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Markit introduces sub-prime monitoring tool

15 January 2008  |  1291 views  |  0 Source: Markit

Markit, the leading provider of independent data, portfolio valuations and OTC derivatives trade processing, today announced the launch of a performance monitoring tool for U.S. asset-backed securities (ABS).

Launched in response to market conditions, Markit's new U.S. ABS Performance Data will bring greater transparency to the sub-prime mortgage market. The platform combines complete historical data at the bond, collateral pool and loan level to provide ABS market participants with a vital and timely source of information for deal monitoring and securitisation analysis. Additional RMBS and ABS asset classes will be added in due course.

The tool complements Markit's existing structured finance product set which includes cashflow modelling; a CDS of ABS spread service; a CDS of ABS trade settlement calculation service; European ABS performance data; and European ABS pricing. Markit is also the owner of ABX.HE, a traded synthetic index of U.S. home equity ABS that has become a closely watched indicator and valuation tool in the structured finance markets.

Ben Logan, Managing Director of Structured Finance at Markit, said: "Increasingly, ABS investors require a more timely and comprehensive understanding of the collateral underlying each ABS deal. Markit's new product aims to bring much needed transparency to the U.S. ABS markets by providing clients with an up-to-date collateral monitoring tool alongside the other unique and valuable content we offer. It will enable market participants to remain at the forefront of the markets and evaluate both the historical performance and the current risk profile of their ABS positions with ease and accuracy."

Features include:
  • Concise monthly snapshot reports with key deal statistics
  • Comprehensive collateral performance information at pool and deal level including:
    • Delinquency, loss and prepayment levels and speeds
    • Waterfall related triggers: stepdown, delinquency, cumulative loss
  • Complete bond payment and collateral performance history
  • Loan level statistics with data feed functionality
  • All deals updated within two days of monthly distribution date
  • Data validated to ensure integrity, andAbility to track customised portfolios.


The new service reinforces Markit's commitment to bringing transparency and efficiency to the ABS markets, and dovetails with the firm's award-winning Reference Cashflow Database (RCD), the industry standard for CDS of ABS trade settlement calculation. RCD provides bond-level performance data; simplifies complex settlement calculations; reduces errors in payment matching and clearing; and replaces the need for a costly infrastructure.

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