The Securities and Exchange Commission (SEC) is seeking information for a portfolio analysis tool that provides both data and functionality to analyze more exotic instruments and derivatives. THIS REQUEST FOR INFORMATION IS FOR INFORMATIONAL PURPOSES ONLY. THIS IS NOT A REQUEST FOR PROPOSAL. IT DOES NOT CONSTITUTE A SOLICITATION AND SHALL NOT BE CONSTRUED AS A COMMITMENT BY THE GOVERNMENT. RESPONSES IN ANY FORM ARE NOT OFFERS AND THE GOVERNMENT IS UNDER NO OBLIGATION TO AWARD A CONTRACT AS A RESULT OF THIS ANNOUNCEMENT. NO FUNDS ARE AVAILABLE TO PAY FOR PREPARATION OF RESPONSES TO THIS ANNOUNCEMENT. ANY INFORMATION SUBMITTED BY RESPONDENTS TO THIS TECHNICAL DESCRIPTION IS STRICTLY VOLUNTARY. The SEC is issuing this RFI to exchange information with industry related to its efforts to acquire a tool that that will allow quantitative groups within the SEC to properly analyze the risks taken by registrants. BACKGROUND: The diversity in investment strategies and asset classes utilized by registrant's makes it difficult to get an enterprise view of portfolio composition and risk. Currently, the SEC has access to market information through several market data vendors. While the SEC's licenses or subscriptions with these vendors fulfills many of the SEC's market data needs, it does not provide sufficient coverage of derivatives (e.g. options) or exotic instruments for examiners to fully analyze the risks taken by registrants on behalf of client accounts. Since options derive their value from the underlying assets and exhibit non-linear returns, the risk dynamics of portfolios invested in options are more complicated and require more advanced analysis (e.g. Monte Carlo simulation, volatility surface estimation, greeks, factor decompositions, etc.). OBJECTIVE: The agency has a specific need for a tool to provide sufficient historical coverage of derivatives (e.g. options) and exotic instruments for examiners to fully analyze the risks taken by registrants on behalf of their client accounts. Business Requirements: 1. Mistake proof data/information entry controls 2. Define workflow 3. Configurable to process and procedural changes 4. Communication and transparency, with the ability to connect to other key systems System Requirements: 1. Provide market data, both current and historical, across multiple asset classes and instruments, both foreign and domestic 2. Provide portfolio analysis, both current and historical, for portfolios consisting of a broad range of asset classes. Analysis should include factor analysis, applying to a broad range of asset classes, not just equities 3. Provide up-to-date market data, as well as historical data, covering a significant portion of options universe, both foreign and domestic 4. Calculate option volatility surfaces and greeks, both current and historical, for the universe of options covered 5. Provide a robust API to query market information (e.g. factor analysis, volatility surface calculations, etc.) and pull the data back in a format, such as CSV, that is easily ingestible in internal applications 6. Provide exportable analyses and reports that may be integrated into other applications RFI Instructions: Interested parties who believe they have the capability to meet the general requirements of this RFI are invited to submit details as to their abilities. Responses MUST be submitted via email to Reginald Barnes at
[email protected] by 10:00AM ET on 20 June 2016. The subject line of the submission should be "RFI for Portfolio Analysis Tool". Responses must include the following information and answer the following questions: 1. Company name, address, point of contact, phone number and email address. 2. Company size (Small, Large, 8(a), etc.). 3. Contract vehicles available such as GSA Schedule, etc. to include contract number. 4. Availability of Commercial-of-the-Shelf products to meet all requirements. 5. Capability statements and information describing your general approach to meeting the requirements. 6. Brief description of at least one previous experience implementing your Portfolio Analysis Tool within Government agencies. 7. What additional information from the Government would you need to develop a response if a solicitation were issued? Information submitted in response to this RFI may be used to help develop a solicitation that may lead to a contract. This RFI will allow industry the opportunity to verify reasonableness and feasibility of the government's requirement and to affirm that there is a general understanding of the requirement. This RFI is not to be construed as a commitment by the Government, implied or otherwise, to issue a solicitation or to award a contract. The Government will not pay for information provided in response to this RFI or any follow-up information requests.