Asset Backed CDS Reference Data

Simplify settlement calculations and reduce failure rates in the Asset Backed CDS (ABCDS) market

ABCDS have a “pay as you go” structure where fixed and floating payments are calculated monthly. Due to the lack of available data and the complexity of payment calculations, market participants often have varying interpretations of settlement amounts. IHS Markit can help you resolve these competing interpretations and get efficient, accurate data collection and calculations when you are facing a tight window for settling monthly ABCDS payments.

Our ABCDS reference cash flow database provides centralized monitoring and settlement calculations for CDS of ABS trades, covering both US and EU securities across RMBS, CMBS and consumer ABS asset classes. Reference Data for ABCDS determines monthly settlement on CDS of ABS trades based on ISDA pay-as-you-go requirements, a structure wherein fixed and floating payments are calculated monthly.

Our calculation engine greatly simplifies complex settlement calculations, and our payment matching and clearing helps reduce failure rates. Clients can resolve cash flow payment discrepancies with a single enquiry, replacing numerous counterparty conversations.

Key benefits:

  • Portfolio alerts – Provides daily notifications of credit events, including write-downs, implied write-downs, distressed ratings downgrades and bond step-ups, as well as trustee corrections
  • Timeliness – Settlement data is available within two business days after reverence obligation payment date
  • Data integrity – Rely on independent validations applied prior to data publishing with rigorously checked and cleansed data for input to the settlement calculator
  • Distribution versatility – Receive data on settlement and delivery amounts via web or on XML feed
  • Dedicated support –Disagreements between counterparties are arbitrated by team of analysts that are experts on ISDA documentation and underlying calculations

Customers

  • Banks
  • Hedge funds
  • Trustees
  • Fund administrators

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