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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. JPEC, BND 3198, IDX 382
  • 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. JPLL, 14076 BNDS, 649 IDX
  • 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. JPFR, 769 BNDS, 48 IDX
  • 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. JPEL 59 BND, 3 IDX
  • 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. JBFI (3876 BONDS, 1268 IDX)
  • 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. 392 BDS, 19 IDX
  • 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. JPEM BNDS 1577, 459 IDX; JPEE BDS 210, IDX 100; JPX2 320 BDS, 2 IDX; JPXQ 733 BDS, 86 IDX; JPFM BNDS 515, 35 IDX
  • 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. JPFM 515 BND, 35 IDX
  • 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. GABI BND 28554, 70 IDX
  • 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. JPME 422 BND, 30 IDX
  • 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. JPGE 1131 BND, 503 IDX
  • 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. JPHY, BND 15157, 14 IDX, 5813 SECTOR CODES
  • 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. JEMB 3192 BND, 450 IDX
  • 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. JACI, 3649 BDS, 207 IDX
  • 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. JPUT BND 70, 3 IDX
  • 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. MAGG BNDS 7694, 2109 IDX
  • 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. JPGBIA 1941 BNDS, 126 IDX

Key Features and Coverage on RIMES

RIMES hosts several J.P. Morgan Fixed income indices, including:

 

  • CEMBI: approximately 3198 bonds and 382 indices.
  • ELSI: 59 bonds and 3 indices.
  • EMBI EURO: approximately 210 bonds and 100 indices.
  • EMBI Global Diversified Core ex-Quasi ex-UST Risk Index: approximately 320 indices and 2 bonds
  • EMBI Global Diversified ex Quasi-Sov Indices: approximately 733 indices and 86 bonds
  • EMBI: approximately 1577 bonds and 459 indices.
  • FRNI: approximately 769 bonds and 48 indices.
  • GABI: approximately 28554 bonds and 70 indices.
  • GBI EMU: approximately 515 bonds and 35 indices.
  • GBI: approximately 3876 bonds and 1268 indices.
  • GBI-Aggregate Diversified Index: approximately 1941 bonds and 126 indices.
  • GBI-EM: approximately 1131 bonds and 503 indices.
  • Global High Yield: approximately 15157 bonds and 14 indices.
  • JACI: approximately 3649 bonds and 207 indices.
  • JADE: approximately 392 bonds and 19 indices.
  • JEMB: approximately 3192 bonds and 450 indices.
  • JUSTINE: approximately 70 bonds and 3 indices.
  • LILI: approximately 14076 bonds and 649 indices.
  • MAGGIE: approximately 7694 bonds and 2109 indices.
  • MECI: approximately 422 bonds and 30 indices.

For these data sources, RIMES hosts retrievable data items that include the following:

  • 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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