General - MANDATORY CRITERIA
Offeror’s RESPONSE
Is your company’s annual revenue greater than $50 million?
Confirm Acceptance
Yes____/No____
Provide supporting
evidence
Have the Offeror’s financial statements for the past two years been audited and
audit opinions do not contain material qualifications and do not contain material
going concern disclosures; and there are no other indicators of material
financial or control weaknesses?
For firms who are not required to produce audited financials, and they are not
available, then equivalent CPA attestation will be required. This information
should be provided as Exhibit II.
Confirm Acceptance
Yes____/No____
Does the Offeror commit to providing executive summary of security
assessment results from a trusted third party, or allow the Bank’s Office of
Information Security (OIS) to conduct assessment of information security
controls on the proposed system on a periodic basis, including but not limited
to, the initial installation of the software, production-ready configuration of the
software, or any applied software patches, updates or upgrades?
Confirm Acceptance
Yes____/No____
Does the Offeror commit to remediating security vulnerabilities based on an
agreed-upon schedule? Offeror must commit to providing continued support for
this requirement as and when vulnerabilities are detected on the Offeror’s
product either by the Bank’s Office of Information Security (OIS) or the trusted
third party the Offeror engages?
Confirm Acceptance
Yes____/No____
Provide supporting
evidence
Provide supporting
evidence
Provide supporting
evidence
Valuation Platform Replacement Project Mandatory Requirements
Question
Description
No
Valuation
Platform
Capabilities
Yes
Mandatory
Business
Requirements
General Offeror Qualification
Does the Offeror have a proven track record of successful implementations of the proposed solution
at institutions with size and complexity similar to WBG (globally diversified portfolio in different asset
classes, with balance sheet size > $50bn, active in derivatives market)
Must be substantiated by two (2) Professional References from two (2) different implementations
already in production. (References should have implemented a Valuation Platform solution for an
institution that supports a multi-asset class, multi-currency portfolio and should provide:
a) Organization/Name and Location
b) Contact Person Name and Phone Number
c) E-mail Address
d) Period of Performance
In case Offeror cannot release its clients name at this stage of RFP, by stating “Yes” to this
mandatory criteria Offeror accepts the following: i) the Offeror meets the above criteria at the time of
the submission of their Mandatory criteria; ii) the Offeror will release the names and other details of
the reference institutions at the end of the technical evaluation phase of RFP if they would be
selected by the World Bank for the next phase (which involves reference site visits) for the selected
Valuation Platform Replacement Project Mandatory Requirements
Question
Description
No
Valuation
Platform
Capabilities
Yes
Mandatory
Business
Requirements
vendors; and iii) the Offeror agrees to abide by the World Bank’s decision if upon receipt of the
reference information, the World Bank, in its sole determination, deems that the vendor did not meet
the criteria.
1
Product and model coverage Does the system perform valuations for the following
trade types (as bonds and as corresponding asset swaps) with existing out-of-the-box
functionality which has been implemented and used by clients?
Note the below instruments would be in the form of bonds and asset swaps that hedge
the bonds with usually a 6 months LIBOR pay leg in a major currency (often resulting,
including the callable structures, in a cross-currency swap).
