MDX Swap Standard Terms

MDX Untranched Transactions Standard Terms Supplement
DRAFT VERSION: As of January 21, 2025

This MDX Untranched Transactions Standard Terms Supplement (the “MDX Untranched Terms”) hereby incorporates by reference the definitions and provisions contained in the 2014 ISDA Credit Derivatives Definitions, as published by the International Swaps and Derivatives Association, Inc. (the “2014 Credit Derivatives Definitions”). In the event of any inconsistency between the 2014 Credit Derivatives Definitions and these MDX Untranched Terms, these MDX Untranched Terms will govern.

The parties agree that, by entering into a transaction governed by these MDX Untranched Terms (a “Transaction”), they have entered into a Transaction referencing an Index listed in the Index Annex.  Upon entering into a confirmation or other document (including in electronic form) (a “Confirmation”) incorporating these MDX Untranched Terms, the parties thereto shall be deemed to have entered into a Confirmation in respect of each such Transaction.

While not yet regulated by the Commodities Futures Trading Commission nor subject to mandatory clearing rules, the Index Sponsor provides no license or authority for any Transaction in an Index that is conducted without the intent to have the Transaction immediately submitted to a designated clearing organization.

1. General Index Terms
Index: Mortgage Default Index, Ginnie Mae (“MDX.GN”) Series 1, 2, 3, 4, 5, 6 MDX.GN See Index Computation Rules. As shown in the relevant Confirmation. See Index Annex for complete list of indices.
Index Sponsor: Vista Index Services, Inc. (“Vista”) or any successor sponsor of the Index.
Index Computation Agent: ICE Data, a division of Intercontinental Exchange, Inc. (“ICE Data”) or any firm appointed by Vista.
Index Publication Date: 8th Business Day of March and September. For MDX.GN.S6, it was September 12, 2024.
Index Fixing Date:8th Business Day of each month following the Index Publication Date. For MDX.GN.S6, the first Index Fixing Date was October 10, 2024.
Index Effective Date:The next calendar day after the Index Fixing Date.
Reference Obligation(s): MDX.GN Series as composed of individual mortgage loans. Loan performance characteristics of loans are equally weighted and do not reference unpaid principal balances. See Loan Inclusion Rules.
Business Day:Days on which the Securities Industry and Financial Markets Association (SIFMA) declares the fixed income markets in New York to be open.
2. General MDX Index Swap Terms
Index Swap:An over-the-counter Transaction based on an Index between a Fixed Rate Payer and a Floating Rate Payer.
Index Value:MDX.GN index value calculated pursuant to Table 1 below as published monthly by Index Computation Agent on the Index Publication Date and becomes effective on the Index Effective Date.
Index Calculation Agent: As appointed by Index Sponsor [ICE Data].
Trade Date: Market convention, as shown in the relevant Confirmation.
Settlement Date: T+1 or as shown in the relevant Confirmation.
Scheduled Termination Date: On the 20th day of the sixty-third month after the Index Publication Date (June 20th or December 20th). For MDX.GN.S6 the Scheduled Termination Date is December 20, 2029.
Index Write Down Factor:The inverse of the current Index Value, which becomes effective on the Index Effective Date. The Index Write Down Factor begins at 1.000000 and adjusts in .000001 increments. As shown in the relevant Confirmation. Also called the “MDX Factor”.
Original Series Amount:As agreed by counterparties and shown in the relevant Confirmation. Amount is based on an Index Write Down Factor of 1.000000.
Current Notional Amount:Determined by calculating the Original Series Amount multiplied by the Index Write Down Factor.
Floating Rate Payer:As shown in the relevant Confirmation (the “Seller”).
Fixed Rate Payer:As shown in the relevant Confirmation (the “Buyer”).
Transaction Type: Standard North American Contract [Further Specification TBD].
Index Annex:The list for the relevant Index with the Annex Date shown in the relevant Confirmation, as published by the Index Publisher (which can be accessed at https://www.vistaindex.com or any successor website thereto). “Index Publisher” means Vista Index Services, Inc. or any replacement therefor appointed by the Index Sponsor for purposes of officially publishing the relevant Index.
Contract Terms
Contract Months:March and September; one or two months listed at all times.
Price Quotation:Basis points.
Minimum Price Fluctuation:The price quotation convention shall be .0001 basis points; minimum price fluctuation may vary by trade type.
Roll Date:Each Index will begin trading on September 20th (or the Business Day immediately thereafter if September 20th is not a Business Day) and March 20th (or the Business Day immediately thereafter if March 20th is not a Business Day) of each calendar year (each such date, a “Roll Date”).
First Trading Day:Roll Date.
Last Trading Day:Each Index with a Roll Date of March 20 shall have a maturity date of June 20 (or the first Business Day thereafter if June 20 is not a Business Day) occurring up to 63 months following the Roll Date. Each Index with a Roll Date of September 20 shall have a maturity date of December 20 (or the first Business Day thereafter if December 20 is not a Business Day) occurring up to 63 months following the Roll Date.
Final SettlementCash settlement at expiration based upon the relevant clearing house daily settlement price of the cleared Index on the corresponding Index on the Last Trading Day of the expiring contract.
Final Settlement Date:Last Trading Day.
Fixed Payment
Fixed Rate:Two percent (2.00%) per annum (To be confirmed).
Fixed Rate Day Count Fraction:Actual/360.
Fixed Rate Period(s):Each period from, and including, one Index Effective Date to, but excluding, the next following Index Effective Date, except that (a) the initial Fixed Rate Period will commence on, and include, the Roll Date (b) the final Fixed Rate Period will end on, and include, the Scheduled Termination Date.
Fixed Rate Accrued:Determined by summing the daily amounts calculated during the Fixed Rate Period by multiplying the Current Notional Amount times the Fixed Rate times 1 divided by 360 (∑: (Current Notional Amount * Fixed Rate* 1/360).
Fixed Rate Payer Payment Date(s):Each March 20, June 20, September 20 and December 20 in each year (or the Business Day immediately thereafter if the 20th of the month is not a Business Day).
Fixed Rate Payer Calculation Period:Each period from, and including, one Fixed Rate Payment Date to, but excluding, the next following Fixed Rate Payment Date, except that (a) the initial Fixed Rate Payer Calculation Period will commence on, and include, the later of the Roll Date and the Fixed Rate Payment Date (determined taking into account the Business Day Convention) falling on or immediately prior to the calendar day immediately following the Trade Date and (b) the final Fixed Rate Payer Calculation Period will end on, and include, the Scheduled Termination Date.
Fixed Rate Payer Calculation Amount:Sum of the total Fixed Rate Accrued for each Fixed Rate Period during the Fixed Rate Payer Calculation Period.
Floating Payment
Floating Rate Payer Calculation Amount:Equal to the difference between the Current Notional Amount on each Index Effective Date and the Current Notional Amount on the previous Index Effective Date.
Floating Rate Payment Date(s):Paid by the Floating Rate Payer to the Fixed Rate Payer on the Business Day following the Index Fixing Date.

