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J.P. Morgan – MBS Indices

Published in Alternative Indices

JPM MBS Indices seek to maximize total return by investing primarily in a diversified portfolio of debt securities backed by pools of residential and/or commercial mortgages. The fund invests mainly in investment grade mortgage-backed securities or unrated mortgage-backed securities which the adviser determines to be of comparable quality. Under normal circumstances, it invests at least 80% of its assets in mortgage-backed securities. “Assets” means net assets plus the amount of borrowings for investment purposes

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. 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.

Key Features and Coverage on RIMES

For the MBS data source, RIMES hosts 3 indices, including:

  • PRIME.13H1
  • PRIME.14
  • PRIMEX.FRM.1

For the MBS Agency Indices, RIMES hosts approximately 25 indices, including the JPM Max Index, as well as:

  • FHLMC Gold
  • FNMA
  • GNMA

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.

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