The Common Eurosystem Pricing Hub (CEPH), which is operated by the Deutsche Bundesbank and the Banque de France, determines a uniform price on a daily basis for marketable securities admitted by the Eurosystem and makes it available to the Eurosystem to fulfill its (legal) tasks. In order to determine these Eurosystem prices, various data such as market prices, reference data, and market data are required. These are to be procured as part of this award procedure.
The object of the award procedure is the procurement of data services via the daily delivery of market prices, master data and market data for the following product universe:
-Bonds issued by debtors based in the euro area
o Public and quasi-public budget bonds
o uncovered bank bonds
o Pfandbriefe and Jumbo Pfandbriefe
o Industrial bonds
o short- and medium-term debt instruments (e.g. money market certificates, medium term notes)
o Asset backed securities (ABS) /mortgages backed securities (MBS)
o other structured securities (excluding ABS/MBS)
government bonds (issued by G-10 countries outside the euro area in their respective national currencies - USD, GBP, JPY, CAD, SEK and CHF).
The specific scope of services for the data services can be found in the respective lot.
Further NOTES: see VI.3) Additional information
Market prices for asset-backed securities (ABS) and mortgage-backed securities (MBS)-Prices including price sources
-Liquidity indicators (e.g. trading volume, bid-letter ranges, timestamps)
Market prices for securities other than ABS and MBS (non-ABS)-Prices including price sources
-Liquidity indicators (e.g. trading volume, bid-letter ranges, timestamps)
ABS and MBS reference data- basic (descriptive) master data fields for securities
- detailed master data fields for structured securities
- specific master data and cash flows for ABS/MBS
- Loan level data
Reference data for non-ABS- Master data (e.g. issue and maturity date, bond type, repurchase)
- Leg data (e.g. bond interest rate, reference index, cap, spread, factor)
- Feature data (e.g. call, put, sink schedule)
- Inflation data (e.g. reference consumer price index, inflation type)
market data- fixings
- interest rates
- Volatilities (caps and swaptions)
Inflation market data- Inflation index rates
- Inflation swap rates (ZC and YoY)
- Inflation cap volatilities (ZC and YoY)