Attachment 1 - Requirements List.pdf

Attachment 1 – Requirements List Deal, Pool and Tranche Level Data for Asset-Backed Securities

The US Securities and Exchange Commission (SEC) require deal, pool, and tranche level data for asset-backed securities (ABS) sold and distributed in the U.S.

The data shall provide historical coverage of all ABS and CMBS transactions sold in the U.S.

since at least 2000, including registered and 144A/private deals. The data shall be made available through FTP or SFTP download or via a secure web portal. The data may consist of several tables that must be linked via a set of key variables. ABS tranches must be identifiable by CUSIP in order to link with external datasets.

Specifically, the data must include, at a minimum:

• Extensive coverage of all ABS and CMBS transactions sold in the U.S. since at least 2000, including registered and 144A/private deals. This would include all ABS by collateral type, including consumer, corporate, commercial and whole business. It would also include all CMBS and non-agency RMBS deals and would total 16,000 deals at minimum.

• Deal level data should include: aggregate deal characteristics (e.g., issuer name, amount issued, relevant dates: closing/pricing/cutoff, etc.), involved parties (e.g., all underwriters, bookrunners, sponsors, trustees, servicers, etc.), aggregate pool characteristics (number of loans in the pool, loan types, other characteristics dependent on asset class, e.g., WAC, WAM, etc.).

• Tranche level data should include: security identifiers (CUSIP or ISIN), tranche characteristics (e.g., types, face values, coupons, subordination levels, credit enhancement), initial spreads/prices, etc.

• Post-issue performance data should include the following. At the tranche level:

distributions, impairments, defaults, missed payments, modifications. At the pool level:

percentage of delinquencies in the pool, defaults of underlying assets, prepayment history.

Technical requirements for data delivery

• Data delivery in flat text or .csv files with the ability to easily move the information into statistical software packages like SAS, Stata, or R.

• Availability for multiple users across the organization.

• Ability to link tranche and deal level information.

• Quarterly updates at minimum.

• Reference materials such as data dictionaries or data mapping files.

The U.S. Securities and Exchange Commission (SEC) must have a complete understanding of all data services, data feeds, and databases acquired from the Contractor. To that end, the Contractor is required to provide sufficient documentation that adequately explains ALL data elements provided through the Contract. At a minimum, the documentation must account for the following:

1. All Data Elements provided by the Contractor to include:

a. The unique data element name

b. Description of the meaning of the data element

c. Data type (text, number, date, true/false, etc.), size (character length), and if needed, any special representation that applies to the data element such as the format (MMDDYYYY)

d. Explanation of data values or constraints when appropriate. For example, a data element that only contains 3 possible values; 1 = Yes, 2 = No, 3 = Not Applicable.

This would not be necessary for the values of data elements that are unconstrained. Examples of constraints also include required, conditional, null, etc.

2. All Data Tables provided by the Contractor to include:

a. Table Name

b. List of data elements contained in the table

c. Identification of table key(s)

3. Data Model or Schema that adequately depicts the whole database, data dependencies, and the relationships amongst the data elements and tables

4. When specified by the Contract, Data Location to include:

a. Original data source or location

b. Any staging storage areas

c. Final storage areas

It is anticipated that the Contractor’s existing data documentation will meet the needs of the SEC. However, in the case that the documentation is insufficient, the Contractor must provide additional information to meet the requirements above.