Merrill Lynch launched a new U.S. CMBS Index, including 3,017 constituents with a total capitalization in excess of $367 billion. Data sets of returns and risk characteristics are available back to December 1997. sub-indices are also available that segment the market by rating and tenor. "The addition of the CMBS index, with its extensive history and supporting analytics, will be an invaluable tool in helping to determine both the sector's relative and absolute performance," said Managing Director Roger Lehman, co-head of the U.S. rates and structured credit research group.
Qualifying bonds must have a fixed-rate coupon and must be rated investment grade, based on an average of Fitch Ratings, Moody's Investors Service and Standard & Poor's and. Floaters, inverse floaters, IO classes, re-securitized, and agency deals are therefore excluded from the Index. The minimum original deal size is $250 million and the current outstanding value of each qualifying collateral group must be greater than or equal to 10 percent of the original deal size. In addition, the current amount outstanding of individual senior tranches must be greater than or equal to $50 million, and individual mezzanine and subordinated tranches must be greater than or equal to $25 million.
