The Federal Housing Finance Agency (FHFA) is seeking a Commercial Off-The-Shelf (COTS) interest rate risk and credit risk modeling software package. The software must be able to integrate into FHFA's existing systems, including the Windows operating system and Oracle and Sequel databases. The selected contractor will provide a software package that can model interest rate risk and credit risk, and must be fully integrated with mortgage security data and structured fixed-income cash flow models. The contractor will also provide software installation and implementation services, software maintenance and support, and training services. • The software must be able to analyze option-adjusted spread (OAS) and hedge analysis, and must support the Secured Overnight Financing Rate (SOFR) and Overnight Indexed Swap (OIS) curves. • The software must be able to calculate market value, income, and cash flows in scenarios including parallel and non-parallel shifts in yield curves. • The software must be capable of incorporating static and dynamic user-defined mortgage prepayment, default, and loss assumptions at the loan level and at the security level. • The contractor must deliver software executable files, data files, and license keys within five business days of contract award. • The contractor must provide support services for the initial implementation and installation of the software within 30 calendar days of the contract start date.