| The Markit ABX.HE Calculator is a dynamic tool that allows markit participants to agree on a Net Present Value for index trades and perform detailed cashflow analysis on index positions. |
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| Product summary: |
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| Markit, in its role as calculation agent for the Markit ABX.HE indices, provides a calculator for use by all market participants. This calculator serves two purposes. It allows dealers to agree a Net Present Value (NPV) exchange for entering index trades (a function of accrued interest and difference between current spread and index fixed coupon). It also provides investors with an interactive tool to give them a greater insight into the dynamics of this contract, and the impact of spread and prepayment on the value of their trades. |
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| Key benefits: |
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| The ABX.HE Calculator is a free tool available to those involved in the ABS trading community |
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| Uses most updated pricing information and market standard hazard rate model |
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| Updated every month with the most recent cashflow information |
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| Allows users to alter cashflows by inputting prepayment, default, delinquency, and recovery assumptions |
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| Key functions: |
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| Provides users with the ability to calculate price, spread, weighted average life, accured interest, and spread sensitivity based on different prepayment and loss scenarios |
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| Ability to download ABX.HE constituent level cashflows after inputting assumptions |
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| ABX.HE Scenario Matrix that shows spread movement for 3,500 different prepayment, default, and delinquency assumptions on a daily basis |
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