S&P U.S. Mortgage-Backed Securities Index Methodology

This document is a technical report detailing the S&P U.S. Mortgage-Backed Securities Index methodology. It outlines the index's objective, which is to measure the performance of residential mortgage pass-through securities publicly issued by U.S. agencies in the domestic market. The report specifies the eligibility criteria for index constituents, including bond type, currency, country of incorporation, maturity, pricing, and size. It describes the index construction and calculations, emphasizing that the index is market value weighted and that cash received from coupon and principal paydown is reinvested back into the index. The document also discusses index maintenance, including the rebalancing process, which occurs monthly, and the governance structure, which is overseen by an Index Committee. Additionally, it includes information on index dissemination, tickers, and performance disclosures, ensuring that users have access to relevant data and updates regarding the index.