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J.P. Morgan EMBI Indices

The family of J.P. Morgan Emerging Market Bond Index (EMBI) is the most widely used and comprehensive emerging market sovereign debt benchmarks. This is a benchmark index for measuring the total return performance of international government bonds issued by emerging market countries that are considered sovereign (issued in something other than local currency) and that meet specific liquidity and structural requirements. In order to qualify for index membership, the debt must be more than one year to maturity, have more than $500 million outstanding, and meet stringent trading guidelines to ensure that pricing inefficiencies don’t affect the index.

Key Features and Coverage on RIMES

For the J.P. Morgan EMBI Series Emerging Market Bond Indices, RIMES hosts approximately 1020 bonds and 420 indices, including ELMI, EMBI Global, Euro EMBI Global, Latin Eurobonds, Next Generation Markets, etc. For theJ.P. Morgan EMBI Series Euro Emerging Market Bond Indices, RIMES hosts approximately 115 bonds and 80 indices, including Euro EMBI Global Indices. Some of the data items available for the Emerging Market Bond indices include:

  • 12 Month Change percent, Close Bid Price/Offer Price, Convexity, Currency, Daily Change percent, Date, Days To Maturity, Description, Index Alias/Weight, Isin, Market Value/Weight, Modified Duration, Mtd Change %, Outstanding Face Value (in Euro Dollars), Price Spread, Swap Spread, Total Return Index, Yield To Maturity, Ytd Change percent, etc.

For the J.P. Morgan EMBI Global Diversified Core Ex Quasi Ex Ust Risk Index, RIMES hosts approximately 225 bonds and two indices, including EMBI Global Diversified Core ex Quasi ex UST risk Index (18 countries) and EMBI Global Div ex-QUASI with 14 countries. For the J.P. Morgan EMBI Global Diversified Ex Quasi-Sov Indices, RIMES hosts approximately 375 bonds and 73 indices, including various EMBI Global Diversified Ex Quasi indices. Some of the data items available for the EMBI Global Diversified Quasi indices include:

  • Average Life, Blended Spread, Blended Ytm, Bond Symbol, Country, Country Iso Code, Country Market Value Weight, Currency, Current Face Price Bid, Current Face Price Offer, Daily Change, Daily Return, Date, Description, Effective Duration, Index Component Weight, Isin, Market Cap For Embigd_Xq, Market Capitalisation, Market Value, Market Value Weight, Maturity Bonds, Month To Date Total Return, Mtd Change, Original Face Price Bid, Original Face Price Offer, Outstanding Face Value, Price, Quote Method, Rating In Character Code, Spread Duration, Stripped Spread, Stripped Ytm, Total Return, Year To Date Total Return, Ytd Change Percent, etc.

J.P. Morgan’s Corporate Emerging Market Bond Index series (CEMBI) is a global, liquid corporate emerging markets benchmark that tracks U.S.-denominated corporate bonds issued by emerging markets entities. The corporate CEMBI is a liquid basket of emerging markets corporate issues with strict liquidity criteria for inclusion in order to provide replicability, tradability, robust pricing and data integrity. For this data source, RIMES hosts the J.P. Morgan CEMBI series with approximately 1800 bonds and 325 indices (e.g. CEMBI Broad Indices, CEMBI Diversifed Indices). Some of the data items available include: 

  • Average Life, Blended Spread/Ytm, Bond Symbol, Country, Country ISO Code, Currency, Current Face Price Bid/ Price Offer, Daily Return, Date, Description, Effective Duration, Index Component Weight, Index Market Value, ISIN, Market Value, Month To Date Total Return, Notional Outstanding Value (Usd), Original Face Price Bid/ Price Offer, Outstanding Face Value, Price, Quote Method, Sector, Spread Duration, Stripped Spread/Ytm, Total Return, Year to Date Total Return, etc.

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