Trading activity on the synthetic commercial mortgage-backed securities index, CMBX, has picked up dramatically in the past month, said Kamilla. CMBX trading volume--off to a slow start--still pales in comparison with the USD75 billion residential MBS index, ABX. But the past four weeks have boosted outstanding CMBX notional to USD15 billion from less than USD 100 million March 7, its first day trading.
Part of the reason for the recent interest is that the ABX has widened dramatically relative to the CMBX. "If you're negative on the mortgage market as a whole you might as well short the CMBX for half the price," one trader explained to DW after the panel. "The CMBX may be the next new development."