Valuation of Federal Home Loan Bank Debt

The Federal Housing Finance Agency (FHFA) intends to award a sole source purchase order to Andrew Kalotay Associates, Inc. (AKA), 61 Broadway, Suite 1400, New York, NY 10006 under the authority of FAR 13.106-1(b) - Soliciting from a Single Source. The period of performance is for a one-year base and two (2) one-year options. AKA will provide the Division of Examination and Program Support's Risk Modeling (DEPS RM) group the following services: (1) Pricing of FHLBank debt securities, including, but not limited to, fixed and step coupon bonds, callable zeros, capped and range floaters, range accrual notes, inverse floaters, flip notes, and Amortizing Prepayment Linked Securities. The securities may have one-time, discrete, or continuous call provisions and/or amortizing principal. (2) Consultant services regarding the appropriate tools and methods for estimating market value and economic value upon FHFA request. The economic value, also known as "fair value", is the sum of the discounted cash flows. The market value reflects adjustments imposed by the market such as a bid/ask spread or liquidity premium. (3) Software libraries, integrated with FINCAD software, that value complex FHLBank debt positions, flipper notes in particular. This action will result in a Firm-Fixed Price purchase order. The applicable NAICS is 511210 - Software Publishers with a small business size standard of $25.0 Million. There are no-set-asides identified for this procurement. This notice is neither a request for quotations nor a solicitation of offers. The government's market research has determined that no other source is available to fulfill its requirements without substantial duplication of costs to the Government that is not expected to be recovered through competition, as well as unacceptable delays in fulfilling the FHFA's requirement. No formal solicitation package is available. Interested parties may identify their interest and capability to respond to the requirement. Only written responses sent via electronic mail will be accepted. The responses must be received by July 29, 2011 at 2:00 pm Eastern Time. The Government will not be responsible for any costs in the preparation of responses to this announcement. A determination not to compete this proposed purchase order upon receipt of any responses to this notice is solely within the discretion of the Government.