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Thomson Reuters to Use Lewtan’s ABSNet Data for Valuation Risk Service

Thomson Reuters has selected Lewtan Technologies’ ABSNet to provide it with asset backed securities (ABS) data in order to expand its Valuation Risk Service. The vendor will use the ABSNet cash flow library to provide its clients with additional coverage of structured finance instruments in Europe, says Karl Mackelburg, global head of structured finance and derivative pricing at Thomson Reuters.

“The opaque nature of the world’s structured finance markets has driven demand for robust, independent, evaluated prices,” says Mackelburg. “Working with Lewtan supports Thomson Reuters’ goal of incorporating external market expertise to provide greater coverage and accuracy, especially on difficult to value assets.”

The addition of the data is therefore aimed at helping to strengthen transparency and develop better evaluated prices in the marketplace, claims the vendor. To this end, Thomson Reuters will use the ABSNet cash flow library to provide model support in conjunction with observable price data for the broadest European mortgage backed securities (MBS) coverage.

Market dislocation in global ABS, MBS and commercial mortgage-backed securities (CMBS) bond prices has required investors to acquire additional data on both the evaluated prices themselves and underlying credit performance. Lewtan provides both deal models to form independent pricing valuations as well as underlying credit performance data on both the bonds and the collateral supporting these transactions.

Ned Myers, chief marketing officer of Lewtan, comments: “Market transparency of prices and challenges with the mark to market model are on the forefront. With the structured finance community left to continue pricing most bonds on a Level 3 basis under FAS 157, investors have had to interpret wide fluctuations in derivatives market prices, internal valuation models, and third party valuations to determine the value of their portfolios. The combination of ABSNet’s data and deal models with Thomson Reuters pricing expertise will provide more credible prices when a mark to model price is required.”

Thomson Reuters launched its Valuation Risk Service at Sibos last year, with a view to providing financial institutions with independent valuations across a number of asset classes including structured products and derivatives. The service is based on an open model approach to pricing and valuation and is integrated with the Kondor and Reuters 3000 Xtra pricing libraries.

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