AXIS Asset Module

The AXIS Asset Module directly supports modeling of the following types of investments:

Bonds

  • Callable
  • Putable
  • Non-callable
  • Sinking Fund Bonds
  • Real Return Bonds

Mortgages

  • Residential
  • Commercial

Stocks

Real Estate

Derivatives

  • Asian Caps/Floors
  • Binary Options
  • Bond Forwards
  • Bond Futures
  • Bond Futures Options
  • Credit Default Swaps (beta)
  • Currency Swaps
  • Equity Index Daily Averaging Asian Options
  • Equity Index Forwards
  • Equity Index Futures
  • Equity Index Monthly Averaging Asian Options
  • Equity Index Options
  • Equity Index Total Return Swaps (beta)
  • Equity Index Variance Swaps
  • Inflation-linked Swaps
  • Interest Rate Caps/Floors
  • Interest Rate Swaps
  • Interest Rate Swaptions
  • Ratchet Put Options
  • Spread Lock

AXIS also supports a dynamic link to either the Moody’s Analytics structured cashflow engine or the BondEdge cashflow engine. These services are intended for modeling structured finance assets such as residential mortgage-backed securities (RMBS), commercial mortgage-backed securities (CMBS), asset-backed securities (ABS), or collateralized mortgage/debt/loan obligations (CMO/CDO/CLO). To use these services, a separate license with either Moody’s Analytics or ICE Data Services is required.

In addition, AXIS allows asset projections to be imported from external applications using automated batch routines. Externally projected values that can be imported into AXIS include market value, book value, amortization of premium/discount, accrued interest, coupon cashflow, maturity cashflow, write downs, par value, investment expense, defaults, credit rating, duration, partial durations, and weighted average life. These values can be scenario-dependent. It is also possible to allow AXIS to calculate and apply investment expenses and defaults to the imported projections.

AXIS provides a variety of methods for Market Value calculation, including:

  • Present Value of Future Cashflows
    • Risk-free or spread-adjusted yield curve for discounting
    • Cashflows to asset maturity or interest reset point
    • Cashflows with or without defaults and investment expenses
  • Black-Scholes Model for equity options
  • Black Derman Toy Model for options embedded in bonds
  • Black’s Model for inflation-linked swaps and interest rate caps/floors
  • Market Value Growth Rates for stocks or real estate (stochastic or deterministic)
  • Cost
  • Depreciated Cost
  • Simple and Scientific Amortized Cost
  • Outstanding Principal
  • BondEdge projected market values
  • Monte Carlo simulation
  • Other asset specific valuation methods for various hedge asset types

Several of these methods also support calibrating to an inforce market value by solving for an interest rate spread or volatility.

The AXIS Asset Module generates the following Financial Projection details on a monthly, quarterly, or annual basis:

  • Detailed cashflows such as bond coupons, mortgage and rental payments, dividends, capital repayments, administration fees and expenses
  • Asset movements arising from maturities, defaults, sales, prepayments, and calls/puts
  • Earnings and income statement details such as earned income, amortization of realized and unrealized gains and losses (including IMR and AVR), amortization of premium and discount, and gain/loss on defaults
  • Balance sheet values and inforce statistics, including par values, book values, market values, accrued income, C1 required surplus, etc.
  • Multiple asset accounting bases and Multiple required surplus are available
  • Tracking of margin account and resulting cash flow (optional)
  • Optional risk metrics including duration, dollar duration, partial duration, convexity, Greeks, weighted average life, effective maturity, and weighted credit rating