The synthetic index for CMBS bonds rolled for the first time last week, ushering in several changes that are anticipated to make the indices more liquid. Investors in the new CMBX.2 will now have the ability to reference the double-B tranches of the CMBS reference entities. Also, the fixed-rate coupons set for the second round of indices was considerably more conservative than those set for the CMBX.1, a change which should reduce the upfront payment investors exchange for making trades in the new index, according to Citigroup Global Markets.
Initial index coupons for the CMBX.2 for the popular triple-B minus tranche are now only 87 basis points, compared with 134 for the CMBX.1, for example. The new double-B tranche was set at a 180 basis point coupon.