Reference DataABCDS

Markit Reference Data provides an ABCDS reference cashflow database, which serves as a central monitoring and settlement platform for the ABCDS market.

Customers

  • Banks
  • |
  • Hedge funds
  • |
  • Trustees
  • |
  • Fund administrators

Statistics

  • 100k+bonds published monthly
  • 50+validations for checking data accuracy

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Product Summary

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. Additionally, a tight window for settling monthly payments necessitates efficient and accurate data collection and calculations.

Our ABCDS reference cashflow database acts as the central monitoring and settlement platform for the ABCDS market, covering US and EU securities across RMBS, CMBS and consumer ABS asset classes. Markit Reference Data determines monthly settlement on CDS of ABS trades based on ISDA Pay-As You-Go requirements.

Our calculation engine greatly simplifies complex settlement calculations and reduces failure rates with payment matching and clearing. With Markit Reference Data, clients can resolve cashflow payment discrepancies with a single enquiry, replacing numerous counterparty conversations.

    Key Benefits

    • Portfolio alerting

      Allows for daily notification of credit events, including writedowns, implied writedowns, distressed ratings downgrades and bond step-ups, as well as trustee corrections

    • Timeliness

      Settlement data available two business days after reference obligation payment date

    • Data integrity

      Independent validations applied prior to data publishing, with all reference data rigorously checked and cleansed before input into settlement calculator

    • Distribution

      Settlement and delivery amounts available via web or XML feed

    • Dedicated support

      Disagreements between counterparties arbitrated by team of analysts that are experts on ISDA documentation and underlying calculations