Barclays Capital, publisher of leading fixed income benchmarks, has announced a new U.S. Commercial Mortgage-Backed Securities (CMBS) 2.0 Index, to be launched on Jan. 1, 2011. This index will offer investors a clear new measure for evolving CMBS markets by tracking the new category of recently issued securities commonly referred to as “CMBS 2.0.” The U.S. CMBS 2.0 Index will be a rules-based index constructed to measure the market of investment-grade CMBS conduit and fusion deals issued since the beginning of 2010.
To date, these securities have been issued as private placements and are therefore not eligible for the Barclays Capital U.S. Aggregate Index. While many of the CMBS 2.0 deals are already eligible for the broader Barclays Capital US Investment-Grade CMBS Index, this new index also captures additional securities with a broader set of eligibility criteria including a lower minimum deal size of $250 million. Sub-indices based on quality rating and average life will also be available.
“The US CMBS 2.0 Index is an important benchmark offering clarity to a new class of securities in the evolving and resurgent US CMBS market,” said Waqas Samad, head of index, portfolio and risk solutions for Barclays Capital. “This product underscores the strength of our benchmark index platform, combining unparalleled coverage of the fixed income asset class with an ability to offer market transparency to both broad-based debt investors and dedicated investors in narrower yet growing markets.”
These indices are intended to be used as a standalone benchmark for dedicated CMBS investors, issuers and market participants, and can also be blended with other Barclays Capital fixed income indices to create even broader benchmark indices. The CMBS 2.0 Index will also be useful as the basis for investable index products such as total return swaps, structured notes and exchange-traded funds (ETFs). The index will be available on Bloomberg, Barclays Capital Live and the Barclays Capital POINT portfolio management and analytics platform.
For more information, visit www.barclayscapital.com.