Capital Markets

We provide a range of support and bond valuation services to capital markets participants; structured finance groups within retail banks, investment banks, trustees, master trusts, and all other firms that either originate or manage structured finance products such as asset backed securities (ABS), mortgage backed securities (MBS), CDOs and covered bonds.

MIAC’s capital markets services utilise our proprietary bond analytics software Bond Agent™ which allows users to input underlying collateral cashflows, either user defined or through MIAC’s assets and liability software, Vision™.

Bond Agent™ allows MIAC to offer the following services to capital markets participants:

  • Bond Valuation – calculation of bond cash flows, price/yield table and sensitivities based on MIAC generated cashflow projections or customer defined cashflows.
  • Risk Retention & Derecognition of Assets – EU policies around risk retention and IFRS9 rules on derecognition of assets provide challenges for originators when it comes to simultaneously keeping “skin-in-the-game” and removing assets from balance sheet.
  • Stress Testing – Provide ‘what-if’ analysis under varying loan behaviours, macroeconomic environments and different structures
  • Reverse Stress Testing – Output the metric magnitude (e.g. CDR shift) and timing that result in tranche wipe out.