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J.P. Morgan – JACI – Asia Credit Indices

Published in Fixed Income Indices

The J.P. Morgan Asia Credit Index (JACI) tracks total return performance of the Asia fixed-rate dollar bond market. JACI is a market cap-weighted index comprising sovereign, quasi-sovereign and corporate bonds and it is partitioned by country, sector and credit rating. Returns and statistics are reported daily on Morganmarkets, Bloomberg and Reuters. The JACI universe of securities represents a liquid and diverse set of issues that fairly represents Asia dollar bond opportunities, tracking total return performance on a daily basis. The returns and statistics of the index can be used in aggregate or broken down into sectors. JACI tracks fixed-rate Asia dollar bonds, including government and corporate issues. JACI includes eight country sectors and Hong Kong. The index is partitioned geographically, by sector as well as by rating to better reflect performance in different segments of the Asia credit market. Indexes are typically calculated on a mark-to-market basis using bid-side prices.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 3300 bonds and 200 indices.

Index coverage includes:

  • JACI – Asia, China, Hong Kong, India, Korea, Malaysia, Philippines, Singapore, Taiwan, Thailand, Vietnam, etc.

Some of the data items available include:

  • Index Items: currency code, date, description, market capilization, mpfflag, total return, etc.
  • Current Company Items: composite rating, country, country code, coupon rate, industry description, investment grade flag, isin, issuer description, maturity date, moody rating, non-investment grade flag, sector description, source, standard and poors rating, symbol, tenor, ticker, etc.
  • Historical Company Items: accrued interest, asset swap spread, benchmark yield, coupon rate, market value, modified duration, outstanding face value, price, spread over government curve, weight, yield, etc.
  • Historical Bond Items: adjusted duration (semi-annual basis), adjusted duration convexity (semi-annual basis), average blended spread/ yield, average effective convexity/ duration, average life, blended spread/ yield, blended yield to maturity, country weight, current face price bid/ offer, dirty price, EIR duration, investable weight, market value (in percentage term), market value in usd, market weight, number of constituents, outstanding face value in usd, price, quote method, spread duration, total return in usd, etc.


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