Ordinary Adjustment | Solactive US Mortgage Backed Securities Index | Effective Date 1st September 2023
As part of the ordinary rebalance of the index, the composition of the Solactive US Mortgage Backed Securities Index (DE000SL0AYE6) was reviewed on Monday, 21 August 2023 (Selection Date). The following changes to the index composition will become effective as of Friday, 1 September 2023 (Effective Date).
Additions:
| Issuer Name | Coupon | Maturity Date |
|---|---|---|
| GNMA II | 5.5 | 2053-08-20 |
| FHLMC | 5.5 | 2053-09-01 |
| FNMA | 5.5 | 2053-09-01 |
| FHLMC | 5.5 | 2053-09-01 |
| GNMA II | 6.0 | 2053-08-20 |
| GNMA II | 6.5 | 2053-08-20 |
| GNMA II | 5.0 | 2053-08-20 |
| FHLMC | 6.0 | 2053-09-01 |
| FHLMC | 6.0 | 2053-09-01 |
| FNMA | 6.0 | 2053-09-01 |
| FNMA | 6.5 | 2053-09-01 |
| FHLMC | 6.0 | 2053-08-01 |
| FNMA | 5.0 | 2053-08-01 |
| FHLMC | 6.0 | 2053-08-01 |
| FHLMC | 5.0 | 2053-08-01 |
| FNMA | 6.0 | 2053-08-01 |
Deletions:
| Issuer Name | Coupon | Maturity Date |
|---|---|---|
| Freddie Mac | 3.5 | 2045-09-01 |
| Freddie Mac | 2.0 | 2037-03-01 |
| Freddie Mac | 3.0 | 2049-09-01 |
| Freddie Mac | 3.5 | 2045-09-01 |
| Freddie Mac | 1.5 | 2051-03-01 |
| Government National Mortgage Association | 3.5 | 2045-06-20 |
| Government National Mortgage Association | 3.5 | 2048-03-20 |
For more details on the index composition and the adjustment rules applicable to an index, please refer to the respective index detail page on this website.