Press Releases

New York, NY (July 24, 2017) – J.P. Morgan announces a new agency pass-through securities index, the J.P. Morgan MBS Agency Index (MAX) as an efficient and in-depth measure of the US MBS market’s largest and most traded fixed-rate agency programs. In this all-encompassing benchmark, J.P. Morgan combines 30-year, 15-year and now 20-year MBS in an index containing 404 aggregates that cover almost 85% of the US agency market (as of June 30, 2017). The MAX index reduces tracking error by reflecting monthly agency factor updates from the 6th business day of the month, compared to delays until the 15th business day in other indices.

“Agency MBS is one of the largest and most liquid asset classes in the US. With the launch of MAX, we hope to further engage our clients who wish to invest in this sector” said Brian Ye, Head of Agency MBS Research at J.P. Morgan.

The J.P. Morgan MAX Index introduces transparency with accurate pricing, aggregated from the CUSIP level up, making ours the first institutional agency mortgage index built on individual security valuations. The granular, same day settled prices in the MAX Index will be a welcome choice for benchmarked managers over other mortgage index pricing, which relies on a combination of PSA settlement and internal trader marks. With the use of same day settled prices, volatility experienced from forward settlement switches is reduced, as is the tracking error for asset managers with daily portfolio flows.

“The J.P. Morgan MAX Index is a contemporary and comprehensive benchmark of the agency MBS market. Our index accurately tracks an extensive history of the asset class, while offering modern refinements including robust third party pricing, timely factor updates and customization opportunities. This index has been tailored to facilitate replication for benchmark users” added Gloria Kim, Head of Global Index Research at J.P. Morgan.

The MAX Index brings forth an entirely rules-based structure supported by Global Index Research Group, PricingDirect and BondStudio platforms, which contribute more than 50 years of product experience. The new market-value weighted benchmark is introduced as a comprehensive addition to the widely-used J.P. Morgan suite of benchmark indices. Eligible fixed-rate mortgage pools must be issued through standard FNMA, FHLMC Gold, GNMA I and GNMA II programs. As proportions of the MAX index, FNMA, FHLMC and GNMA I/II mortgages make up 43%, 27% and 30% of the benchmark, respectively.

Over seventeen years of historical daily index levels and statistics are available for the aggregate MAX Index and its sub-indices from December 1999. Clients can access index levels and statistics for the J.P. Morgan MAX Index on J.P. Morgan Markets at

Pricing for the index is provided by PricingDirect Inc., a valuation vendor and affiliate of JPMorgan Chase Bank. Details on PricingDirect product coverage and methodology are available at

Table 1: J.P. Morgan MAX Index instrument rules

Index Criteria: MAX Index
Instruments:         Fixed rate, single family MBS pools          
   Min. Aggregate WAM:            12 months
Min. Aggregate Size:      US$ 500 million
Programs: 30 / 20 / 15 year
Pricing source: PricingDirect


Table 2: J.P. Morgan MAX Index statistics

Sector Mkt Val($bn) YTD USD(%)  WAC  WAM Yield OAS(Libor) OA Dur
MAX Index 5,635 1.40 4.07 285 2.81 26.23 4.40
MBS 30y 4,719 1.46 4.18 312 2.88 28.58 4.54
MBS 20y 204 1.39 3.91 197 2.60 18.85 4.02
MBS 15y 711 1.01 3.36 135 2.22 5.89 3.55
Conventional 3,946 1.58 4.09 274 2.83 28.98 4.50
Government 1,689 0.96 4.02 311 2.77 19.63 4.15
FNMA 2,417 1.56 4.09 273 2.84 30.20 4.48
FHLMC Gold 1,529 1.60 4.08 275 2.81 27.06 4.54
GNMA II 1,458 0.96 3.91 319 2.79 18.82 4.23
GNMA I 230 0.92 4.73 262 2.66 25.55 3.68


Source: J.P. Morgan, as of June 30, 2017

About J.P. Morgan

J.P. Morgan’s Corporate & Investment Bank is a global leader across banking, markets and investor services. The world’s most important corporations, governments and institutions entrust us with their business in more than 100 countries. With $22.1 trillion of assets under custody and $404.9 billion in deposits, the Corporate & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world. Further information about J.P. Morgan is available at

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