Markit Agency Derivative Indices
The Markit IOS, MBX, and PO Indices are synthetic Total Return Swap Index series referencing the interest and principal components of Agency pools
Product summary:

The first Markit IOS sub-indices launched on March 12th, 2010.  The indices reference the synthetic interest portion of agency pools in the index.  Markit IOS is a liquid and standardized tool for investors to take long or short positions based on their own assumptions of prepayment and extension of the reference pool interest payments.  The first Markit PO sub-indices, referencing the principal component of the the corresponding IOS indices, launched on June 12th, 2010.  The first MBX indices, referencing the combined principal and interest components of the corresponding IOS & PO indices, were launched on September 12th, 2010.
Key benefits:
Indices reference the interest-only, principal-only, or combined P/I components of reference pools for tailored exposure
Index cashflows, prices and valuation are derived from the principal and interest cashflows from the underlying reference pools
Sub-indices will be created for each agency, coupon, vintage, and term
Key functions:
Indices will provide exposure to agency pool coupon and principal cashflows via synthetic TRS contracts
Indices can serve as a hedging tool for exposure to servicing rights, agency pass-throughs, trust IOs, and other instruments correlated with mortgage prepayments
Related Info
Request Markit MBX/IOS/PO Calculator
 
Markit MBX PresentationMarkit MBX Presentation
Markit IOS PresentationMarkit IOS Presentation
Markit PO PresentationMarkit PO Presentation
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