All trade types must be substantiated by sample reports or screenshots of valuation results
1.1 Callable/Triggerable, FX/Index linked
trades
a) PRDC
b) FX linked TARN
1.2 Single and cross currency long dated
callable
a) Single currency – fixed rate
b) Single currency – zero coupon
c) Single currency – accreting
notional
d) Single currency – floating rate
capped/floored
e) Cross currency – fixed rate
f) Cross currency – zero coupon
g) Cross currency – acreting notional
h) Cross currency – floating rate
capped/floored
1.3 Range accruals
a) CMS callable
b) CMS noncallable
1.4 CMS Linked
a) CMS spread linked – callable
b) CMS spread linked – noncallable
1.5 Equity Linked
a) Basket linked – noncallable
b) Single name/index – noncallable
c) Single name/index – KIKO
1.6 Reverse floaters
a) Standard
b) Capped/floored
Valuation Platform Replacement Project Mandatory Requirements
Question
Description
2
Curve construction - Does the system support curve construction including the
following requirements and features with existing out-of-the-box functionality which has
been implemented and used by clients
2.1 Multi variable solver capability (e.g. the
system should be able to bootstrap, given the
appropriate set of constraints, an index and a
discount curve simultaneously, such as a
LIBOR paying interest rate swaps discounted
on a OIS curve)
No
Valuation
Platform
Capabilities
Yes
Mandatory
Business
Requirements
Must be substantiated with screenshots
2.2 OIS/Collateralized curve construction
3
Must be substantiated with screenshots
Providing Summit with key data for accounting and settlements. Summit will
remain the system of accounting and settlements, but new system will be used for trade
captures. In order to achieve this, the new valuation platform will be required to provide
Summit with all the data needed to maintain the current downstream accounting and
settlement processes. This will be needed in an automated fashion and robust enough
to be performed daily / real time at production level.
Does the system generate and store the following analytics out of the box?
3.1 Cash flows, analytics and accounting
events data for interest rate swaps /
swaptions, cross currency swaps / swaptions,
and bonds: MTM, interest accruals, interest
payments, principal payments, cash
purchases and cash settlements and
premium/discount due to amortizations for
bonds and swaps
Must be substantiated with screenshots or
reports
3.2 Perform rate fixing in order to generate
actual cashflows for payments and cash
movements and estimate future cash flows.
4
Must be substantiated with screenshots or
reports
Static, market and trade data. In addition to valuation the new platform needs to be
able to offer the following functionalities. Does the system provide the following
functionalities?
Valuation Platform Replacement Project Mandatory Requirements
Question
Description
No
Valuation
Platform
Capabilities
Yes
Mandatory
Business
Requirements
4.1 Enterprise database that stores trade,
market and static data.
Must be substantiated with screenshots,
and a brief description of database to
include name and version
4.2 Storage of market data in enterprise
database
Must be substantiated with screenshots
4.3 Storage of static data (conventions, etc.)
in enterprise database
Must be substantiated with screenshots
4.4 Trade capture and entry functionality at
the point of execution using a predefined set
of appropriate templates to book and store the
trade details in enterprise database
Must be substantiated with screenshots
4.5 Ability to build a production link to a live
market data source
Must be substantiated with screenshots
Liquidity Management System Replacement Project Mandatory Requirements
General Offeror Qualification
No
Question
Yes
Mandatory
Requirements
Does the Offeror have a proven track record of successful implementations of the proposed solution
at institutions with complexity similar to WBG (globally diversified portfolio in different asset classes)
Must be substantiated by two (2) Professional References from two (2) different implementations
already in production. (References should have implemented a liquidity management solution for an
institution that supports a multi-asset class, multi-currency portfolio and should provide:
a) Organization/Name and Location
b) Contact Person Name and Phone Number
c) E-mail Address
d) Period of Performance
In case Offeror cannot release its clients name at this stage of RFP, by stating “Yes” to this
mandatory criteria Offeror accepts the following: i) the Offeror meets the above criteria at the time of
the submission of their Mandatory criteria; ii) the Offeror will release the names and other details of
the reference institutions at the end of the technical evaluation phase of RFP if they would be
selected by the World Bank for the next phase (which involves reference site visits) for the selected
vendors; and iii) the Offeror agrees to abide by the World Bank’s decision if upon receipt of the
reference information, the World Bank, in its sole determination, deems that the vendor did not meet
the criteria.
1
1.1
1.2
2
2.1
2.2
2.3
2.4
Data – Out of the Box Functionality
Is the solution capable of generating cash flows for the following instruments with
existing out-of-the-box functionality which has been implemented and used by
clients?
a) Fixed rate noncallable bond
b) Floating rate noncallable bond
c) Vanilla interest rate swap
d) Vanilla cross currency swap
Must be substantiated with screenshots
Does the solution provide tool(s) to import and input data?
a) Cash flow data
b) Market data
Must be substantiated with screenshots
Analytics – Out of the Box Functionality
Is the solution capable of aggregating internally generated cash flows with
cash flows from external sources as well as manually input data?
