Stress Testing Risk Estimation of Systemic Importance (STRESSI)

This is not a solicitation, but a sources sought notice to locate potential sources capable of performing the work described for information and planning purposes. The Commodity Futures Trading Commission (“CFTC” or “Commission”) is contemplating the expansion of its Stress Testing Risk Estimation of Systemic Importance (“STRESSI”). Congress formed the CFTC as an independent regulatory agency to protect market users and the public from fraud, manipulation, and abusive practices in connection with the offer and sale of commodity futures and option contracts and to foster open, competitive, and financially sound commodity futures, options, and swaps markets. In recent years, futures, options, and swaps trading has expanded rapidly into many new markets beyond the traditional domains of physical and agricultural commodities. Trading facilities now offer futures and option contracts on a vast array of instruments, including interest rates, credit, environmental, performance measures, foreign currencies, U.S. and foreign government securities, and U.S. and foreign stock indices. Additionally, trading facilities have filed a significant number of new product applications and certifications, many quite innovative, covering a broad range of risk factors. The CFTC’s Division of Clearing and Risk (DCR) oversees derivatives clearing organizations (DCOs) and other market participants in the clearing process, including futures commission merchants, clearing members, swap dealers, major swap participants and large traders. It monitors the clearing of futures, options on futures, and swaps by DCOs, assesses DCO compliance with Commission regulations, and conducts risk assessment and financial surveillance. DCR also makes recommendations on DCO applications and eligibility, rule submissions, and which types of swaps should be cleared. The Commission has identified the following four potential areas where it is seeking outside assistance and vendor solutions that: 1. Apply stress testing tools to the CFTC trade data transmitted to and stored on the vendor’s network. 2. Involve installing vendor software on the CFTC network and applying stress testing tools on–premise in the CFTC data facility. 3. Involve building a CFTC internal STRESSI program using individual components of the agency’s existing vendor solutions. 4. Involve the CFTC engaging in consulting services for the construction and/or maintenance of all or part of a STRESSI program. This solution may require the integration of both external and internal data feeds. CFTC encourages sources that possess one or more of the capabilities identified in the attachment to respond to this notice. Information furnished should include responses elaborating on the vendor’s solution.