Create SECURITY.md

SECURITY.md

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+# Security Policy
+
+## Version Information
+
+Please see [Releases](https://github.com/Layr-Labs/eigenda-proxy/releases)
+
+## Audit reports
+
+Audit reports are published in the `docs/audits` folder: https://github.com/Layr-Labs/eigenda-proxy/main/docs/audits 
+
+| Date | Report Link |
+| ------- | ----------- |
+| 202501 | [pdf](https://github.com/Layr-Labs/eigenda/blob/main/docs/audits/Sigma_Prime_EigenDA_Proxy_Security_Assessment_Report.pdf) |
+
+## Reporting a Vulnerability
+
+**Please do not file a public ticket** mentioning the vulnerability.
+
+Please report security vulnerabilities to security@eigenlabs.org with the all the relavent details included in the email.