Markit announced the forthcoming launch on May 12, 2011 of new Markit MBX, Markit IOS and Markit PO indices based on Ginnie Mae agency pools issued in 2010. ….
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The new indices will consist of Ginnie Mae II MBS 2010 collateral pools with coupons of 4.0 per cent, 4.5 per cent and 5.0 per cent. Additional vintages and coupons will be added in future index releases.
Neil McPherson, Managing Director and Head of Structured Finance at Markit, said: “In the 14 months since the launch of the first agency derivative indices, Markit has seen very strong demand with over $100 billion in gross notional traded in the Markit MBX, IOS and PO indices across all vintages and coupons. Due to the success of the Fannie Mae indices, market participants are supporting the expansion of the product to include Ginnie Mae collateral.”
The initial Ginnie Mae sub-index names are as follows:
The new series of indices will be priced daily and will be tradable as of May 12, 2011. At launch, there are expected to be ten licensed market markers for the new indices.
The Markit agency derivative indices are synthetic total return swaps referencing multiple cashflow components of 30-year fixed-rate residential mortgage pools. The Markit IOS indices reference the interest component of the reference pools, the Markit PO indices reference the principal component of the reference pools, and the MBX indices reference the combined principal and interest components of the reference pools. The Markit agency derivatives family of indices can be used by both buy- and sell-side financial institutions to gain exposure to the U.S. agency residential mortgage market.
Source: ETFWorld – Markit