Notice of Intent to Sole Source - Moody's Analytics Structured Finance Workstation

The purpose of this notice is to publish the intent of a sole source award to Moody's Analytics Inc. The Federal Housing Finance Agency (FHFA) intends to award a sole source contract to Moody's Analytics Inc for Moody's Analytics Wall Street Structured Finance Workstation (SFW) for FHFA-wide five (5) concurrent user licenses. Moody's Analytics SFW is a comprehensive and streamlined application that provides investors and market participants with a robust and flexible platform for performing cash flow analytics and valuations for structured finance transactions such as residential mortgage-backed securities (RMBS), commercial mortgage-backed securities (CMBS), Asset-Backed Securities (ABS) backed by Student Loans and other types of collateral. FHFA requires a platform that can facilitate credible third-party validation of the other-than-temporary impairment (OTTI) calculations by the Government Sponsored Enterprises (GSEs) it supervises and regulates, namely, the 12 Federal Home Loan Banks, Fannie Mae, and Freddie Mac. The OTTI validation process requires that FHFA have access to an integrated mortgage credit valuation platform that can perform the necessary credit risk analysis in a transparent and highly efficient manner. FHFA requires a platform that seamlessly integrates into a single desktop system all of the five pieces identified: (1) loan level data underlying securitized loan pools, (2) loan level default, prepayment, and loss severity risk models to calculate loan level cash flows and credit losses, (3) transparent macro-economic scenarios that are an input to the loan level default, prepayment, and loss severity risk model, (4) a cash flow waterfall engine for structured finance instruments used to facilitate the calculation of pool and tranche level cash flows and credit losses, (5) tranche/CUSIP valuation capability for calculating OTTI (credit and non-credit OTTI) and other analytics. The fully integrated system shall provide credit valuation (present value) for a single CUSIP for a single macro-economic scenario along with associated time series of future deal and tranche level cash flows and credit losses. These valuations must be calculated quickly and efficiently. The FHFA required platform must provide all of the above five seamlessly integrated capabilities for the following structured finance sectors: A. Residential mortgage and asset-backed securities B. Commercial mortgage-backed securities C. Student loan asset-backed securities The platform must be compatible with Microsoft Windows XP. The period of performance is for 12 months from date of award with four one-year option periods. This is an announcement of FHFA's intent to issue a contract award to Moody's Analytics Inc; FHFA will not issue a solicitation. Any other sources capable of providing a platform that seamlessly integrates all five pieces identified above into a single desktop system and can perform all the services prescribed above are invited to demonstrate capability by submitting capability statements and other documents and pricing that demonstrate capability and/cost savings to provide the above services to [email protected] no later than September 14, 2010, 10:00am, Eastern time. Respondents should refer to Wall Street Structured Finance Workstation.