The J.P. Morgan ESG (“JESG”) integrates environmental, social, and governance (ESG) factors in a composite benchmark. The idea for the index was conceived in collaboration with BlackRock to address growing demand from bond investors looking for a benchmark that targets emerging market (EM) issuers with strong ESG practices. The new index is independently managed by J.P. Morgan and caters to investors looking to gradually incorporate ESG and responsible investing in their overall fixed income investment strategies by anchoring its methodology around the bank’s widely used flagship indices such as the EMBI, GBI-EM and the CEMBI.
The JPMorgan CEMBI (Corporate Emerging Market Bond Index) Broad Diversified includes fixed-rate securities such as fixed, floating, amortizing and capitalizing instruments. Only those bonds issued by corporate entities are eligible in the index. Bonds with a face amount of US$300 million or more are considered for inclusion in the index. Only US dollar-denominated bonds are included; instruments where the amount of coupon or redemption payment is linked to an exchange rate are not eligible. The index includes a specific set of emerging-market countries within Asia ex-Japan, Eastern Europe, the Middle East and Latin America.
Key Features and Coverage on RIMES
For this data source, RIMES hosts approximately 1160 bonds and 80 indexes, including various JESG CEMBI Broad Diversified Fixed Income securities.
Some of the data items available include:
- Index Items – Average Blended Spread, Average Blended Yield to Maturity, Average Convexity to Worst, Average Coupon, Average Duration to Worst, Average Effective Duration, Average ESG Score, Average Spread Duration, Average Spread to Spot Curve to Worst, Average Spread to Worst, Average Stripped Spread, Average Stripped Yield to Maturity, Average Yield to Worst, Coupon – Daily Change, Daily Price Change, Daily Spread Change, Market Capitalization, Month to Date Coupon Change, Month to Date Price Change, Month to Date Spread Change, Month to Date US Treasury Return Change, Number of Constituents, Number of Issuers, Total Return, US Treasury Return Change, Year to Date (Coupon, Price, Spread Change), etc.
- Bond Items – Accrued Interest, Ask Price – Current Face Value, Ask Price – Original Face Value, Average Life, Average Life to Worst, Bid Price – Current Face Value, Bid Price – Original Face Value, Blended Spread, Blended Yield to Maturity, Clean Price, Convexity to Worst, Country Code, Country Description, Coupon, Coupon Frequency, Coupon Frequency Description, Credit Bands, Currency Code, Daily Total Return, Date of Portfolio, Dirty Price, Duration to Worst, Effective Duration, ESG Band, Issue Date, Last Price Date, Market Value, Maturity Bands, Maturity Date, Month to Date Total Return, Notional Outstanding, Notional Outstanding Value in US Dollars, One Day Change in ESG Score, One Month Change in ESG Score, Price Factor, Quarter to Date, Quote Method, Region Flag, Sector Code, Source Country Code, Sovereign Quasi Flag, Spread Duration, Spread to Spot Curve to Worst, Spread to Worst, Stripped Spread, Stripped Yield to Maturity, Ticker, Year to Date Change in ESG Score, Year to Date Total Return, Yield to Worst, etc.