Markit Enhances ABX Calculator to Aid Valuation of Index Trades

Markit has launched its enhanced ABX Calculator, designed to aid settlement of ABX index trades. Markit is the calculation agent for ABX.HE, a widely traded synthetic index of US home equity asset-backed securities (ABS) that has become a closely watched barometer of the health of the ABS markets. In response to the increased focus on the synthetic ABS market over the last several months, Markit has enhanced its ABX Calculator to allow clients to understand the impact that credit scenarios can have on ABX index trade economics. Kevin Gould, executive vice president and head of data products and analytics at Markit, said: “Markit’s enhanced ABX Calculator provides clients with the ability to assess the value of their synthetic ABS positions. Given the performance of many of the mortgage pools underlying home equity deals in the ABX indices, it is critical for investors to understand how these credit scenarios will play out in the performance of their index trades, and to measure risk on an ongoing basis.”


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