The launch of CMBX 6 is the first new index since the series 5 in May 2008. (A year ago Markit also launched a subprime residential securitization index.)
The new CMBX index will reference 25 CMBS 3.0 deals, all issued in 2012. The index will include 6 subindices corresponding to the AAA, AS, AA, A, BBB- and BB bonds for each referenced deal.
“A new series of CMBX will provide market participants with a hedging tool and allow increased exposure to new issue bonds, in our view,” said analysts at Standard & Poor’s today.
Analysts at RBS said in a Jan. 24 report that CMBX.6 will provide a more efficient hedging tool for CMBS 3.0 conduit loans and allow market participants to express relative value views on CMBS 3.0 bonds across the capital structure.
The analyst noted that relative value trades have been difficult to achieve in new issue CMBS 3.0 bonds aside from outright buying and/or selling cash bonds; CMBX.6 allows investors to synthetically buy and/or sell CMBS 3.0 tranches with an active two-way market.
“CMBX.6 may mitigate some of the basis risk typically associated with hedging CMBS 3.0 bonds and produce higher correlations to those bonds,” explained analysts in the report.