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J.P. Morgan – JEMB – EM Blended Indices

Published in Fixed Income Indices

JP Morgan EM Blended Indices (JEMB) blends different kinds of debt in the EM market while hedging the local-currency debt. JEMB combines government and corporate bonds with dollar-and euro-denominated debt and bonds issued in local currencies. This enables a portfolio that blends “hard currency” (US dollar–denominated) and local-currency emerging-market debt. JEMB provides a benchmark that truly reflects the composition of the EM debt sovereign universe. The market capitalization–based ratio is an important factor in determining the optimal blend of hard and local currencies, as well as Sovereign debt.

The four new indices include JEMB Equal Weighted, JEMB Hard Currency / Local Currency 50-50, JEMB Hard Currency Credit 50-50, and JEMB Sovereign-Only 50-50. This package blends existing flagship EM indices as follows:

  • 25% EMBIGD, 25% CEMBI BD and 50% GBI-EM GD
  • 50% EMBIGD / 50% GBI-EM GD (Sovereign Only)
  • 50% EMBIGD / 50% CEMBI BD (Hard currency only)

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 2800 bonds and 450 indexes. Some of the data items available include:

  • Bond Items – Accrued Interest, Capped Investible Market Value in US Dollars, Capped Market Value, Capped Notional Outstanding, Capping Factor, Clean Price, Convexity, Country Code, Country Description, Coupon, Coupon Frequency, Currency Code, Frequency of Series, Hedged Total Return, Inclusion Direction/Percentage, Investable Market Value in US Dollars, Investable Weight, ISIN Code, ISO Currency Code, Issue Date/Description, Liquidity, Macaulay Duration, Market Value, Maturity Bands, Maturity Date, Modified Duration, Notional Outstanding, Reference Date, Total Return, Unadjusted Investable Weight, Weight in Index/in Country, Weighted Total Return in US Dollars, Year to Date Total Return in US Dollars, Yield, etc.
  • Index Items – Adjustment Factors, Average Life, Blended Spread/YTM, Currency, Daily Return, Discount Function, Effective Duration, Forward Rate, Index Component Weight, Index Market Value, ISIN, Market-Weighted Average, MTD Total Return, Notional Outstanding Value, Outstanding Face Value, Price, Price Of Bond, Regression Variables, Short-Term Yield, Spot Rate, Spot Yield Curve, Spread Duration, Total Return, Weighting, etc.

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