Data provider Markit has begun a daily service providing fair-value spreads for credit default swaps referenced to certain asset-backed securities in North America.
The firm says the first daily fair-value CDS of ABS spread facility will provide independent spreads for research, mark-to-market and valuation purposes. It adds that the service will aid clients in meeting mark-to-market accounting requirements under FAS 157.
Markit receives daily feeds on CDS of ABS from 10 market-makers' books,
The week on Risk.net, July 7-13, 2018Receive this by email