Interactive Data, a US-based provider of financial market data, analytics and related solutions, has said that its Fixed Income Analytics business has released BondEdge Version 3.2.
According to Interactive Data, the new BondEdge release contains enhancements to help institutional investors assess risk related to prime and sub-prime residential mortgage-backed securities (RMBS), including fixed and adjustable mortgage pools, collateralized mortgage obligations and asset-backed securities.
Included within BondEdge Version 3.2 are the following enhancements: a new multi-factor term structure model (G2++) to compute analytic risk measures and provide interest rate and credit spread simulation analysis on prime and sub-prime RMBS; the availability of enhanced collateral detail on non-prime RMBS, including historical delinquency, loss, and default data as well as current credit trigger status and subordination levels.
The new version also features a security specific BondEdge prepayment model scaling tool for prime RMBS which provides the ability for clients to tune prepayment model assumptions at a bond level; and a capability to automate the provision of security specific base case prepayment, default, and loss severity assumptions, as applicable, for prime and non-prime RMBS.
BondEdge Version 3.2 is available via the BondEdge Next Generation platform, which is built on the Microsoft.NET Framework.
Keith Webster, managing director of fixed income analytics at Interactive Data, said: This new release extends BondEdge’s analytic capabilities to institutional investors having RMBS exposure within their fixed income portfolios.
The RMBS-related enhancements delivered with this latest release of BondEdge are a reflection of feedback provided by clients, across all market segments that we serve, to provide more granular security detail and greater modeling flexibility for this complex asset class.