CMBX Series 11

CMBS Research
Sunday, April 22, 2018
CMBX Overview
• CMBX is group of indexes that reference a basket of 25 CMBS deals
• Gives an indication of status of commercial real estate market during
a given year
• Allows investors to take both long and short positions in CMBS
• 11 Series of CMBX issued (one per year) as of 2018
• Five year hiatus of CMBX issuance following 2008 financial crisis

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CMB BBB- Spreads

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CMBX Series 11
● Launched January 24, 2018
● Consists of 25 CMBS conduit deals issued in 2017
● High concentration of office deals, lower retail exposure
● CMBX 11 Constituents
○ Average number of mortgages: 46.52
○ Average deal balance: $931, 226,140.60
○ Weighted Average Loan to Value: 57.92%
○ Weighted Average Coupon: 4.29%

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Risk Retention
• CMBX 11 first series to include deals under new risk retention
guidelines
• Took effect December 2016 as part of Dodd-Frank Wall Street
Reform and Consumer Protection Act
• Requires issuers of CMBS to a retain a piece of risk on each
transaction they issue
• “Skin in the game”
• Impact of risk retention
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Questions?