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J.P. Morgan China Aggregate Liquid Indices

Published in Fixed Income Indices

J.P. Morgan now includes liquid Chinese government bonds in its flagship indices. Nine eligible Chinese government bonds, comprising six instruments already issued in the market are included in the Government Bond Index-Emerging Markets (GBI-EM) family of indices.

In the GBI-EM family of indices, to which around 226 billion U.S. dollars of assets are benchmarked (as of 2020), the GBI-EM Global Diversified index accounts for about 202 billion dollars and a 10-percent weight cap for China will be applied to it.

JPM believes China has made significant progress over the past three years in market development, noting that its domestic market is now accessible and tradable for the global investor base. The latest inclusion is reflective of market demand and replicable for dedicated index managers. The inclusion represents an important milestone as China continues to liberalize its capital markets and looks to connect more global investors to the country.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 106 bonds and the J.P. Morgan China Aggregate Liquid Index. Bond coverage includes China bonds 1%-5% (ADBCH, CGB, EXIMCH, SDBC).

Some of the data items available include the following:

  • COMPANY ITEMS: Total Return, Database Domain Code, Database Source, Database Symbol, Description, Market Value, Market Value in Euros, Market Value in US, Dollars Yield, etc.
  • BOND ITEMS: Accrued Interest, Clean Price, Convexity, Coupon, Coupon Frequency, Database Symbol (Source), ISIN Code, Issue Date, Liquidity, Liquidity Code, Macaulay Duration, Maturity Bands, Maturity Date, Modified Duration, Notional Outstanding, etc.

 

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