BondEdge Version 3.2 Includes Enhancements to Help Institutional Investors Assess Risk on Prime and Subprime RMBS
Interactive Data Corporation (NYSE: IDC), a leading provider of financial market data, analytics, and related solutions, today announced that its Fixed Income Analytics business has released BondEdge® Version 3.2. This new BondEdge release contains enhancements to help institutional investors assess risk related to prime and sub-prime residential mortgage-backed securities (RMBS), including fixed and adjustable mortgage pools, collateralized mortgage obligations (CMOs) and asset-backed securities (ABS).
Included within BondEdge Version 3.2 are the following enhancements:
A new multi-factor term structure model (G2++) to compute analytic risk measures and provide interest rate and credit spread simulation analysis on prime and sub-prime RMBS. This arbitrage free model of interest rates includes a volatility surface which is calibrated on a daily basis to the swaptions market.
The availability of enhanced collateral detail on non-prime RMBS, including historical delinquency, loss, and default data as well as current credit trigger status and subordination levels.
A security specific BondEdge prepayment model scaling tool for prime RMBS which provides the ability for clients to tune prepayment model assumptions at a bond level.
A capability to automate the provision of security specific base case prepayment, default, and loss severity assumptions, as applicable, for prime and non-prime RMBS.
“This new release extends BondEdge’s analytic capabilities to institutional investors having RMBS exposure within their fixed income portfolios”, said Keith Webster, managing director, Interactive Data Fixed Income Analytics. “The RMBS-related enhancements delivered with this latest release of BondEdge are a reflection of feedback provided by clients, across all market segments that we serve, to provide more granular security detail and greater modeling flexibility for this complex asset class.”
“We appreciate the opportunity to work closely with Interactive Data to provide our perspective for the ongoing development of mortgage-backed security analytics,” said Thomas H. Atteberry, CFA, Partner First Pacific Advisors. “BondEdge provides tools to analyze RMBS and other fixed income asset classes that can assist in our assessment of absolute and relative portfolio risk.”
Interactive Data provides fixed income portfolio analytics to more than 400 leading banks, investment managers, brokerage firms, insurance companies and pension funds throughout North America and Europe. BondEdge allows clients to identify opportunities and analyze portfolio risk using robust modeling techniques.
BondEdge Version 3.2 is available via the BondEdge Next Generation platform, which is built on the Microsoft® .NET Framework and provides a highly intuitive and flexible user interface.
BondEdge Next Generation includes an extensive structured finance deal library, cash-flow engine, and term structure and prepayment models, enabling clients to generate dynamic risk measures and asset cash flows for agency and non-agency RMBS including sub-prime issues, as well as ABS and commercial mortgage-backed securities (CMBS). Additional information about BondEdge is available on the Fixed Income Analytics section of Interactive Data’s new website at www.interactivedata.com
You Might Also Like...
- London Stock Exchange Group Opens New Technology Facility in Sri Lanka
- Market Guidance on Standardization of the ISDA Variation Margin CSA
- IHS Markit and Oliver Wyman Join Forces to Develop Risk Factor Modellability Service for FRTB
- CME Clearing Europe Approved as a Derivatives Clearing Organization by CFTC
- CFTC Grants CME Clearing Europe Registration as a Derivatives Clearing Organization
- Post-Trade Services Takes Centre Stage
- AxiomSL Opens Dubai Office as Part of Growing Middle Eastern Presence
- Numerix Introduces High Performance FRTB Solution