Support and Maintenance of Yield Curve System

Department of Finance

ADVANCE CONTRACT AWARD NOTICE (ACAN) – Andrew Kalotay Associates Inc.

File # FIN-907202-2018-02-23

An Advance Contract Award Notice (ACAN) allows departments and agencies to post a notice, for no less than fifteen calendar days, indicating to the supplier community that it intends to award a good, service or construction contract to a pre-identified contractor. If no other supplier submits, on or before the closing date, a statement of capabilities that meets the requirements set out in the ACAN, the competitive requirements of the government’s contracting policy have been met. Following notification to suppliers not successful in demonstrating that their statement of capabilities meets the requirements set out in the ACAN, the contract may then be awarded using the Treasury Board’s electronic bidding authorities.

If other potential suppliers submit statements of capabilities during the fifteen calendar day posting period, and meet the requirements set out in the ACAN, the department or agency must proceed to a full tendering process on either the government’s electronic tendering service or through traditional means, in order to award the contract.

ADMINISTRATIVE AUTHORITY

Michelle Allen

Contracting Officer

(613) 369-3460

E-mail: Michelle.Allen@canada.ca

DESCRIPTIVE TITLE:

Support/Maintenance of Yield Curve System

BACKGROUND

In Budget 2007, the Government of Canada announced its intention to consolidate the borrowings of Farm Credit Canada (FCC), Canada Mortgage and Housing Canada (CMHC) and the Business Development Bank of Canada (BDC) with the Government’s debt program. Pursuant to this initiative, the Government of Canada agreed to provide loans based on the Government of Canada’s cost of funds on a flexible and timely basis to meet the business needs of the participating Crown borrowers. In November 2007, the Government of Canada issued a Request for Proposal (RFP) on MERX requesting submissions for the development, implementation and ongoing support/maintenance of a yield curve system, as a means to price the loans. 

In 2008, Andrew Kalotay Associates Inc. developed a proprietary yield curve model, the Canada Yield Curve Live Calculator (“CYCLiC”), consistent with the RFP requirements. The firm has been providing the Government of Canada with ongoing support/maintenance of the CYCLiC system since the Crown Borrowing Program (“the Program”) was implemented in April 2008.

 The Government of Canada requires a contract to extend maintenance, data and support services to continue operating the CYCLiC system.

MANDATORY REQUIREMENTS

Andrew Kalotay Associates Inc. developed a proprietary yield curve system, whereby the ownership of the foreground technology rests with them. The yield curve system has been functioning to the Department of Finance’s complete satisfaction since its implementation in 2008.

System requirements

• The yield curve system must generate accurate prices for the full range of short, medium and long-term loans. The inputs to the model must be accurate and representative pricing data, consisting of observable market rates for outstanding Government of Canada treasury bills and marketable bonds (excluding Real Return Bonds).
• The yield curve model must be accurate and robust using both a template and spread par yield curve (i.e., direct linear interpolation and cubic or other types of splines are not appropriate), and price with zero errors for current on-the-run benchmarks, and with minimal errors for the following maturities: overnight, 1 week, 2 weeks, 1 month, 3 months, 6 months and six-month increments thereafter. 
• A high quality and reliable consolidated data feed based on real-time prices for the full Government of Canada yield curve (marketable bonds and Treasury bills) must be used.
• A method for modifying inputs to accurately reflect changing conditions, such as the evolution of benchmark issues and/or market anomalies, must be established. 
• The yield curve must be automatically generated every 15 minutes at a minimum for the period from 8:00 am to 5:00 pm Eastern Time each business day. 
• A limited access, secure Web page for the automated distribution of the loan rates derived from the yield curve and a historical database storing all data points across the curve at the time of each update must be maintained. 
• Client support must be provided with a maximum one hour response time period from 8:00 am to 5:00 pm Eastern Time each business day.

