Credit Suisse First Boston recently launched an investment-grade CMBS index covering new issuance to be priced daily by the firm's trading desk.
In order to provide a more liquid and consistent product, the index will only track a deal for the first 12 months of its life, said CSFB Vice President Deepak Agnani.
"By dropping the deal from the index after 12 months, problems relating to illiquidity and bad pricing are largely eliminated," Agnani said.
CMBS deals are very liquid during the first 12 months, he said, and are generally free of major credit issues.
"Downgrades and credit events can significantly affect the return on the index," Agnani said. "Our point is to make it tradable and keep it consistent; we don't want a volatile index."
In addition, the index offers increased transparency by furnishing investors with detailed information on the underlying securities.
"If the index moves five basis points on a given day, you will be able to tell why it made that move," Agnani said.
The index is currently accessible on CSFB's Web site, but will soon be available on Bloomberg also, he said.