CDS IndexCo LLC, a consortium of 16 investment banks licensed as market makers in the ABX and Dow Jones CDX indexes, and Markit Group Limited have teamed up to launch CMBX, a synthetic index of US commercial mortgage-backed securities (CMBS), to start trading on March 7.
The following institutions are market-makers in the index: Bank of America; Bear Stearns; Citigroup; Credit Suisse; Deutsche Bank; Goldman Sachs; JPMorgan; Lehman Brothers; Merrill Lynch; Morgan Stanley; Nomura International; RBS Greenwich Capital; UBS; and Wachovia.
Markit is the administration, calculation, and marketing agent for CMBX, and will serve as the central source of information about the index. Responsible for the index’s rules, operations and analytics, Markit will publish daily prices on its website, provide monthly fixed and floating payment amounts, and supply a calculator for the settlement of trades.
Valuations analytics will be available on www.markit.com and will use cash flows from Trepp, a provider of CMBS and commercial mortgage information, analytics and technology to the securities and investment management community. Markit will negotiate dealer and data licenses; produce marketing materials; and communicate information to the wider market.
CMBX consists of five traded indexes based on the 25 most recent CMBS deals, with the minimum deal size is $700 million, and one bond from each deal will be referenced in each index.