Source: Microsoft

Date: June 2008

Type: Research/Analyst Report

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Overview: With the implosion of the credit markets and the resulting search for value, firms are looking to better understand the structure and underlying collateral of asset backed securities (ABS) so that they can appropriately value the instruments in their fixed income portfolios. They are also looking to identify opportunities for extending their positions and take advantage of uncommonly low prices for what are, essentially, high-performing investments. The main problem is that there are many different parties involved in the issuance and secondary trading of these instruments – each of whom contributes to the data set used to define and monitor the performance of each ABS. A consistent and holistic view of each security can only be obtained by aggregating data from multiple sources in multiple different formats – a task traditionally carried out by teams of data analysts - into a 360 degree view of each instrument; it’s definition, contractual cashflows, market price, performance and risk profile. Only once this holistic view is obtained can firms perform the analysis to take advantage of the opportunities available and manage their risk in confidence.

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