New initiative responds to growing concerns about illiquidity and opaque pricing of asset-backed and mortgage-backed securities in Europe
Standard & Poor’s Securities Evaluations now produces daily and intra day valuations on European structured securities. This enhanced offering is designed to address daily valuation and mark to market issues within this thinly traded European market across:-
o Fund accounting and valuation
o Collateral Management
o Product control
o Risk Management
o Research
Performance measurement
Standard & Poor’s Securities Evaluations works closely with industry-established
third parties who provide cashflow and waterfall modelling to enable daily structured evaluations on over 2,300 separate tranches across the capital structure. This new European service covers over 1.1 million Dollar denominated structured securities.
The data we incorporate into our pricing methodology includes:-
o The weighted average life of a security
o Prepayment speeds
o Daily credit spread changes
o Current index and underlying benchmark rates
o Redemption features
Valuations are produced and delivered at 10:00, 12:00, 14:00, 17:00 and 21:00 GMT.
To find out more information about our new service offering, please click here
