Markit Group Limited ("Markit"), the leading provider of independent data, portfolio valuations and OTC derivatives trade processing and owner of the Markit CMBX index, announced today that an AJ tranche will be added to the off-the-run Markit CMBX indices on January 4th 2008. The new tranche will provide enhanced trading opportunities to institutional investors seeking exposure to an additional credit class.
Markit added an AJ tranche – the most subordinate of the AAA rated tranches – to the on-the-run Markit CMBX 4 index when it rolled in October last year. The new tranche has now been added to the off-the-run Markit CMBX 1, Markit CMBX 2 and Markit CMBX 3 indices as well.
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 seven index tranches reference bonds rated AAA, AJ, AA, A, BBB, BBB- and BB respectively. Ratings are required from at least two of the following rating agencies: Fitch, Moody’s and Standard & Poor’s. A new series of CMBX is issued every six months.
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.
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.
