Index to Track Agency RMBS Pools
Financial information services firm Markit today begins tracking agency mortgage pools, according to a statement e-mailed to HousingWire. The Markit IOS index, a synthetic total return swap index launching today, references the interest component of 30-year fixed-rate Fannie Mae (FNM) residential mortgage-backed securities (RMBS) pools. It replicates certain interest-only (IO) securities, to help investors hedge against interest rate risk by providing upside and downside exposure to accelerated prepayments. “Markit is committed to launching new products that meet the needs of the global financial markets by bringing new levels of transparency to specific market segments," said Markit executive vice president Sal Naro. "The Markit IOS index will provide firms with a more effective way to hedge interest rate risk, IO exposure and prepayment risk across agency mortgage-based securities.” The index is composed of Fannie RMBS pools issued in 2009, with at least 90% of underlying loans originated in '09. The three sub-indices -- for Fannie 30-year 4%, 4.5% and 5% coupons -- each reference from 1,500 to 4,000 mortgage pools, according to Markit. Write to Diana Golobay. Disclosure: The author holds no relevant investment positions.