The award submission featured Lewtanâs collaboration with Thomson Reuters to customize Lewtanâs ABSNetTM cashflow application programming interface (API), credit surveillance data, and Thomson Reuterâs proprietary heuristics to develop evaluated prices for asset-backed bonds. Structured finance securities continue to be illiquid, requiring Level 2 and Level 3 prices for the majority of bonds as dictated by FAS 157. Lewtanâs ABSNet data allows for the aggregation of thousands of asset-backed securities into similar groupings for price discovery. The asset-backed securities are priced using the library of cashflow models in ABSNet incorporating current performance data and risk spreads. The system generates evaluated prices on a daily basis and it also allows users to incorporate proprietary assumptions. The innovation can be extended to enable investments firms to assess their own marks for the securities in their portfolio against a third-party assessment.
Careful use of these adjustment mechanisms enables the user to control how prices are calculated based on a certain understanding of the securitization market and macroeconomic conditions. The system employs quality checks that alert the user of collateral changes, credit changes and spread adjustments. This allows the user to make informed decisions about risk.
âWe based our decision to give Lewtan a Credit Technology Innovation Award on the timeliness of its innovation achievement and the strong endorsement from Thomson Reuters,â said Matthew Attwood, editor Credit. We considered the innovation submitted was appropriate to market conditions, and a demonstration of how opportunities to excel exist even during these challenging times.â
âWeâre honored that Credit has recognized Lewtanâs technology innovation,â said Ned Myers, CMO of Lewtan, âCollaborating with Thomson Reuters to develop a useful application of our tools and data for their pricing service customers is a testament to both firmsâ deep understanding of structured finance and commitment to the industry during these most challenging times in the market.â