Attachment 1_Requirements List.pdf
PDF 137 KB Posted
- Attached to
- Intraday Credit Default Swaps Data Federal contract opportunity
- Solicitation number
- 50310224Q0138
- Issued by
- Securities and Exchange Commission
About this file
This document is a Request for Quote (RFQ) issued by the United States Securities and Exchange Commission (SEC) for access to a commercial data subscription for intraday price quotes (bid and ask prices) for index and single-name credit default swaps (CDSs) data.
The SEC requires an ongoing daily feed of this CDS data, as well as a full historical data set dating back to 2008. The RFQ outlines detailed technical requirements for the data, including specific data fields and formats. The SEC is only accepting responses from vendors that currently have a commercial off-the-shelf (COTS) product meeting all stated requirements - they are not seeking custom development. Quotes are due by August 29, 2024, and the SEC will evaluate technical capabilities and pricing to award a firm-fixed price contract for a base year with four one-year option periods. This acquisition is unrestricted, with a NAICS code of 519290 and a small business size standard of 1,000 employees.
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Other files for this federal contract opportunity
| File | Type | Posted |
|---|---|---|
| Attachment 3 - FAR 52.209-7.docx | DOCX document | |
| Attachment 2_Pricing.xlsx | XLSX spreadsheet | |
| 50310224Q0138_CombinedSynopsisSolicitation_final.pdf |
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Text version
50310224Q0138 Attachment 1 – Requirements List
1. Data requirements The Securities and Exchange Commission (SEC) requires intraday price quotes (bid and ask prices) for index and single-name credit default swaps (CDSs), including (a) CDSs written on corporate bonds, municipal bonds, sovereign bonds, loans, asset-backed securities, (b) CDSs written on indexes of corporate bonds, municipal bonds, sovereign bonds, loans, asset-backed securities, and (c) tranches of index CDSs.
The data shall indicate the quoting convention or price type of the intraday price quotes (e.g., whether the price quote is given as an upfront, a conventional spread, or a price/percent of par).
The date and timestamp of each intraday price quote must be provided. Further, the timestamp shall be precise at least to the second.
Each intraday price quote must be accompanied by instrument identifiers that allow an unambiguous identification of the CDS associated with the intraday price quote. These instrument identifiers include, but are not restricted to:
1. Indication of whether the CDS is a single-name, index, or index tranche CDS
2. Series and version information in the case of index CDS and index CDS tranche
3. Attachment and detachment points in the case of index CDS tranche
4. Identification of the underlying asset (e.g., reference entity, reference index). At least one of these identifiers must be in plain text, e.g., “American Electric Power Company, Inc.”
or “CDX NA IG Series 23”
5. Currency denomination
6. Seniority/ tier
7. Tenor
8. Restructuring/documentation clause
9. Coupon
Each instrument identifier must adhere to a consistent naming structure to facilitate machine parsing and search.
2. Data history The SEC requires an ongoing feed of intraday price quotation data. In addition, the SEC requires a full history of historical intraday price quotation data, going back to at least 2008.
3. Data delivery and format For the ongoing data feed, the requirements are:
• Data to be updated daily
• Data to be pushed daily as text files (CSV format, or some other type of text delimited file format)
• Option to download the data on an ad-hoc basis
For the historical data, the requirements are:
• One-time data dump
• Data to be provided as text files (CSV format, or some other type of text delimited file format)
File details come from the government source that posted it. Updated .