Markit has launched the Markit TRX.NA index designed to provide investors with an opportunity to gain exposure to commercial mortgage-backed securities (CMBS) through total return swap (TRS) contracts.

The new index series will be based on a standardised basket of 118 CMBS reference obligations drawn from the Markit CMBX.NA.AAA index series.

The Markit TRX.NA is a total return index using consensus pricing on the TRS. There will be 12 contributors to the daily pricing process.

A TRS allows investors to benefit from a security's price appreciation or depreciation without having to purchase the security outright. The index will allow investors to isolate the movement of CMBS prices, in contrast to the synthetic Markit CMBX contracts which are exposed primarily to the default risk of the reference obligations.

The index will be tradable from inception with market participants on the buy- and sell-side expected to participate. All swap contracts will have standardised documentation. The Depository Trust and Clearing Corporation will offer trade confirmation and settlement.

Markit will provide third party oversight and consensus pricing for use in trade settlement. Valuation analytics to calculate price, duration and spread sensitivity for Markit TRX.NA contracts will be published on Markit's website.