Markit Launches New Commercial Mortgage Total Return Index

Neil McPherson, Managing Director of Indices at Markit, said: “This is an exciting addition to Markit’s family of CMBS indices which already includes Markit CMBX, Markit TRX.NA and Markit iBoxx ABS. This new index, which comes at a time when US CMBS issuance is experiencing a revival, will offer CMBS investors with an efficient hedging and investment tool provided by an independent index provider.”

The Markit TRX.II will comprise a maximum of 25 AAA rated securities from 25 different CMBS deals. Both private (144a) and public deals are eligible for inclusion. However, at launch, the index will primarily consist of 144a deals. Each quarter the index will be rebalanced to include recent qualifying issuance by replacing the oldest deals in the index with newer deals. The index will have the same contract structure as the existing Markit TRX.NA.