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AXIS Module - Asset

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

  • Bonds
    • Callable
    • Puttable
    • Non-callable
    • Bonds with Sinking Fund
    • Real Return Bonds
  • Mortgages
    • Residential
    • Commercial
  • Stocks
  • Real Estate
  • Interest Rate Swaps
  • Currency Swaps
  • Derivatives for Hedging
    • European Equity Index Options
    • Equity Index Forwards
    • Equity Index Futures
    • Equity Index Monthly Averaging Asian Options
    • Equity Index Daily Averaging Asian Options
    • Equity Index Variance Swaps
    • Interest Rate Swaptions
    • Binary Options
    • Ratchet Put Options
    • Bond Futures
    • Bond Futures Options
  • Inflation-linked Swaps
  • Interest Rate Caps/Floors
  • Asian Caps/Floors
  • Bond Forwards
  • Spread Locks (beta)
  • Credit Default Swaps (beta)
  • Equity Index Total Return Swaps (beta)

AXIS also supports a dynamic link to the BondEdge cashflow engine. This service is intended for modeling structured finance assets such as asset-backed securities (ABS) and mortgage-backed securities (MBS) including collateralized mortgage obligations (CMO). To use this service, a separate license with Interactive Data Fixed Income Analytics 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 the investment expenses and defaults to externally projected assets.

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

  • Present Value of Future Cashflows
    • Unadjusted or adjusted yield curve
    • 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 (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 a 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
  • 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 available
  • Tracking of margin account and resulting cash flow (optional)
  • Optional metrics including duration, dollar duration, partial duration, convexity, Greeks, weighted average life, and weighted credit rating
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