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J.P. Morgan Fixed Income Indices

Published in Fixed Income Indices

The J.P. Morgan Fixed Income Indices are a unique source of global bond markets data, with a focus on emerging markets. The indices from these sources come with comprehensive coverage, extensive history and a wide range of statistics. The vast product range includes absolute return, broad market, long duration, stable value, intermediate, high yield, emerging market debt, short and ultra-short duration, global bonds, structured products and mortgage strategies.

The following index families are available:

  • J.P. Morgan – CEMBI – Corporate Emerging Market Bond Indices – The Corporate Emerging Market Bond Index series (CEMBI) track USD denominated debt issued by emerging market corporations. The CEMBI family of indices expands J.P. Morgan’s regional corporate indices – JACI, LEBI, RUBI, which provide benchmarks for Asia, Latin America, and Russia, respectively.
  • J.P. Morgan – LILI – Leveraged Loan Index – This index is designed to mirror the investable universe of U.S. dollar institutional leveraged loans, including U.S. and international borrowers. The J.P. Morgan U.S. Liquid Index is a market-weighted index that measures the performance of the most liquid issues in the investment grade, dollar-denominated corporate bond market.
  • J.P. Morgan – FRNI – US Floating Rate Note Index – The index includes floating rate bonds indexed to one and three month Libor, Prime, Fed Funds, and other indices. The FRNI is currently comprised of 594 floating rate bonds issued by 91 issuers spread across the financial institutions and industrial sectors.
  • J.P. Morgan – ELSI – European Inflation Linked Indices – J.P. Morgan’s developed markets indices include the inflation-linked bond index ELSI (Euro Linker Securities Index). Inflation-indexed bonds (also known as inflation-linked bonds or colloquially as linkers) are bonds where the principal is indexed to inflation.
  • J.P. Morgan – GBI – Government Bond Indices – The GBI-EM indices are comprehensive emerging market debt benchmarks that track local currency bonds issued by emerging market governments. The index was launched in June 2005 and is the first comprehensive global local Emerging Markets index.
  • J.P. Morgan – JADE – Asia Diversified Indices – A suite of indices that provides investors with a robust, diversified benchmark that tracks local currency government bonds issued by emerging and developed Asian countries (excluding Japan). The two main composite series of the index are the JADE Broad and the JADE Global.
  • J.P. Morgan – EMBI – Emerging Market Bond Indices – Bond indices that track bonds in emerging markets operated by J P Morgan, including EM Bond Index Plus, EM Bond Index Global and the Emerging Markets Bond Global Diversified Index. Related index sources include EMBI EURO – Emerging Market Bond Indices, EMBI Global Diversified Core ex-Quasi ex-UST Risk Index and EMBI Global Diversified ex Quasi-Sov Indices.
  • J.P. Morgan – GBI EMU – EMU Credit Buckets Indices – These indices include the local debt flagship products, GBI and EMU Indexes. These indices track fixed rate issuances from high-income countries spanning the globe. The developed markets index lineup has a long track record of investor adoption since the launch of the GBI Global in 1989, and has since expanded coverage through the GBI Broad and the EMU Index.
  • J.P. Morgan – GABI – Global Aggregate Bond Indices – These indices are a comprehensive global investment grade benchmark. The JPM GABI series represents a new flagship foundation which ties together established J.P. Morgan indexes and serves as a platform for future index products and tradable offerings such as CEMBI Broad IG Emerging Markets Credit, EMBI Global IG Emerging Markets Sovereign Debt, European Credit IG, GABI Broad Developed Treasuries, Global Ig Emerging Market Treasuries, Mortgage Backed Securities, Pfandbriefe, US Agency, US Liquid Index, US Credit, etc.
  • J.P. Morgan – MECI – Middle East Composite Indices – These indices holistically capture the Middle Eastern U.S. dollar-denominated debt market covering sovereign, quasi-sovereign and corporate issuers. MECI closely follows the methodology of J.P. Morgan’s EMBI and CEMBI. MECI selects issuers that are domiciled in the Middle East region and contains the following countries: Bahrain, Iraq, Israel, Jordan, Kuwait, Lebanon, Oman, Qatar, Saudi Arabia and United Arab Emirates. Historical daily index levels and statistics are available for the aggregate, credit, country and sector sub-indices of MECI.
  • J.P. Morgan – GBI-EM – Government Bond Emerging Markets Indices – Comprehensive emerging market debt benchmarks that track local currency bonds issued by EM governments. The index is the first comprehensive global local Emerging Markets index. As Emerging Market governments look increasingly toward their domestic market for sources of finance, investors are looking more closely at local markets in search for higher yield and greater diversification.
  • J.P. Morgan – Global High Yield Indices – These indices consist of fixed income securities of domestic and foreign issuers with a maximum credit rating of BB+ or Ba1. This Index seeks a high level of current income by investing primarily in a diversified portfolio of debt securities that are rated below investment grade or unrated. Capital appreciation is a secondary objective, where the strategy is to invest primarily in bonds that are rated below investment-grade or unrated.
  • J.P. Morgan – MBS Agency Index (MAX) Indices – These indices seek to maximize total return by investing primarily in a diversified portfolio of debt securities backed by pools of residential and/or commercial mortgages. The fund invests mainly in investment grade mortgage-backed securities or unrated mortgage-backed securities which the adviser determines to be of comparable quality.
  • J.P. Morgan – JEMB – EM Blended Indices – Blend 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. These benchmarks truly reflect the composition of the EM debt sovereign universe and have a market capitalization–based ratio.
  • J.P. Morgan – JACI – Asia Credit Indices – Tracks total return performance of the Asia fixed-rate dollar bond market; this is a market cap-weighted index comprising sovereign, quasi-sovereign and corporate bonds, partitioned by country, sector and credit rating. These securities represent a liquid and diverse set of issues that fairly represents Asia dollar bond opportunities.
  • J.P. Morgan – JUSTINE – US TIPS Indices – Total return indices that measure the performance of the TIPS market. The index contains U.S. government issued inflation-linked bonds, where bond payments are linked to the underlying CPI-U index. Corporate or quasi-government securities are not included. The return from holding the underlying bonds is inflation protected to provide investors with a real total return.
  • J.P. Morgan – MAGGIE – Morgan Aggregate Euro Indices – This index is a euro aggregate index that tracks the euro-denominated government bond, corporate and Pfandbriefe markets.  Eligible bonds are included in the Maggie on the basis of their traded liquidity to ensure that the index properly and fairly reflects the environment in which market professionals operate.
  • J.P. Morgan – GBI-Aggregate – Diversified Index – This global government bond index offers fund managers higher potential yields by including a larger percentage of emerging market bonds than traditional global bond indexes.

