Markit Group, a provider of independent data, portfolio valuations and OTC derivatives trade processing and owner of the Markit CMBX index, has announced the addition of an AJ tranche to t
Markit Group, a provider of independent data, portfolio valuations and OTC derivatives trade processing and owner of the Markit CMBX index, has announced the addition of an AJ tranche to the off-the-run Markit CMBX indices.
Markit says the new tranche will provide enhanced trading opportunities to institutional investors seeking exposure to an additional credit class. It 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, and 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 US commercial mortgage-backed securities that provides investors with liquid, transparent exposure to securities of a unique vintage. Each CMBX index references a basket of 25 of the most recently issued commercial mortgage-backed securities deals.
The seven index tranches reference bonds rated AAA, AJ, AA, A, BBB, BBB- and BB respectively. Ratings are required from at least two rating agencies out of Fitch, Moody’s and Standard & Poor’s.
A new series of CMBX is issued every six months. To be selected as reference obligations, deals must have a minimum size of USD700 million and must be secured by at least 50 separate mortgages that are obligations of at least 10 unaffiliated borrowers. No more than 40 per cent of the underlying mortgages can be secured by properties in the same US state, and no more than 60 per cent of properties can be of the same property type.
Licensed dealers of the Markit CMBX comprise 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.
