Interactive Data Releases Mortgage-Backed Security Enhancements Within BondEdge
April 28 2010 - 9:00AM
Business Wire
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.
About Interactive Data Corporation
Interactive Data Corporation (NYSE: IDC) is a trusted leader in
financial information. Thousands of financial institutions and
active traders, as well as hundreds of software and service
providers, subscribe to our fixed income evaluations, reference
data, real-time market data, trading infrastructure services, fixed
income analytics, desktop solutions and web-based solutions.
Interactive Data’s offerings can help clients around the world with
mission-critical functions, including portfolio valuation,
regulatory compliance, risk management, electronic trading and
wealth management. Interactive Data is headquartered in Bedford,
Massachusetts and has more than 2,400 employees in offices
worldwide. Pearson plc (NYSE: PSO; LSE: PSON), an international
media company, is Interactive Data’s majority stockholder.
For more information, please visit www.interactivedata.com.
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