The commercial mortgage-backed securities index, which started trading March 7, has so far produced disappointing results. Traders would not say how much volume they expected to see on the CMBX, but agreed the first week of trading fell short. Trades March 10 were estimated at no more than USD500 million, boosted by a USD200 million AAA trade, and this is compared to more than USD1 billion on the ABX its first day of trading.
Traders noted, however, they did not expect CMBX volumes to rival the ABX, which since Jan. 19 has seen more than USD12 billion. This is because residential mortgage-backed securities, which make up the ABX, are a bigger market and comprise 65-80% of the collateral in ABS collateralized debt obligations compared with CMBS. "Still, I think people were disappointed," a trader said.
