CDS IndexCo and Markit Announce Roll of the CMBX Indices
CMBX Indices Provide Investors with Standardized Vintage Exposure to U.S. Commercial Mortgages
NEW YORK, NY – April 24, 2007 – 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, April 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 new profile, CMBX Series 3, references a new basket of 25 of the most recently issued CMBS deals from the previous six month period. The six index tranches contain bonds rated AAA, 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. CMBX is based on the standard ISDA Pay-As-You-Go template.
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 prices 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: www.markit.com.
The CMBX Licensed Dealer Group includes the following: 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
For further information on CMBX see www.markit.com or contact:
CDS IndexCo
Michael Mandelbaum
Tel: +1 310 785-0810
Email: michael@mandelbaummorgan.com
Markit
Teresa Chick
Tel: +44 20 7260 2094
Email: teresa.chick@markit.com
About CDS IndexCo
CDS IndexCo is a consortium of 16 investment banks which are licensed as market makers in the ABX, CMBX and CDX Indexes. The market makers include: ABN AMRO, Bank of America, Barclays Capital, Bear Stearns, BNP Paribas, Citigroup, Credit Suisse, Deutsche Bank, Goldman Sachs, HSBC, JPMorgan, Lehman Brothers, Merrill Lynch, Morgan Stanley, UBS, and Wachovia.
About Markit
Markit Group Limited is the leading provider of independent data, portfolio valuations and OTC derivatives trade processing to the global financial and commodities markets. The company receives daily data contributions from over 75 dealing firms, and its services are used by almost 1,000 institutions to enhance trading operations, reduce risk and manage compliance.
Markit’s position in the derivatives markets has been acknowledged by the industry with numerous awards. In 2006, the company won Operations Management’s Vendor of the Year award (Trade Processing); Financial News’ Best Derivatives Data Solution and Best New Vendor Solution (Portfolio Valuations); Credit’s Best Operational Support Services Provider; Inside Market Data’s Reference Data Provider of the Year, and Company to Watch; Risk’s Trading Initiative of the Year (Credit Event Fixings); and Structured Finance International’s Editor’s Award for Advancing Structured Finance. In 2005, Markit received International Securitisation Report’s Editor’s Award for Innovation; International Financing Review’s Innovation of the Year (Credit Event Fixings); Financial News’ Best Derivatives Data Provider; and Operations Management’s Vendor of the Year award.