Markit, a leading provider of independent data, portfolio valuations and over-the-counter (OTC) derivatives trade processing and owner of the Markit CMBX, today announced that the Markit CMBX index will roll into its fifth series on May 22, 2008.
The Markit 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. Each CMBX index references a basket of 25 of the most recently issued CMBS deals.
The Markit CMBX Series 5 index has seven index tranches containing 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 Investors Service, Fitch Ratings and Standard & Poor’s.
The CMBS reference obligations are selected using the following requirements: deals must have a minimum size of $700 million; they 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. Additional details such as a complete list of reference obligations, coupons and index RED codes are freely available at http://www.markit.com/.
Markit owns the Markit CMBX, performs all associated functions including administration, calculation and marketing, 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. Markit CMBX is based on the standard ISDA Pay-As-You-Go template.
Licensed dealers of the Markit CMBX include: Bank of America, Barclays, Bear Stearns, Calyon, Citi, Countrywide, Credit Suisse, Deutsche Bank, Goldman Sachs, JPMorgan, Lehman Brothers, Merrill Lynch, Morgan Stanley, Nomura International, RBS Greenwich Capital, UBS and Wachovia.