Markit CMO/ABS Cashflow Modelling
Markit’s CMO/ABS Cashflow Modelling enables clients to model, evaluate and analyse Collateralised Mortgage Obligations (CMOs) and Asset-Backed Securities (ABS).
Product summary:

With Markit’s CMO/ABS Cashflow Modelling clients can project cashflows on any given security based on specific client-driven assumptions, such as interest rates, pre-payments, losses, etc.  The product features a library of modelled CMO/ABS transactions, each containing collateral and tranche information necessary to analysing CMOs. Each deal is updated monthly to reflect collateral and bond paydowns.  The ABS Library is valuable for clients requiring accurate and timely deal monitoring, particularly those with credit sensitive bonds.

Each Agency CMO, Whole Loan CMO and Sub-Prime Residential deal is modelled to capture its unique allocation of principal and interest, and all deals are updated monthly to reflect their current status.  In addition to the pre-payment risk that impacts agency CMOs, non-agency bonds are subject to credit risk which is fully accounted for in the modeling.  Trigger events, such as delinquencies or losses, can have a major impact on price, and thus Markit ensures that all triggers are properly accounted for and that all modeling is accurate.
Key benefits:
Breadth of Coverage: 100% of agency CMOs modelled as well as he majority of whole loan CMOs and sub-prime residential issues are modelled and updated monthly Coverage of ABS, CMBS and CDOs are modeled and updated on a client-specific, request basis
Client Coverage: ABS, CMBS and CDOs are modeled and updated on a client-specific, request basis
Client Support: Analyst teams are in place to respond quickly to any analytical or technical inquiries
Timeliness of Updates: Deals are updated as soon as the appropriate bond factors and collateral information is received
Accuracy of Cashflows: All Models run through rigorous tests as well as incorporate extensively cleaned data ensuring the highest quality cashflows
Standardized Language: Deal Library is built on a flexible modelling language that may be used to reverse engineer structured transactions
Key functions:
Integration with a number of third party vendor fixed income analytical systems
CMO/ABS Libraries are accessible using a variety of operating platforms including: C/C++, .com .Net, and Java
Front End Capabilities for one of CUSIP analysis
Ability to run third party OAS, Value-at-Risk, Total Return Analysis, ALM and Bond Accounting
Ability to run own prepay and default models
API functionality allows for cashflow projections based on any client-driven assumptions, such as interest rates, pre-payments, losses, etc
Clients only area
Clients only area
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