I went to do my routine check of CMBX spreads and was surprised when it appeared that all the charts had reversed!
Many strange thoughts jumped into my head, but then I began to dig by looking at their complete line up and found that they too had reversed.
But then I saw the link to a .pdf that explained that Markit has changed the way they report from reporting spreads to reporting PRICE instead:
March 18, 2009
MARKIT ANNOUNCES CHANGE TO MARKIT CMBX TRADING CONVENTION
London and New York, NY– Markit, a financial information services company, today announced that the standard trading convention for Markit CMBX indices will change to price from spread effective April 20, 2009. The change will apply to all Markit CMBX indices of every rating.
Markit CMBX dealers voted to change the standard trading convention in order to increase price transparency by making the upfront value of index contracts explicit.
The Markit CMBX is an index of credit default swaps referencing 25 commercial mortgage-backed securities. The index provides investors with an efficient, standardized tool to gain synthetic exposureto the CMBS asset class.
Here’s how the new charts look:
This will mean that lower price is BAD, and higher price is Good, as it always has been, but now lower on the chart is BAD and up is GOOD, the reverse of the way it was. I guess that’s just the way it is!