Yesterday Markit, a provider of independent data, portfolio valuations and OTC derivatives trade processing, announced the launch of its enhanced ABX Calculator, designed to aid settlement of ABX index trades. Markit is the calculation agent for ABX.HE, a synthetic index of U.S. home equity Asset-Backed Securities (ABS). In response to the increased focus on the synthetic ABS market over the last several months, Markit has enhanced its ABX Calculator to allow clients to understand the impact that credit scenarios can have on ABX index trade economics.
Kevin Gould, executive vice president and head of data products and analytics, Markit, says, "Markit's enhanced ABX Calculator provides clients with the ability to assess the value of their synthetic ABS positions. Given the performance of many of the mortgage pools underlying home equity deals in the ABX indices, it is critical for investors to understand how these credit scenarios will play out in the performance of their index trades, and to measure risk on an ongoing basis."
The new functionality of the ABX Calculator enables users to input their own prepayment, delinquency, default and loss assumptions. Enhancements include the ability to add index-level credit assumptions and project cash flows for each constituent deal underlying the ABX indices, together with the ability to input percentage of losses on defaulted collateral and use proprietary delinquency percentages. Finally, the new functionality will enable users to run historical scenarios to calculate values for back-dated trades.