The J.P. Morgan ESG (“JESG”) integrates environmental, social, and governance (ESG) factors in a composite benchmark. The 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.
The JP Morgan ESG Global High Yield Corporate Index is associated with a global, high-yield corporate bond market issued by companies in both developed and emerging market issuers in US dollars, euros and British pounds. The asset class is dominated by issues denominated in US dollars.
Key Features and Coverage on RIMES
For these data sources, RIMES hosts the following J.P. Morgan – ESG Indices:
- CEMBI (approximately 1270 bonds, 80 indices)
- EMBI (approximately 630 bonds, 80 indices)
- GBI-EM (approximately 240 bonds, 30 indices)
- Global High Yield Corporate Indices (approximately 3000 bonds, 170 indices)
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.