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A-Team Insight Blogs

Fitch Launches Pricing Service for Asset-Backed Credit Default Swaps to Meet Growing Demand

Fitch Solutions last month launched a new pricing service for asset-backed credit default swaps (ABCDSs). The new services is aimed at meeting what Fitch sees as growing demand for independent pricing that covers the ABS product spectrum.

As such, the company is pitching the new service as complementary to its existing single-name credit-default swap and loan CDS services. The ABCDS service combines consensus pricing for asset-backed credit default swaps with a benchmark service to provide a derived price for illiquid assets.

Fitch ABCDS provides coverage of 7500 ABCDSs globally by combining consensus pricing for liquid issues with benchmarking for illiquid issues. Asset types include residential and commercial mortgage-backed securities (RMBSs/CMBSs), credit cards, automobile ABSs and collateralized debt obligations (CDOs).

According to Thomas Aubrey, managing director at Fitch Solutions, the Fitch ABCDS Pricing service alleviates the need for users to consolidate and clean data from multiple sources; it uses a managed data cleansing process to ensure reliability and data quality. Users – portfolio and hedge fund managers, research analysts and credit risk officers are being targeted – can use the Fitch service to measure and monitor credit quality, providing increased transparency for corporate shareholders and regulators.

Contributors are encouraged to supply data to the new service by a so-called ‘give and get’ facility that gives them detailed information on the named credits for which they contribute information. This data includes anonymous market quote plus daily data cleaning reports that highlight problematic data.

Fitch staff are made available to answer queries about the data. The company is providing pricing for illiquid ABCDSs derived from bespoke benchmarking. More liquid securities are priced using more generic benchmarks based on collateral, vintage and rating.

The new service can be accessed via Fitch’s web-site, or using FTP, allowing clients to integrate it with internal systems or off-the-shelf third-party software.

Separately, the company has just added a new search engine to its FitchResearch.com online portal, giving subscribers greater search functionality across its archive of data, research and analytics. The FitchResearch online portal is a web-based subscription service that provides access to Fitch’s ratings, research and surveillance tools. It covers a broad range of sectors, issuers and securities, and can be customized by users to suit individual portfolios.

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