Security requirements

• System access by authorized users and administrators only. Users must log onto the system with a combination of unique userID and a strong password.
• System access must be provided based on least privilege and need to know principles.
• System access logs must be maintained.
• Physical access to server room must be restricted to authorized personnel only.
• Integrity of the data must be verified daily using a data integrity checker.
• Secure session must be established to prevent data tampering while in transit.
• Change management process and incident response plans must be implemented.
• Infrastructure IT security posture must be in line with IT security industry best practices (e.g., firewalls, network zoning, access control, event logging, monitoring, antivirus, and patch management).
• Vulnerability assessment must be conducted and must demonstrate that all medium and high vulnerabilities have been eliminated.

CONTRACT PERIOD

The initial contract period shall from April 1, 2018 to March 31, 2019 and includes two, 1 year option periods:

April 1, 2019 to March 31, 2020

April 1, 2020 to March 31, 2021

ESTIMATED COST

The total estimated value of this contract is $243,197 CAD (excluding taxes) based on the following rates:

April 1, 2018 to March 31, 2019 - $79,466.00

April 1, 2019 to March 31, 2020 - $81,055.00

April 1, 2020 to March 31, 2021 - $82,676.00

IDENTIFICATION OF CONTRACTOR

Andrew Kalotay Associates Inc.

61 Broadway Ste 1400

New York, NY  10006

USA

 APPLICABLE TRADE AGREEMENTS:

The following Trade Agreements are applicable for these services:

Agreement on Internal Trade (AIT), Canada-Chile Free Trade Agreement (CCFTA), Canada-Colombia Free Trade Agreement, Canada-Honduras Free Trade Agreement, Canada-Korea Free Trade Agreement (CKFTA), Canada-Panama Free Trade Agreement, Canada-Peru Free Trade Agreement (CPFTA), Canadian Free Trade Agreement (CFTA), Comprehensive Economic and Trade Agreement (CETA), North American Free Trade Agreement (NAFTA) and World Trade Organization-Agreement on Government Procurement (WTO-AGP)

REASON FOR AWARDING CONTRACT TO THIS CONTRACTOR:

Under government contracting policy, Section 10.2.1 (d) only one person or firm is capable of performing the contract.

In 2007, Andrew Kalotay Associates Inc. successfully competed in a Request-for-Proposal process for the development, implementation and ongoing support/maintenance of a yield curve system. The CYCLiC system was subsequently implemented, providing the Department of Finance, participating Crown corporations and the Bank of Canada with online access to loan rates across a broad spectrum of maturities on an ongoing basis. 

The ownership of foreground technology embedded in CYCLiC rests with Andrew Kalotay Associates Inc. This contract does not provide for development and implementation costs for a replacement system, it only covers support and maintenance of an existing system. 

CLOSING DATE AND TIME FOR WRITTEN SUPPLIER RESPONSES CHALLENGING THIS REQUIREMENT IS 2018-03-12 AT 2:00 PM EST.

You are hereby notified that the government intends to solicit a bid and negotiate with the firm identified above.

If you wish to submit a written response showing that you are capable of meeting this requirement, it must be done no later than the closing date and time. As it is intended to proceed in a timely manner, responses received after the closing date will not be considered. The Crown reserves the right not to open this procurement to competition.

Responses received on or before the closing date will be considered solely for the purpose of deciding whether or not to conduct a competitive procurement. Information provided will be used by the Crown for technical evaluation purposes only and is not to be construed as a competitive solicitation. Your written response must provide sufficient evidence (e.g. specifications, technical data, drawings, or any other proof) that clearly demonstrates that your product or service is capable of fulfilling this requirement.

Suppliers that have submitted a response will be notified in writing of Finance‘s decision to continue with the non-competitive procurement or to compete the requirement.

Should you have any questions concerning this requirement, contact the contracting officer identified above. The Finance file number, the contracting officer's name and the closing date of the ACAN must appear on the outside of the envelope in block letters or, in the case of a facsimile transmission, on the covering page.