Markit, in its role as calculation agent for the Markit ABX.HE indices, provides a calculator for use by all market participants. This calculator serves two purposes. It allows dealers to agree a Net Present Value (NPV) exchange for entering index trades (a function of accrued interest and difference between current spread and index fixed coupon.) It also provides investors with an interactive tool to give them a greater insight into the dynamics of this contract and the impact of spread and prepayment on the value of their trades.

Request access to the Markit ABX.HE/CMBX Calculator The ABX.HE Calculator is a free tool available to those involved in the ABS trading community.

Enhanced Calculator Functionality

An Enhanced Index Calculator is now available to Markit Subscribers.

Please see the examples below and contact sfsales@markit.com for more information on these enhancements.

ABX.HE Cashflow Download Sample (xls) Ability to download ABX.HE constituent level cashflows after inputting assumptions. ABX.HE Scenario Matrix Sample (xls) ABX.HE Scenario Matrix that shows spread movement for 3500 different prepayment, default, and delinquency assumptions on a daily basis. ABX Calculator Screenshot

Register for the Markit ABX.HE Calculator

Enhanced Calculator Functionality

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