Additional Provisions

Disclaimers:

  1. MDX™ is a service mark of the Index Sponsor and has been licensed for use in connection with the Transaction.

  2. The Index referenced herein is the property of the Index Sponsor and has been licensed for use in connection with the transaction hereunder. Each party acknowledges and agrees that the transaction hereunder is not sponsored, endorsed or promoted by the Index Sponsor or any participants under the Index Sponsor’s rules governing the Index (the Index Sponsor, together with such participants, the “Index Parties”). The Index Parties make no representation whatsoever, whether express or implied, and hereby expressly disclaim all warranties (including, without limitation, those of merchantability or fitness for a particular purpose or use), with respect to the Index or any data included therein or relating thereto, and in particular disclaim any warranty either as to the quality, accuracy and/or completeness of the Index or any data included therein, the results obtained from the use of the Index, the composition of the Index at any particular time on any particular date or otherwise, and/or the creditworthiness of, or likelihood of the occurrence of a Credit Event with respect to, any entity in the Index at any particular time on any particular date or otherwise. The Index Parties shall not be liable (whether in negligence or otherwise) to the parties or any other person for any error in the Index, and the Index Parties are under no obligation to advise the parties or any person of any error therein. The Index Parties make no representation whatsoever, whether express or implied, as to the advisability of entering into the transaction hereunder, the ability of the Index to track relevant markets’ performances, or otherwise relating to the Index or any transaction or product with respect thereto, or of assuming any risks in connection therewith. The Index Parties have no obligation to take the needs of any party into consideration in determining, composing or calculating the Index. Neither party to this transaction, nor any Index Party, shall have any liability to any party for any act or failure to act by the Index Parties in connection with the determination, adjustment, calculation or maintenance of the Index. Although the Calculation Agent will obtain information concerning the Index from sources it believes reliable, it will not independently verify this information. Accordingly, no representation, warranty or undertaking (express or implied) is made, and no responsibility is accepted by either party, its Affiliates or the Calculation Agent, as to the accuracy, completeness or timeliness of information concerning the Index. Each party acknowledges that the other party or one of its Affiliates may be, or may be affiliated with, an Index Party and, as such, may be able to affect or influence the determination, adjustment or maintenance of the Index. For purposes of Sections 11.1(b)(iii) and (iv) of the 2014 Credit Derivatives Definitions, references to “each party” therein shall be deemed to include each Index Party.

Table 1

MDX Calculation Formulas

Index Values are 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 Write Down Factor is the inverse of the Index Value, therefore:

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