Validation and verification of WBG loans fair value model

Item Description:

The World Bank Group (WBG) seeks for qualified firms to provide services relating to validation and verification of WBG loans fair value model.

Offeror must meet the following mandatory criteria, as a minimum, to participate in this RFP.

BACKGROUND AND BRIEF SCOPE OF WORK

The World Bank’s Valuation & Analytics team (WFAVA) is developing a new modeling platform for the fair value of IBRD and IDA loans (IBRD & IDA are jointly referred to as the “World Bank”) in accordance with applicable Accounting Standards. The model uses interest rates (yield-curves and cap volatilities) and Credit Default Swaps (CDS) for price discovery. Combined with the World Bank’s expected recovery on loans, these market data form critical inputs used to value the loans, including the prepayment (credit) and floor (interest rate) optionality. While default probabilities are derived from the market, i.e., implied from CDS spreads, recovery rates are set internally to reflect the World Bank’s preferred creditor status.

The objective of this RFP is to a) Validate the platform with regard to US GAAP requirements by benchmarking the valuation methodology with other institutions (PART-1) and b) Verify the platform with regard to the modeling approach, algorithms, implementation and inputs (PART – 2).

Firms that are interested to participate in Part 1 only (or), Part 2 only, (or) and both Parts 1 and Part 2 and meeting the below mentioned mandatory criteria may express interest and request for the solicitation package.

MANDATORY CRITERIA

§  Offeror must confirm that it has the financial capability to successfully support the entire contract.

§  Offeror must have expertise in advising client over the model methodology for statutory financial reporting for comparable instruments, in accordance with ASU-820 US GAAP requirements and / or IFRS equivalent (applicable for Part 1 scope only).

Offeror must have at least 5 years prior experience in working with projects which require benchmarking and evaluating leading market practices on the fair valuation of financial instruments (applicable for Part 1 scope only).

§  Offeror must have at least 5 years prior experience in modeling of Sovereign credit with embedded prepayment and floor optionality and the valuation of loans, fixed income & credit products with stochastic modelling of interest rate and credit factors (applicable for Part 2 scope only).

§  Offeror must haves at least 5 years prior experience with top financial institutions on institution level valuation systems projects with substantial expertise in working with C++ pricing library interfaced to SQL database (applicable for Part 2 scope only).

§  There may be additional mandatory criteria. They, if any, will be provided as part of the RFP package.

The solicitation may be obtained by sending an email to the designated Contracting Officer, referencing the following information:

1. Solicitation Number
2. Company Name
3. Contact Person Name and Title
4. Address
5. Telephone Number
6. Fax Number
7. Contact’s Email Address

A copy of the solicitation will be sent to organizations that have replied to this advertisement. All requests and questions regarding this solicitation shall be directed to the following designated Corporate Procurement Contract Officer(s):

Anuradha Gollur, agollurseshachar@worldbank.org

The World Bank Reserves The Right To Reject Any Or All Applications without Recourse.