The problem is that we don't know the situation at all.
Literal
Problem [topic-は] we [subj-が] situation [obj-を] completely don't-know [nom-という thing-だ].
~ということだ here is the explanatory 'it is the case that.' Combined with the embedded clause, the structure is 問題は[clause]ということだ — 'the problem is that (clause).' まったく~ない for the emphatic negative ('not at all').