIM Bank to test the LGD Model to demonstrate recovery rate results. After award of contract vendor would: • Upon government's acceptance of an LGD model, vendor shall provide EXIM Bank with supporting documentation regarding the LGD model database, at a minimum including its composition, development and operational use guidelines. • Vendor shall provide training for integration of LGD model to include how to use the model o Vendor will provide anticipated training agenda o Vendor is also to include relevant training of Bank staff. Training must include classroom as well as hands-on use of the model. o Training will also include user's manuals • Once database is accepted and training complete, vendor shall provide updates for LGD model on an as needed basis to ensure database is up-to-date, for the remainder of a 12-month period after date of award. . • Following the initial year purchase of the LGD model, training and updates, vendor will provide four (4) one year option periods. Option periods to include: o Database updates to the LGD model and (underlying recovery database). Updates to be completed at a minimum of annually. Additional updates to be performed during each option period on an as needed basis to ensure database is up-to-date. o Training to be provided to new EXIM Bank model users gaining employment during each option period. This training shall be consolidated to not exceed one (1) training session per option period. CAPABILITY STATEMENT All responding small business firms are requested to identify their firm's size and type of business to the anticipated North American Industrial Classification System (NAICS) code. For this acquisition, the NAICS code is 522293 - International Trade Financing and the Small Business Standard is $38.5 Million. Teaming arrangements and joint ventures will be considered for any subsequent procurement based on the Government's market research, provided the prime contract is awarded to an applicable small business and that small businesses provide fifty percent or more of the support. Please submit the following information in response to the capabilities above and pre- requisites listed above: Submission requirements: 1. Interested firms responding to this market survey must provide a capability statement demonstrating their experience, skills and capability to fulfill the Governments requirements for the above. Statements must clearly identify business size to assist in requirements under Federal Acquisition Regulation (FAR) 19.502-2(b). The capability statement shall be in sufficient enough detail, so that the Government can determine the experience and capability of your firm to provide the objectives above. The Government technical team will then assess the experience & capabilities based on: 1) technical expertise relevant to the objectives; 2) corporate/organizational experience relevant to the objectives, and 3) relevant past performance. 2. Capability responses should be based upon the characteristic pre-requisites listed above. 3. Please specify one primary and one alternate Point of Contact (POC) within your firm, including telephone numbers and email addresses. 4. Identify if you have a GSA Schedule contract and if applicable, the contract number. 5. Indicate whether your firm registered in SAM. 6. Identify your business size for the referenced NAICS code. 7. Relevant past performance shall include the following information: • Contract name • Contracting Agency or Department • Total contract value (in $) • Period of performance • Description of work and how it relates to the requirements 8. There is a 20 page limit on capability statement responses, but 1 cover page or 1 letter of introduction page and resumes and writing samples may be submitted and will not count toward the 20 page limit. 9. Use 1 inch margins (top, bottom, and sides) and Times New Roman font - 12 point. 10. Do not include promotional materials. Your capability statement needs to include a list of three customers (Government/non-Government) within the past 3-years highlighting similar work in nature, scope, complexity, and difficulty and a brief description of the scope of work. Only electronic copies of capability statements will be accepted and should be emailed to: Ms. Robyn Moore at [email protected] with a CC: to Ms. Thu Vo at [email protected]. The e-mail shall contain the following subject line: Response to Sources Sought Notice - EXIM-17-S-0003 Loss Given Default ("LGD") Model. A determination by the Government to proceed with the acquisition as a set-aside is within the discretion of the Government. If capability statements are not received from at least two responsible small businesses or if the Government determines that no two small businesses are capable of performing this requirement based upon an assessment of the capability statements submitted, the Government may proceed with a full and open competition. ONE-ON-ONE MEETINGS WITH INDUSTRY Scheduling: All participation in this event shall be on a voluntary basis and all participants are responsible for bearing all costs associated with doing so. Contact Robyn Moore at [email protected] and "cc" Thu Vo at [email protected] to schedule your 1-hour (maximum) One-on-One Meeting. Available time slots will be scheduled on a first come, first serve basis and will take place between the hours of 8:00 AM - 5:00 PM, EST time (last time slot will be scheduled for 4:00 PM). All scheduling requests for participation must be received no later than Thursday, 11 May 2017. Interested companies shall observe the following: • Groups are limited to 5 individuals; • Groups and members of groups must be escorted 100% of the time by Government personnel; • Parties will have access to a television to display presentation if needed. ; however, photographs or video recordings are prohibited. • Foreign Nationals may not attend this event. Should a foreign company have an interest in the event, it shall send representatives with US citizenship only. To request a time block, interested companies shall e-mail the following information to Robyn Moore, at [email protected] and "cc" Thu Vo at [email protected]: • First and last names of all individuals attending the event; • Date requested (June 5th, 6th, 7th, 8th, or 9th, 2017). Dates and time slots will be assigned by availability on a first come, first serve basis; • Company Name & Cage Code; • Main Point of Contact for the Company; • All contactors will be asked to provide suggestions for what could make them competitive for requirements. • The One-on-One Meeting process is intended to preclude the Government from entering into any conversations which could be perceived as providing an unfair competitive advantage. Any new information provided during the meetings will be provided via email to all attendees. • The Government will not provide assessment on merits of company information or technology discussed. • The One-on-One Meetings will remain at the UNCLASSIFIED level. These meetings will not include any classified information from either the Government or companies. • Meetings will be limited to ONE request per company as a potential prime contractor. Companies are allowed to bring potential subcontractors and teammates. Subcontractors or teammates will not be allowed to have a separate meeting with the Government. Meetings are limited to no more than 5 individuals. • To the maximum extent, the Government will provide answers to questions, however, if the answer(s) require the Government to provide further depth or information), those answers will be distributed via email to the main POCs provided. Questions and answers issued via email will exclude any information that may disclose a contractor's proprietary or confidential business strategy information. The Government will make its best effort to inform contractors on answers that the Government determines will be included in the email distribution prior to providing the answer in order to allow the question to be retracted. Q&A's will be distributed to the contractors via email after 9 June 2017. • Providing written questions during the One-on-One Meeting is optional, and encouraged, but should be limited to prioritized questions that can be addressed during the meeting. • Questions and comments can be submitted via email to [email protected] and "cc" Thu Vo at [email protected]. The government will use the results of this announcement to determine whether the acquisition of the above described requirement should be solicited as a small business set-aside, or whether full and open competitive procedures should be utilized. The Government will not pay or provide reimbursement for any costs incurred in the preparation or delivery of the request for information. Interested parties should send all capability statements via email to [email protected] and "cc" Thu Vo at [email protected] It is imperative that all questions and capability statements be sent via Email to Robyn Moore at: [email protected] and "cc" Thu Vo at [email protected] by May 11, 2017 by 2:00 P.M. Eastern Daylight Time. NO TELEPHONE REQUESTS WILL BE ACCEPTED.