Ordinary Rebalance | Solactive US Mortgage Backed Securities Index | Effective Date 3rd July 2023
As part of the ordinary rebalance of the index, the composition of the Solactive US Mortgage Backed Securities Index (DE000SL0AYE6) was reviewed on Tuesday, 20 June 2023 (Selection Date). The following changes to the index composition will become effective as of Monday, 3 July 2023 (Effective Date).
Additions:
| Issuer Name | Coupon | Maturity Date |
|---|---|---|
| FHLMC | 5.5 | 2053-07-01 |
| FNMA | 5.0 | 2053-07-01 |
| GNMA II | 4.5 | 2053-06-20 |
| GNMA II | 5.5 | 2053-06-20 |
| GNMA II | 5.0 | 2053-06-20 |
| GNMA II | 6.0 | 2053-06-20 |
| FHLMC | 5.0 | 2053-07-01 |
| FHLMC | 5.5 | 2053-07-01 |
| FNMA | 5.5 | 2053-07-01 |
| FHLMC | 5.0 | 2053-07-01 |
| FNMA | 5.5 | 2053-06-01 |
| FHLMC | 5.0 | 2053-06-01 |
| GNMA II | 6.5 | 2053-05-20 |
Deletions:
| Issuer Name | Coupon | Maturity Date |
|---|---|---|
| Freddie Mac | 2.5 | 2050-04-01 |
| Freddie Mac | 2.5 | 2032-02-01 |
| Freddie Mac | 2.5 | 2032-02-01 |
| Freddie Mac | 3.0 | 2043-03-01 |
| Freddie Mac | 3.0 | 2044-10-01 |
| Freddie Mac | 3.0 | 2043-08-01 |
| Freddie Mac | 3.0 | 2043-01-01 |
| Freddie Mac | 3.0 | 2047-02-01 |
| Freddie Mac | 3.5 | 2048-01-01 |
| Freddie Mac | 4.0 | 2048-02-01 |
| Freddie Mac | 2.0 | 2035-11-01 |
| Fannie Mae | 2.0 | 2040-11-01 |
| Freddie Mac | 2.0 | 2051-05-01 |
| Fannie Mae | 2.0 | 2041-09-01 |
| Freddie Mac | 5.0 | 2040-08-01 |
| Freddie Mac | 4.0 | 2044-07-01 |
| Freddie Mac | 3.5 | 2045-04-01 |
| Freddie Mac | 3.5 | 2045-09-01 |
| Freddie Mac | 3.0 | 2046-02-01 |
| Freddie Mac | 3.5 | 2046-06-01 |
| FHLMC | 4.5 | 2046-05-01 |
| FHLMC | 3.5 | 2047-09-01 |
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.