Merrill Lynch today launched a new U.S. Agency Collateralized Mortgage Obligation Index series that is set to track this sector's performance. The Index now has 1,173 constituents that have a total capitalization of over $363 billion. Data sets of returns and risk characteristics are available dating back to December 1996. More sub-indices are also available that classify the market according to tranche type and average life.
"The Merrill Lynch U.S. Agency CMO Index is the first to tackle this large, complex asset class," said Phil Galdi, managing director of global bond index and analytics group, in a release today. Merrill Lynch started tracking CMOs to support the increasing number of BookMark indices that it has constructed for insurers in the past two years. "Having established our historical CMO database and benchmarking capability, it was only logical for us to make it available to traditional total rate of return investors as well," he added.