An MDX swap is a risk transfer transaction, also called an index credit default swap, based on a Vista Ginnie Mae Mortgage Default Index (“MDX.GN”). A new MDX series is launched every 6 months, on the 8th business day of March and September each year. Each series tracks the performance of a reference pool of mortgages which were pooled in Ginnie MBS during a six month window prior to the launch of the series. Each series has an Index Factor which measures the proportion of loans which have not experienced a credit event. It starts at value 1 (no default events) and is updated on each monthly effective date (8th business day of the month).
Per the MDX Swap Standard Terms, each MDX Swap is associated with an MDX index series. The swap starts at the index series launch date upon the launch date of each new series and has a maturity of 63 months. Swaps are denominated in an Original Notional Amount, which references the starting index factor of 1. The Floating Leg of the swap is based on the monthly decrease in the Current Notional Amount, which is equal to the initial notional amount multiplied by the index factor. The swap Fixed Leg has monthly payments based on the interest accrued on a fixed coupon Ci between two successive effective dates and the current notional amount at the beginning of the period.
To evaluate the Present Value of each leg, future payments are discounted with the SOFR swap curve and summed. Net Present Value is the difference between the present values of the fixed and floating legs. Accrued Interest is computed from the previous monthly effective date to the trade date. Positive cash values in the calculator denote amounts to be received by the user; negative cash values denote amounts to be paid. For dates beyond the next effective date, we assume a constant Credit Event Rate h, such that future index factors following the last known index factor decrease exponentially, as exp(-h⋅t).
For additional information on trading MDX Swaps please visit ICE FI Select.
The pricing of MDX Swaps is described in detail in the document MDX Swap Pricing.
We are providing an Excel add-in with MDX Swap pricing functions.
DISCLAIMER
USER ACKNOWLEDGES, UNDERSTANDS AND ACCEPTS THAT, EXCEPT AS SPECIFICALLY SET FORTH HEREIN, ICE MAKES NO WARRANTY WHATSOEVER TO USER AS TO THE MDX SWAP CALCULATOR OR ANY THIRD-PARTY DATA INCORPORATED THEREIN EXPRESS OR IMPLIED, AND THAT THE MDX SWAP CALCULATOR, AND ANY THIRD-PARTY DATA ARE PROVIDED ON AN “AS IS” BASIS AT USER’S SOLE RISK. ICE EXPRESSLY DISCLAIMS ANY IMPLIED WARRANTIES OF MERCHANTABILITY, NON-INFRINGEMENT OR FITNESS FOR A PARTICULAR PURPOSE. NEITHER ICE, ANY ICE AFFILIATE, ANY THIRD-PARTY PROVIDER OR ANY OF THEIR RESPECTIVE DIRECTORS, MANAGERS, OFFICERS, SUBSIDIARIES, SHAREHOLDERS, EMPLOYEES OR AGENTS MAKE ANY WARRANTY WITH RESPECT TO, AND NO SUCH PARTY SHALL HAVE ANY LIABILITY TO, USER FOR (I) THE ACCURACY, ADEQUACY, TIMELINESS, COMPLETENESS, RELIABILITY, PERFORMANCE OR CONTINUED AVAILABILITY OF THE MDX SWAP CALCULATOR OR THIRD-PARTY DATA OR (II) DELAYS, OMISSIONS OR INTERRUPTIONS THEREIN. ICE DOES NOT, AND SHALL HAVE NO DUTY OR OBLIGATION TO, VERIFY, MONITOR, CONTROL OR REVIEW ANY INFORMATION AND/OR DATA, TO INCLUDE THIRD-PARTY DATA, DISPLAYED VIA THE MDX SWAP CALCULATOR. USER ACKNOWLEDGES AND AGREES THAT: (1) IT IS SOLELY RESPONSIBLE FOR EVALUATING THE ACCURACY, TIMELINESS AND COMPLETENESS OF ANY AND ALL INFORMATION AND/OR DATA DELIVERED TO IT VIA THE MDX SWAP CALCULATOR; AND (2) IT HAS DETERMINED, BASED ON ITS OWN EVALUATION, THAT THE MDX SWAP CALCULATOR IS SUITABLE FOR AND SATISFACTORY TO USER, AND USER HAS NOT RELIED ON ANY STATEMENT, REPRESENTATION OR WARRANTY MADE BY ICE, ANY AFFILIATE OF ICE OR ANY THIRD-PARTY PROVIDER IN MAKING SUCH DETERMINATION.
NEITHER THE MDX SWAP CALCULATOR NOR ANY OF THE INFORMATION OBTAINED BY OR THROUGH THE MDX SWAP CALCULATOR ARE INTENDED TO SUPPLY INVESTMENT, FINANCIAL, TAX OR LEGAL ADVICE. ANY REFERENCE TO A PARTICULAR MORTGAGE POOL THE VISTA GINNIE MAE MORTGAGE DEFAULT INDEX (“INDEX”), ANY INSTRUMENT UNDERLYING THE INDEX, A DERIVATIVE BASED ON THE INDEX, A CREDIT RATING, OR ANY OBSERVATION CONCERNING A MORTGAGE POOL THE INDEX PROVIDED IN THE MDX SWAP CALCULATOR IS NOT A RECOMMENDATION TO BUY, SELL OR HOLD SUCH MORTGAGE POOL THE INDEX OR ANY DERIVATIVE RELATED THERETO OR TO MAKE ANY OTHER INVESTMENT DECISIONS. ICE OFFERS NO ADVICE REGARDING THE NATURE, POTENTIAL VALUE, OR SUITABILITY OF ANY PARTICULAR SECURITY, DERIVATIVE, TRANSACTION, INVESTMENT OR INVESTMENT STRATEGY. THE USE OF THE MDX SWAP CALCULATOR AND ANY DATA AND INFORMATION OBTAINED THROUGH SUCH USE, AND ANY DECISIONS MADE IN RELIANCE UPON THE MDX SWAP CALCULATOR ARE MADE AT THE USER’S OWN RISK.