Markit is launching on May 12 its new Markit MBX, Markit IOS and Markit PO indices based on GNMA agency pools issued in 2010.
The new indices will comprise GNMA II MBS 2010 collateral pools that have coupons of 4%, 4.5% and 5%.
More vintages and coupons will be added to future index releases, Markit said in a release.
The new series of indices will be priced daily and will be tradable as of May 12. At launch, there are expected to be ten licensed market markers for the new indices, the release from the firm said.
The Markit agency derivative indices are synthetic total return swaps that reference various cashflow components of 30-year fixed-rate residential mortgage pools.
The Markit IOS indices reference the interest component of the reference pools, the Markit PO indices reference the principal component of the reference pools, and the MBX indices reference the combined principal and interest components of the reference pools.
Meanwhile, the Markit agency derivatives family of indices could be utilized by both buy- and sell-side financial institutions to get exposure to agency residential mortgages.
“In the 14 months since the launch of the first agency derivative indices, Markit has seen very strong demand with over $100 billion in gross notional traded in the Markit MBX, IOS and PO indices across all vintages and coupons,” said Neil McPherson, managing director and head of structured finance at Markit. “Due to the success of the Fannie Mae indices, market participants are supporting the expansion of the product to include Ginnie Mae collateral.”