Attachment_1_Statement_of_Work.pdf

Statement of Work

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 at least be precise 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)