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MBX, IOS & PO: Total Return Swap Index

The MBX, IOS and PO indices are synthetic total return swap index series referencing the interest and principal components of agency pools.

Index cashflows, prices and valuation are derived from the principal and interest cashflows from the underlying reference pools. IOS indices reference the synthetic interest portion of agency pools in the index. IOS is a liquid and standardized tool for investors to take long or short positions based on their own assumptions of prepayment and extension of the reference pool interest payments. PO indices reference the principal component of the corresponding IOS indices.

Key benefits:

  • Tailored exposure – The indices reference interest-only, principal-only or combined P/I components of reference pools for tailored exposure
  • Depth – Gain further visibility with sub-indices available for each agency, coupon, vintage and term
  • Risk hedging – Benefit from a hedging tool for exposure to servicing rights, agency pass-throughs, trust IOs and other instruments correlated with mortgage prepayments

News & Information

Important notifications and public information about our indices, including changes to upcoming series following index rolls, credit events on constituents and issuance of new indices.
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Documentation

Publicly available documentation relating to our indices, including methodologies, annexes and educational guides, as well as trading and legal documents for tradable indices.
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Customers

  • Banks
  • Asset managers
  • Hedge funds
  • Insurance companies
  • Corporate treasurers

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