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J.P. Morgan GBI Series (Developed Markets / Emerging Markets)

The J.P. Morgan GBI series covers a variety of asset classes ranging from flagship coverage of emerging markets to developed market bond indices. The emerging markets indices lean toward higher yielding local rates via the Government Bond Index-Emerging Markets (GBI-EM) series. With regard to developed markets, the J.P. Morgan Government Bond Index (GBI) series tracks 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.

More recently, J.P. Morgan launched a bond index that aims at global government bond managers looking to increase their allocation to emerging markets. The JPM GBI Aggregate Diversified (GBI-AGG Div), does not exclude countries based on credit ratings and therefore includes both investment grade and high yield investable markets. However, the index does exclude countries with capital controls.

Key Features and Coverage on RIMES

For this data source, RIMES hosts:

  • JPM Government Bond Indices have a currency hedging methodology, which are a combination of the local unhedged to US dollar (or other currency) performance and hedged return from currency forwards. For these indices, RIMES hosts approximately 3300 bonds and 1250 indices, primarily money market rates (AUD, CAD, CHF, DEM, EUR, GBP), various JPM Indices. 
  • JPM EMU Government Bond Indices, for these indices, RIMES hosts approximately 300 bonds and 35 indices, primarily JPM EMU indices.
  • JPM GBI-EM Indices are comprehensive emerging market debt benchmarks that track local currency bonds issued by Emerging Market governments. The index is the first comprehensive global local Emerging Markets index. For these indices, RIMES hosts approximately 915 bonds, and 400 indices, which are primarily GBI-EM Indices.
  • JPM GBI-Aggregate Diversified index’s diversification is currency-based, as opposed to traditional diversified benchmarks that restrict at the country or issuer level. For these indices, RIMES hosts approximately 1200 bonds and 120 indices, primarily GBI-AGG securities. For further information on these indices, see this dedicated page.

Some of the data items available include:

J.P. Morgan GBI-Aggregate Diversified – Bond and Index Items:

  • Bond items – Accrued Interest, Capped Market Value, Capped Notional Outstanding, Capping Factor, Clean Price, Convexity, Coupon, Currency Code, Frequency of Series, Hedged Total Return, Inclusion Direction/Percentage, Investable Market Value, Investable Weight, iSIN Code, ISO Currency Code, Issue Date, Liquidity, Macaulay Duration, Market Value, Maturity Bands, Maturity Date, Modified Duration, Notional Outstanding, Total Returns, Unadjusted Investable Weight, Weight in Index/within Country, Weighted Total Return, Year to Date Total Return, Yield, etc.
  • Index items – Average Convexity, Average Coupon, Average Maturity, Average Modified Duration, Average Yield, Hedged Total Return, Index Inclusion Factor, Market Capitalization, Total Return, Weight in Index, etc.

J.P. Morgan – GBI SERIES – Government Bond Indices – Bond and Index Items:

  • Bond Items: Accrued Interest, Band Weight, Clean Price, Convexity, Coupon, Daily Total Return, Day Count, Exchange Rate, Frequency of Series, Investable Weight, Issue Date, Last Price Date, Liquidity, Macaulay Duration, Market Value, Maturity Bands, Maturity Date, Modified Duration, Notional Outstanding, Price, Reference Date, Remaining Maturity (In Years), Total Return in Local Currency, Weight in Index/ in Country, Weighted Total Return, Yield, etc.
  • Index items – Average Coupon, Average Maturity, Basis Point Return (Money Markets), Clean Price Based Market Capitalization, Clean Price Based Market Capitalization in US Dollars, Hedged Total Return, Index Maturity Band, Interest Rate Return, Liquidity, Market Capitalization, Maturity Bands, Number of Constituents, Price Index, Semi Annual Yield, Tenor, Total Return, etc.

J.P. Morgan – GBI-EM series – Bond and Index Items:

  • Bond Items – Accrued Interest, Capped Investible Market Value in US Dollars, Capped Market Value, Capped Notional Outstanding, Capping Factor, Clean Price, Convexity, Country Code, Country Description, Coupon, Coupon Frequency, Currency Code, Frequency of Series, Hedged Total Return, Inclusion Direction/Percentage, Investable Market Value in US Dollars, Investable Weight, ISIN Code, ISO Currency Code, Issue Date/Description, Liquidity, Macaulay Duration, Market Value, Maturity Bands, Maturity Date, Modified Duration, Notional Outstanding, Reference Date, Total Return, Unadjusted Investable Weight, Weight in Index/in Country, Weighted Total Return in US Dollars, Year to Date Total Return in US Dollars, Yield, etc.
  • Index items – Average Convexity, Average Coupon, Average Maturity, Average Modified Duration, Average Yield, Hedged Total Return, Index Inclusion Factor, Market Capitalization, Total Return, Weight in Index, etc.

J.P. Morgan Indices

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