CDS IndexCo LLC (CDS IndexCo), a consortium of 16 investment banks, and Markit Group Limited (Markit), the leading provider of independent data, portfolio valuations and OTC derivatives trade processing, announced today that the CMBX indices will roll tomorrow, October 25, 2007.
The CMBX is a synthetic family of indices based on U.S. commercial mortgage-backed securities (CMBS) which provides investors with liquid, transparent exposure to CMBS of a unique vintage profile. A new series of CMBX is issued every six months.
The CMBX Series 4 includes a new AJ tranche. The AJ tranche, which is the most subordinate of the AAA rated tranches, has been added to CMBX in order to provide enhanced trading opportunities to institutional investors seeking exposure to an additional credit class.
CMBX Series 4 references a basket of 25 of the most recently issued CMBS deals from the previous six month period. The seven index tranches contain bonds rated AAA, AJ, AA, A, BBB, BBB- and BB respectively. Ratings are required from at least two of the following rating agencies: Moody’s, Fitch and Standard & Poor’s.
The CMBS reference obligations are selected through an algorithm that identifies the most recently issued deals over a minimum size of $700 million, and which satisfy additional diversity requirements. In order to qualify for index selection, the following rules apply: Deals must be secured by at least 50 separate mortgages that are obligations of at least 10 unaffiliated borrowers; no more than 40% of the underlying mortgages can be secured by properties in the same state; and no more than 60% of the properties can be of the same property type.
Markit is the administration, calculation, and marketing agent for CMBX, and is the central source of information about the index. Responsible for the index’s rules, operations and analytics, Markit publishes daily spreads on its website, provides monthly fixed and floating payment amounts, and supplies a calculator for the settlement of trades. Additional details such as a complete list of reference obligations, coupons and Index RED codes can be viewed at: http://www.markit.com/. CMBX is based on the standard ISDA Pay-As-You-Go template.
The CMBX Licensed Dealer Group includes the following: Bank of America; Barclays; Bear Stearns; Citi; Credit Suisse; Deutsche Bank; Goldman Sachs; JPMorgan; Lehman Brothers; Merrill Lynch; Morgan Stanley; Nomura International; RBS Greenwich Capital; UBS; and Wachovia.