Key Features and Coverage on RIMES

For these data sources, RIMES hosts retrievable data items such as:

  • Bond Items – Accrued Interest, Accrued Interest Start Date, Actual Coupon Rate, Ask Price – Current Face Value, Asset Swap, Average Notional Outstanding, Band Weight, Beginning of Month Market Value in US Dollars, Benchmark Yield, Bid Price – Current Face Value, Blended Spread, Blended Yield to Maturity, Broad Sector, Clean Price, Convexity, Convexity to Worst, Coupon, Coupon First Date, Coupon Frequency, Coupon Last Date, Coupon Period, Credit Bands, Currency, Day Count, Dirty Price, Duration to Worst, Effective Duration, Excess Return, Exchange Rate, First Coupon Date, Frequency of Series, Inclusion Direction, Inclusion Percentage, Index Component Weight, Inflation Coefficient, Investable Weight, Investment Grade Flag, Issue Date, Issuer Description, Life, Liquidity Code, Macaulay Duration, Market Value, Maturity Bands, Maturity Date, Maturity Sector, Modified Duration, Non-Investment Grade Flag, Notional Outstanding, Number of Constituents, Price Factor, Quote Method, Rating, Reference Date, Spread, Spread Duration, Spread to Spot Curve to Worst, Spread to Worst, Subsector Code, Tenor, Ticker, Total Return, Weight in Index, Year to Date Total Return, Yield, Yield to Worst, etc.
  • Index Items – Ask Price, Basis Point Return (Money Markets), Bid Price, Blended Spread, Blended Yield to Maturity, Clean Price Based Market Capitalization, Convexity to Worst, Coupon, Duration to Worst, Effective Convexity, Effective Duration, Hedged Total Return , Index Maturity Band, Interest Rate Return, Investable Weight in Index, Last Price Date, Life, Liquidity, Macaulay Duration Hedged Total Return, Market Capitalization, Market Value, Maturity, Maturity Bands, Modified Duration, Month to Date Changes, Moody’s Rating, Notional Outstanding, Number of Constituents, Number of Issuers, Old Description, Price Index, Security Type, Semi Annual Yield, Semi Convexity, Spread Duration, Spread to Spot Curve to Worst, Spread to Worst, Standard & Poor’s Rating, Stripped Spread, Stripped Yield to Maturity, Tenor, Total Return, US Treasury Return Daily Change, Weight In Sub Index , Year to Date Coupon Change, Year to Date Price Change, Year to Date Spread Change, Year to Date Total Return, Year to Date US Treasury Return Change, Yield, Yield to Worst, etc.

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