Markit launches ABCDS spread service

London-based data provider Markit has begun a daily service providing fair-value spreads for credit default swaps (CDS), referenced to certain asset-backed securities (ABS) in North America.

The firm said the first daily fair-value CDS of ABS spread facility would provide independent spreads for research, mark-to-market and valuation purposes. It also claimed the service would aid clients in meeting mark-to-market accounting requirements under FAS 157. It receives daily feeds on CDS of ABS from 10 market-makers’ books, with spreads cleaned and validated before being published the following morning. In each case, Markit said, a minimum of three contributions would be used to ensure that spreads were accurate.

The facility presently covers residential and commercial mortgage-backed securities. Markit said it expects to add additional categories of ABSs to the service according to client demand, and that European instruments would be added "in due course".

Kevin Gould, executive vice-president of the firm, said: “We expect this to encourage the growth of the market, and we look forward to bringing new contributors and subscribers onto the service in the coming months.”