Ordinary Rebalance | Solactive US Mortgage Backed Securities Index | Effective Date 1st April 2024
As part of the ordinary rebalance of the index, the composition of the Solactive US Mortgage Backed Securities Index (DE000SL0AYE6) was reviewed on Monday, 18 March 2024 (Selection Date). The following changes to the index composition will become effective as of Monday, 1 April 2024 (Effective Date).
Additions:
| Issuer Name | Coupon | Maturity Date |
|---|---|---|
| GNMA II | 5.5 | 2054-03-20 |
| GNMA II | 5.0 | 2054-03-20 |
| FNMA | 1.5 | 2036-10-01 |
| FNMA | 2.5 | 2035-02-01 |
| FNMA | 2.0 | 2036-03-01 |
| FHLMC | 5.5 | 2054-04-01 |
| FNMA | 3.5 | 2046-12-01 |
| FHLMC | 5.0 | 2052-10-01 |
| FHLMC | 2.0 | 2036-04-01 |
| FHLMC | 5.5 | 2054-04-01 |
| FNMA | 1.5 | 2036-02-01 |
| GNMA II | 6.0 | 2054-03-20 |
| FHLMC | 2.0 | 2052-04-01 |
| FHLMC | 1.5 | 2036-05-01 |
| FNMA | 2.0 | 2037-01-01 |
| FHLMC | 5.5 | 2054-03-01 |
| FHLMC | 6.0 | 2054-03-01 |
| FNMA | 5.5 | 2054-03-01 |
Deletions:
| Issuer Name | Coupon | Maturity Date |
|---|---|---|
| GNMA II | 3.5 | 2045-12-20 |
| FNMA | 3.0 | 2033-06-01 |
| FNMA | 2.0 | 2040-12-01 |
| FHLMC | 2.5 | 2051-02-01 |
| FHLMC | 2.0 | 2036-03-01 |
| FHLMC | 2.0 | 2036-04-01 |
| FHLMC | 2.5 | 2051-09-01 |
| GNMA II | 6.5 | 2053-01-20 |
| FNMA | 5.5 | 2053-11-01 |
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.