3rd party evaluation service for structured FI instruments

Products covered – 200,000 structured FI instruments in multiple currencies, including

* regular CMO (biggest group)
* hybrid CMO
* ABS
* CMBS, RMBS
* unsecuritized whole loans — In contrast, those securitized loans are sliced up and not “whole”

Twice a day, each bond would get a new evaluation price. Price is always different from previous day because
1) accrued interest
2) benchmark interest rate and yield changes daily,
3) built-in optionality may kick in

Benchmark interest rates in this space are — Libor, government bond yields in different currencies

Upstream Market data includes
* transactions of the day
* indications of interests (like quotes) by both dealers and their clients
= either come in end of the day or come in by email

Methodology – take in market data to CALIBRATE the models. Feed them into Intex engine ..

Advertisements

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google photo

You are commenting using your Google account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s