Interactive Data Corporation, a provider of financial market data, analytics and related services, yesterday announced that its Pricing and Reference Data business has added new capabilities which will increase coverage of its evaluations for European asset-backed securities (ABS) and mortgage-backed securities (MBS) to approximately 3,000 tranches. European securitisation has reached record issuance levels over recent years. The European Securitisation Forum reported that during 2006 issuance reached €458.9 billion, up from €327bn in 2005 and nearly triple the issuance levels of 2002. Residential mortgage-backed securities (RMBS) were reported to be the largest issuance sector, representing over 50 per cent of new issuance.
Interactive Data, through its Pricing and Reference Data business, has been providing current and historical evaluations, factors and related data for European RMBS, commercial mortgage-backed securities (CMBS) and ABS for over three years. The firm's new models for providing evaluations will enhance European coverage of RMBS, as well as other asset and mortgage-backed securities, the firm says. Coverage is expected to increase to around 3,000 European investment grade tranches by the end of 2007.
Interactive Data is using proprietary models developed specifically for European ABS and MBS securities. The development of these models was outsourced to Lab49, a consulting firm that specialises in building advanced applications for global financial institutions. These models, combined with the rigorous daily research and analysis conducted by Interactive Data's European ABS evaluation teams, can help generate daily bond evaluations. Ian Blance, vice president, Capital Markets, Interactive Data (Europe), comments, "The ability to increase our valuation capabilities for European ABS and MBS is a welcome addition to our existing evaluations coverage of approximately 2.5 million fixed income securities globally. We have created a robust model designed to meet the growing demands of the financial services industry for evaluations of more complex European fixed income structures."
Ross Hamilton, director of Client Engagements at Lab49, says, "Lab49 worked closely with both business and technical teams at Interactive Data and followed an iterative development process to develop an application with the necessary performance and flexibility for the evaluation model, whilst taking into consideration reporting, control and compliance requirements." The additional coverage of European ABS/MBS is being made available through a range of Interactive Data's services including its online portfolio administration service, FTSSM.