Markit announced the forthcoming launch of three additional Markit IOS sub-indices on May 12, 2010…
• Markit IOS.FN30.550.08 – 5.5% coupon
• Markit IOS.FN30.600.08 – 6.0% coupon
• Markit IOS.FN30.650.67 – 6.5% coupon
The Markit IOS is a synthetic total return swap index referencing the interest component of 30-year fixed-rate Fannie Mae residential mortgage pools.
Additionally, the company expects to launch the Markit PO index, a complementary index series to the existing Markit IOS indices. The Markit PO indices will reference the principal component of the respective IOS pools, and will follow the same transaction structure. The indices scheduled to launch this summer include:
• Markit PO.FN30.400.09 – 4.0% coupon
• Markit PO.FN30.450.09 – 4.5% coupon
• Markit PO.FN30.500.09 – 5.0% coupon
• Markit PO.FN30.550.08 – 5.5% coupon
• Markit PO.FN30.600.08 – 6.0% coupon
• Markit PO.FN30.650.67 – 6.5% coupon
The Markit PO indices will be priced daily and will be tradable from inception. Numerous market participants on both the buy- and sell-side are expected to participate, including ten licensed market makers.
The Markit IOS and PO indices provide exposure to interest-only (IO) and principal-only (PO) securities by replicating these transactions with a total return swap contract.
Source: ETFWorld – Markit
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