London-based data provider Markit has begun a daily service providing fair-value spreads for credit default swaps (CDS), referenced to certain asset-backed securities (ABS) in North America.The firm said the first daily fair-value CDS of ABS spread facility would provide independent spreads for research, mark-to-market and valuation purposes. It also claimed the service would aid clients in meeting mark-to-market accounting requirements under FAS 157. It receives daily feeds on CDS of ABS from 10 market-makers’ books, with spreads cleaned and validated before being published the following morning. In each case, Markit said, a minimum of three contributions would be used to ensure that spreads were accurate.
The facility presently covers residential and commercial mortgage-backed securities. Markit said it expects to add additional categories of ABSs to the service according to client demand, and that European instruments would be added "in due course".
Kevin Gould, executive vice-president of the firm, said: “We expect this to encourage the growth of the market, and we look forward to bringing new contributors and subscribers onto the service in the coming months.”
More on Infrastructure
US regulatory concerns about liquidity of government securities collateral could be resolved by access to the Fed’s discount window, CCP officials say
High-frequency traders have been viewed with suspicion for some time. Now critics claim exchanges are conspiring with the traders to develop tools that benefit them and disadvantage ordinary investo...
The benefits of local trade repositories outweigh the possible disadvantages of multiple reporting requirements, says executive director of HKMA’s financial infrastructure unit
Sign up for Risk.net email alerts
Nominated for two technology awards
Nominated for post trade technology award
Sponsored webinar: Collateral and counterparty tracking
Isda directors warn on fragmentation, access and liquidity - but expect problems to pass
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.