J.P. Morgan’s new agency pass-through securities index, the J.P. Morgan MBS Agency Index (MAX), is an efficient and in-depth measure of the US MBS market’s largest and most traded fixed-rate agency programs. In this all-encompassing benchmark, J.P. Morgan combines 30-year, 15-year and now 20-year MBS in an index containing 404 aggregates that cover almost 85% of the US agency market (as of June 30, 2017). The MAX index reduces tracking error by reflecting monthly agency factor updates from the 6th business day of the month, compared to delays until the 15th business day in other indices.
The J.P. Morgan MAX Index introduces transparency with accurate pricing, aggregated from the CUSIP level up, making it the first institutional agency mortgage index built on individual security valuations. The granular, same day settled prices in the MAX Index reduce volatility experienced from forward settlement switches. This index accurately tracks an extensive history of the asset class, while offering modern refinements including robust third-party pricing, timely factor updates and customization opportunities. It is tailored to facilitate replication for benchmark users.
The MAX Index brings forth an entirely rules-based structure supported by Global Index Research Group, PricingDirect and BondStudio platforms, which contribute more than 50 years of product experience. The new market-value weighted benchmark is introduced as a comprehensive addition to the widely-used J.P. Morgan suite of benchmark indices. Eligible fixed-rate mortgage pools must be issued through standard FNMA, FHLMC Gold, GNMA I and GNMA II programs. Over seventeen years of historical daily index levels and statistics are available for the aggregate MAX Index and its sub-indices from December 1999.
Key Features and Coverage on RIMES
For this data source, RIMES hosts 25 indices, including:
- JPM Max Index
- Conventional Indices
- FHLMC Gold
- FNMA
- GNMA
- Government
- MBS Indices
Some of the index items available include:
- Average Life, Average Life Spread (Treasury), Average Price, Conditional Prepayment Rate , Coupon 1D Return USD, Factor, Key Rate Duration , Last Price Date, Market Capitalization, Modified Duration, Notional Outstanding Value in US Dollars, Option Adjusted Convexity, Option Adjusted Duration, Option-Adjusted DV01, Option-Adjusted Spread (Libor), Option-Adjusted Spread (Treasury), Paydown 1D Return USD, Price 1D Return USD, Total Return, Vega, Weighted Average Coupon, Weighted Average Loan Age, Weighted Average Maturity, Yield, Z Spread (Libor), Z Spread (Treasury), etc.
