| The Markit IOS calculator is an interactive tool providing insight into the dynamics of IOS contracts including upfront payments on trades and the spread/price relationship of constituents. |
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| Product summary: |
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| Markit, in its role as calculation agent for the Markit IOS 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/financing and the difference between current price and index commencing price.) It also provides investors with an interactive tool to give them a greater insight into the dynamics of this contract and the impact of prepayment and yield on the value of their trades. |
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| Key benefits: |
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| Free tool available to those involved in the ABS trading community |
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| Allows dealers to agree a Net Present Value (NPV) exchange for entering index trades |
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| Provides insight into constituent and index maturities and prepayment/yield sensitivities |
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| Key functions: |
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| Calculator provides yield to price calculation for the index given a prepayment scenario |
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| Allows investors to specify their own prepayment scenarios (CPR, PSA, or defined vector) |
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