Vista MDX.GN Swap Market Specifications

MDX Swaps will reference the 2021 ISDA Definitions and the ISDA® Vista MDX® Swap Standard Terms Supplement and Transaction Confirmation.

1. General Index Terms
Index:Mortgage Default Index, Ginnie Mae (“MDX.GN”) Series 1 and following.

See Calculation Rules.
Administrator:Vista Index Services, Inc.
Index Computation Agent:ICE Data, a division of Intercontinental Exchange, Inc.
Index Start Date:8th Business Day of March and September.
Index Effective Date:8th Business Day of each month.
Reference Obligation(s):MDX.GN Series is composed of individual mortgage loans. Loan performance characteristics of loans are equally weighted and do not reference unpaid principal balances.

See Index Construction.
2. General MDX Index Swap Terms
Index Swap:An over-the-counter Transaction based on an Index between a Fixed Amount Payer and a Floating Amount Payer. Transactions that reference MDX indices must be licensed by Vista and are governed by ISDA Vista MDX Standard Terms Supplement and Confirmation.
Index Value:The Index Value is published monthly and becomes effective on the Index Effective Date.
Termination Date:Each Index Swap shall have a maturity date 63 months later on the Index Effective Date.
Index Factor:The Index Factor (also called the “MDX Factor”) is published monthly by Vista and becomes effective on the Index Effective Date.
Index Factor Increments:The MDX Factor begins at 1.000000 and adjusts in .000001 increments.
Original Notional Amount:As agreed by the counterparties and based on an MDX Factor of 1.000000.
Current Notional Amount:Determined by calculating the Original Notional Amount multiplied by the MDX Factor effective as of most recent Index Effective Date.
Floating Amount Payer:The counterparty responsible for paying the Floating Amount (seller of protection).
Fixed Amount Payer:The counterparty responsible for paying the Fixed Amount (buyer of protection).
Trade Date:The date that parties agree to an Index Swap Transaction.
Effective Date:The same day as the Trade Date. This date is the first day of a transaction and the date used for calculations of credit protection and interest accrual.
3. Contract Terms
Contract Months:March and September.
Price Quotation Convention:Trades are quoted and executed on Clean Dollar Price. Market participants can use ticks or decimals.
Minimum Price Fluctuation:The price quotation convention shall be .0001 index points; minimum price fluctuation may vary by trade type.
First Trading Day:Index Start Date.
Last Trading Day:Last Index Effective Date.
4. Initial Payment
Clean Dollar Price:Price of an Index Swap as a percentage of par excluding Accrued Interest.
Upfront Amount:The amount calculated by subtracting the Clean Dollar Price from 100, then dividing by 100, then multiplying by the Current Notional Amount.
Accrued Interest:The amount calculated by multiplying the Fixed Rate by the ratio of Actual Days divided by 360 and multiplied by the Current Notional Amount.
Initial Payment Amount:The amount is the sum of the Upfront Amount and the Accrued Interest.
Initial Payment Date:Three Business Days following Trade Date (T+3).
5. Fixed Payment
Fixed Rate:Two percent (2.00%) per annum.
Fixed Rate Day Count Fraction:Actual / 360.
Fixed Amount Payment Date(s):The 13th Business Day of the month.
Fixed Amount Calculation Period:Monthly, one Index Effective Date to the next.
Fixed Amount:The premium leg of the swap is calculated by multiplying the Fixed Rate, Current Notional Amount, and Actual Days / 360.
6. Floating Payment
Floating Amount Payment Date(s):Same as the Fixed Amount Payment Date; Fixed Amount and Floating Amount Payments will be netted each month.
Floating Amount:The protection leg of the swap is calculated by multiplying the Original Notional Amount by the MDX Factor change each month.

MDX Calculation Formulas1

The Index Value is calculated as below:

\[ \left[ 1 + \left( \frac{\text{cumulative # of loans experiencing a Credit Event}}{\text{total # of loans in MDX Series}} \right) \right] \times 100 = \text{Index Value} \]


The Index Factor is calculated as below:

\[ 1 - \left( \frac{\text{cumulative # of loans experiencing a Credit Event}}{\text{total # of loans in MDX Series}} \right) = \text{Index Factor} \]



1See Calculation Rules.