Attachment 1 Draft Requirements List (Global Market Pricing data).pdf

Sources Sought Notice: 50310225Q0049 Global Market Pricing Data Subscription Attachment 1 – Draft Requirements List

Overview

The SEC requires subscription to global market pricing data to support various analytic tools. The data subscription shall cover a broad range of securities, including global equities, fixed income, and certain categories of futures and options. The data subscription shall also cover global exchange rates and security master file information. The data subscription shall cover at least a ten-year history through current date, or the full period that a security has been in the marketplace, if shorter. The SEC will query this data from the vendor’s data store using an application programming interface (API). Queries will consist of security identifiers and date ranges, and responses will include associated high-level daily pricing and security master information. Alternatively, queries will consist of currency codes/date ranges or security master field data, and the associated exchange rate responses or security master field responses will be returned, respectively. The license shall be enterprise, which will enable all SEC staff, contractor personnel, and systems that require to access and make use of this data.

Global Market Pricing data Requirements

Securities Scope:

• Global Equities, inclusive but not limited to the following:

o U.S. and Foreign Listed Common Equities o U.S. Listed Preferred Equities o U.S. OTC/Pink Sheet o U.S. Listed ETFs, REITs, UITs and Mutual Funds (Open and Closed) o U.S. and Foreign Equity Indices o U.S. and Foreign Listed ADRs/GDRs o Foreign Listed Equities, ETFs, and Mutual Funds (Open and Closed)

• Fixed Income, inclusive but not limited to the following:

o U.S. Treasury o U.S. Agency Bonds (e.g. GNMA, FNMA, and FRMC) o U.S. Commercial Mortgage-Backed Securities (e.g. CMO and ARMs) o U.S. Additional ABS, besides MBS o U.S. Corporate (Investment Grade and High Yield) o U.S. Municipal Bonds o U.S. Convertible Bonds o ETNs o Foreign Government Bonds o Foreign Corporate Bonds o Eurobonds

• Options, inclusive but not limited to the following:

o Options on U.S. Equities, Fixed Income, Indices and VIX o Global Equity and Fixed Income Options, as available

• Futures, inclusive but not limited to the following:

o U.S. Index, Fixed Income, and Commodity Futures o Global Index, Fixed Income, and Commodity Futures

• Exchange Rates:

o Daily foreign currency exchange rates to USD. Exchange rates for any given currency on any given date, and query shall support providing New York, London, or Tokyo mid-rate.

Required Fields

Required fields shall be returned, as available, depending on security characteristics.

Security Master Fields

Data Field Description 1 Security Identifier Vendor-generated security identifier that can be used to disambiguate securities. For example, if two securities appear similar (e.g. have identical CUSIP and ISIN) but are nonetheless distinct, they must have different Security Identifiers.

2 CUSIP 9-Digit CUSIP Number.

3 ISIN ISIN 12-charactar alphanumeric.

4 SEDOL SEDOL (with Check Digit).

5 Ticker Symbol Ticker symbol based on primary exchange listing. For securities with primary listing on NYSE, for example, this would be their NYSE ticker and for securities with primary listing on NASDAQ, this would be their NASDAQ ticker.

6 NASDAQ Ticker Symbol Ticker symbol listed on NASDAQ, where available.

This shall be returned for all NASDAQ listings, regardless of whether this is primary listing.

7 NAICS Code North American Industry Classification System code.

8 Security Description Informative description of security.

9 Issuer Expanded issuer name.

10 Issuer Country Primary country associated with the security.

11 Issue Type 1 Issue Type Primary (e.g. Equity, Fixed Income).

12 Issue Type 2 Issue Type Secondary (e.g. ETF, ADR).

13 Exchange Primary exchange where the security is listed.

14 Option Multiplier Number of shares controlled.

15 Currency ISO Code of Primary currency in which the security is traded.

Security Market Pricing Fields

Data Field Description 16 High Price Daily high price (in local currency), according to primary exchange where the security is listed.

17 Open Price Daily open price (in local currency).

18 Low Price Daily low price (in local currency).

19 Close Price Daily close price (in local currency).

20 Adjustment Factor Factor to multiply equity prices by to correct for splits, reverse splits, dividends, etc., in order to obtain a number that can be meaningfully compared with prices as of the date when the query is performed.

21 Market Capitalization Estimate of the total market value (in local currency) of all shares outstanding.

22 Volume Estimate of the total number of securities traded in day.

23 Volume Weighted Average Price

Estimate of the ratio of total value of securities traded to total volume traded for day.

24 Exchange Rate Exchange rate to USD (mid-rate). NY, London, or Tokyo, per query parameters. Field is only required for exchange rate queries.

Preferred Security Market Pricing Fields (if available)

Preferred Security Market Pricing fields should be returned, as available, depending on security characteristics.

Data Field Description 25 Short Interest Number of shares sold short but not yet closed.

26 Open Interest Number of outstanding contracts for options or futures that have not settled.

27 Shares Outstanding Number of shares issued, which are held by investors.

28 Market Float Number of shares available for public trading.

29 Call Indicator

A flag indicating if an issue is callable.

30 Next Call Date

Next date when the issue may be called by issuer.

31 Next Call Price

The price at which the issue may be called on the next call date.

32 Maturity/Termination Date

Date when instrument matures or terminates.

33 Coupon Rate

Current rate at which instrument pays coupons.

34 NRSRO Rating Credit quality rating of the issue by a Nationally Recognized Statistical Rating Organization.

Scope

All Security Master Field and Security Market Pricing data shall be available for a minimum of ten years through the current date or as long as security has been in existence, if shorter.

The API shall support querying Security Master Fields separately, using any one of the following security identifiers: Ticker Symbol; CUSIP; SEDOL; or ISIN. For example, if Security Master Field data is queried solely by CUSIP, then response shall include relevant Security Master Field data for security with that CUSIP.

The API shall support querying exchange rate information using solely an ISO currency code and date range, without a security. In response, the API shall return exchange rates for the currency in question on all relevant dates within the queried date range. The API shall enable the user to specify whether they want these exchange rates for the NY, London, or Tokyo mid-rate.

• The API shall support querying Security Market Pricing Fields (aside from Currency Rate) using a combination of one security identifier (Ticker Symbol, CUSIP, SEDOL, or ISIN) and a date range.

Vendor shall include N/A or equivalent code, whenever a queried field is not applicable to the query request (e.g. queried security).

The database shall be accessible 24/7/365 by any SEC applications or SEC staff that SEC deems authorized to access the data.

The SEC will store the data retrieved from the vendor to, for example, reduce redundant data queries and to improve system performance. In addition, SEC users will store data on local units to support their data analytics.

At a minimum, the vendor shall be able to process query requests from up to 32 concurrent API connections and up to 50GB of total data transmissions per day. API shall be sufficiently performant for this usage level and noted data request parameters (e.g. up to ten years of pricing) to satisfactorily support SEC mission needs.

In additional to API access, SEC staff shall also be provided with a basic graphical user interface (GUI) via which they can query data directly from the vendor’s data store.

The vendor shall provide documentation on how to perform queries and interpret responses for all API query scenarios, including specific instructions for futures and options. The vendor shall also provide documentation on GUI usage.

The vendor shall provide robust privacy safeguards for all queries performed (via API and GUI) and all user activity, including not monitoring or saving queries executed and providing SEC with generic access credentials (i.e. not to include “SEC” or SEC staff names).

This shall be an enterprise license, which will allow all SEC staff, contractor personnel and agency applications that require to use and share this data. In addition, licensing shall allow the SEC to use data externally for its mission needs, such as to support legal proceedings.

End of Document