CMO/ABS Cashflow Modelling

Markit’s CMO/ABS Cashflow Modelling enables clients to model, evaluate and
analyse Collateralised Mortgage Obligations (CMOs) and Asset -Backed Securities
(ABS). With Markit, clients can project cashflows on any given security based on
specific client-driven assumptions, such as interest rates, pre-payments, losses, etc.

CMO/ABS Library

The product features a library of modelled CMO/ABS transactions, each containing
collateral and tranche information necessary to analysing CMOs. Each deal is updated
monthly to reflect collateral and bond paydowns.
The ABS Library is valuable for clients requiring accurate and timely deal monitoring,
particularly those with credit sensitive bonds.

Broad Range of Coverage

100% of agency CMOs are modeled. Each agency CMO is modelled to capture its
unique allocation of principal and interest, and all deals are updated monthly to reflect
their current status.

The majority of whole loan CMOs and sub-prime residential issues are modelled
and updated monthly. In addition to the pre-payment risk that impacts agency
CMOs, non-agency bonds are subject to credit risk which is fully accounted for in the
modeling. Other ABS, CMBS and CDOs are modeled and updated on a client-specific,
request basis.

Accuracy

Trigger events, such as delinquencies or losses, can have a major impact on price.
Markit ensures that triggers are properly accounted for and that the modelling is
accurate.

Timeliness of Deal Updates

Deals are updated as soon as the appropriate bond factors and collateral information is
received, ensuring our clients have the best possible information on bonds as quickly as
possible.

Modelling Language

The Markit CMO/ABS Library is built on a flexible modelling language that may be used
to reverse engineer structured transactions. Full access to a variety of underlying data
elements and variables are available via this language.

Accessibility

Markit’s CMO/ABS Libraries are accessible using a variety of operating platforms,
including : C/C++, .com .Net, and Java. The libraries are also accessible via a number
of third party vendor fixed income analytical systems, with functionalities such as OAS,
Value-at-Risk, Total Return Analysis, ALM and Bond Accounting.