MSCI Launches new US fixed income index

London, December 4, 2000. MSCI, a leading provider of investment performance benchmarks, is pleased to announce the launch of the MSCI US CMBS Index, which measures total returns on commercial mortgage-backed securities (CMBS). The index is calculated daily using prices from MSDW’s CMBS trading desk. Henry Fernandez, CEO of MSCI, said, "We are proud to be publishing the first in a series of US Domestic Credit Indices. This will enable MSCI to create a Global Aggregate Credit Index of the same high level of quality that our clients have come to expect from the MSCI European credit indices."

The index is a weighted average of returns on the 30 deals that are most actively traded by MSDW. Scott Stelzer, a MSDW CMBS trader said, "We can give accurate prices on these bonds since we are trading them every day."

The index tracks five rating classes (short AAA, long AAA, AA, A, and BBB) from each of the 30 transactions, for a total of 150 classes. According to Howard Esaki, head of CMBS research at MSDW, "The limited universe of bonds makes the MSCI index easier to track and verify than other existing indices." Esaki added, "The new CMBS index is an efficient method of replicating CMBS returns without investing in specific bonds. Investors can get diversification in a single trade."

Scott Stelzer also noted, "Investors can use trades based on the index to hedge both credit and interest rate risk. CMBS issuers can lock in levels for future securitizations."

The index is re-balanced every six months, based on trading activity over the previous year. The index includes only fixed-rate, dollar-denominated transactions. The new CMBS index is part the MSCI family of fixed-income indexes. Total returns, spreads, and other descriptive statistics are available on the MSCI web site

For further information, contact:

Howard Esaki (MSDW) +1 212-761-1446

Scott Stelzer (MSDW) +1 212-761-2055

Susan Ladd (MSCI) +44 (0) 207 677 3059


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