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 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.