Barclays Capital has unveiled a new US Commercial Mortgage-Backed Securities (CMBS) 2.0 Index, to be launched on 1 January 2011.
Barclays said that the index will offer investors a new measure for evolving CMBS markets by tracking the new category of recently issued securities commonly referred to as CMBS 2.0.
According to the Barclays, the US 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.
The investment bank added that to date, these securities have been issued as private placements and are therefore not eligible for the Barclays Capital US 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 $250m. Sub-indices based on quality rating and average life will also be available.
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) and the index will be available on Bloomberg, Barclays Capital Live and the Barclays Capital POINT portfolio management and analytics platform.
Barclays Capital head of Index, portfolio and risk solutions Waqas Samad said that 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.
"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," Samad said.