The leading knowledge platform for the financial technology industry
The leading knowledge platform for the financial technology industry

A-Team Insight Blogs

Fitch Solutions Launches New CDS of ABS Market Indices for US Subprime Assets

Subscribe to our newsletter

Following the integration of its website with Fitch Ratings last month, Fitch Solutions has added yet more functionality to its valuations portfolio with the addition of credit default swaps (CDS) of asset backed securities (ABS) broad market indices for US subprime assets. The ratings provider is understandably placing more emphasis on its system solution business, as it feels the pinch from the market downturn and increased regulatory scrutiny of ratings firms.

The five new indices will be made available within Fitch Solutions ABCDS’ pricing service which provides consensus pricing for CDS of ABS, which it launched in April last year. The move is also a reaction to the stabilisation of US house prices and subprime asset values, says Thomas Aubrey, managing director of the Fitch Solutions business.

“In general, the synthetic subprime market is still seeing more activity than its cash equivalent and hence can be used as an effective proxy for asset values. Fitch Solutions’ new indices will fill a gap by helping market participants with broader trend analysis and improving relative valuation techniques across different asset classes,” explains Aubrey.

The Fitch Solutions business has been steadily upping its game this year with the addition of new functionality and solutions, under the watchful eye of ex-Thomson Financial director Aubrey. Earlier this year, the vendor incorporated new risk and pricing benchmarks into its Fitch Risk and Performance Platform, which was launched in June 2008.

According to Aubrey, what is important to note about the five new indices, which are presented as cash prices, is they provide a total market view of all vintages as well as vintage specific indices thus providing a broader insight into the US sub prime market. The new indices will be provided along with a complementary benchmark service to provide a derived price for illiquid assets.

The ABCDS service currently receives data on over 12,000 asset backed default swaps. It was launched as complementary service in April last year for Fitch’s existing single name CDS and loan CDS services customers. The ABCDS service combines consensus pricing for asset backed CDS with a benchmark service to provide a derived price for illiquid assets.

Aubrey says the service alleviates the need for users to consolidate and clean data from multiple sources because it uses a managed data cleansing process to ensure reliability and data quality. Users, who include 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 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.

Subscribe to our newsletter

Related content

WEBINAR

Upcoming Webinar: FRTB: What still needs to be done before the global deadline of January 2023?

Date: 8 March 2022 Time: 10:00am ET / 3:00pm London / 4:00pm CET Duration: 50 minutes While implementation of Fundamental Review of the Trading Book (FRTB) regulation has been delayed twice for reasons first of complexity and second of the coronavirus pandemic, the final deadline of January 1, 2023 is less than a year away....

BLOG

Moody’s Boosts KYC Offerings with Acquisition of PassFort and Kompany

Moody’s has continued its foray into the regulatory and compliance segment with the acquisition of two KYC solutions providers: PassFort and 360kompany (a.k.a. kompany). The acquisitions complement Moody’s Orbis company database acquired with Bureau van Dijk, and are aimed at adding to Moody’s KYC, AML and counterparty risk capabilities. The acquisition of PassFort and planned...

EVENT

Data Management Summit New York City (Redirected)

Now in its 8th year, the Data Management Summit (DMS) in NYC explores the shift to the new world where data is redefining the operating model and firms are seeking to unlock value via data transformation projects for enterprise gain and competitive edge.

GUIDE

Entity Data Management Handbook

Following on from the success of our Regulatory Data Handbook, A-Team Group is pleased to introduce its new Entity Data Management Handbook which is available for free download. This Handbook is the ultimate guide to all things entity data: Why Entity Data is important A full review of Legal Entity Identifiers (LEIs) Where they came...