Must be substantiated with screenshots
Is the solution capable of aggregating cash flows by the following:
a) Portfolio
b) Currency
c) Daily time bucket
d) Monthly time bucket
e) User defined time buckets
Must be substantiated with screenshots
Is the solution capable of providing equation/formula builder to create
custom defined functions such as liquidity ratio?
Must be substantiated with screenshots
Is the solution capable of performing the following analysis at the portfolio level:
a) Impact on liquidity of different business decisions (e.g. rollover of
2.5
3
3.1
short term funding, new debt issues)
b) Behavior and market based stress test scenario analysis ( e.g.
increase lending by 10%, dollar depreciation)
Must be substantiated with screenshots
Is the solution capable of accepting user defined/input business rules and
parameters? (e.g. limits, exception flags)
Must be substantiated with screenshots
Reporting Functionality
Does the solution have capabilities for the following reporting operations:
1.1 Drill down
2.1 Scheduling Capability
Must be substantiated with screenshots
Portfolio Analytics Replacement Project Mandatory Requirements
MANDATORY CRITERIA
1.1 Does your system provide portfolio, benchmark, and relative risk
calculations and reports?
Must be substantiated by a sample report that is implemented for
clients.
1.2 Does your system provide risk statistics (including duration, KRD, Spread
duration, convexity, vega, VaR) for the following securities (when applicable):
MBS, CMO, floating rate notes, government / agency / supra / corporate
bonds, cross-currency swaps, FX forwards, EuroDollar / FedFunds / Bond
Futures, inflation-linked securities (US / non-US), callable bonds, swaptions?
Please state "Yes" if your system covers all the items stated here.
OFFEROR’S
RESPONSE
Confirm Acceptance
Yes____/No____
Confirm Acceptance
Yes____/No____
Must be substantiated by sample report(s).
1.3 Does your system provide stress testing and what-if analysis capabilities?
Must be substantiated by sample report(s) that are implemented for
clients.
Confirm Acceptance
1.4 Does your system allow users to change model parameters, re-generate
risk statistics and reports with new parameters?
Must be substantiated by sample report(s) that are implemented for
clients or screen shots for the solution that is proposed.
Confirm Acceptance
1.5 World Bank Group provides risk statistics and reports for its clients under
the asset management business. Client portfolios will be part of the
contract between World Bank Group and the Offeror and World Bank will
run those portfolios in the proposed solution Offeror offers. The Offeror
agrees that reports generated from their system will be shared with World
Bank Group clients.
1.6 Does the Offeror have a proven track record of successful implementation
of the proposed solution at institutions with size and complexity similar to
WBG (globally diversified portfolio in different asset classes, with balance
sheet size > $50bn, active in derivatives market)
Must be substantiated by two (2) Professional References from two (2)
different implementations already in production. (References should have
implemented a market risk solution for an institution that supports a multiasset class, multi-currency portfolio and should provide:
Confirm Acceptance
Yes____/No____
Yes____/No____
Yes____/No____
Confirm Acceptance
Yes____/No____
Portfolio Analytics Replacement Project Mandatory Requirements
MANDATORY CRITERIA
OFFEROR’S
RESPONSE
a) Organization/Name and Location
b) Contact Person Name and Phone Number
c) E-mail Address
d) Period of Performance
In case Offeror cannot release its clients name at this stage of RFP, by
stating “Yes” to this mandatory criteria Offeror accepts the following: i) the
Offeror meets the above criteria at the time of the submission of their
Mandatory criteria; ii) the Offeror will release the names and other details of
the reference institutions at the end of the technical evaluation phase of RFP
if they would be selected by the World Bank for the next phase (which
involves reference site visits) for the selected vendors; and iii) the Offeror
agrees to abide by the World Bank’s decision if upon receipt of the reference
information, the World Bank, in its sole determination, deems that the vendor
did not meet the criteria.
Interested Offerors should provide responses to the mandatory criteria, including all supporting evidence,
to Alan Ham, Contracts Officer, at aham@worldbank.org.