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J.P. Morgan US Floating Rate Note Index (FRNI)

The FRNI provides a comprehensive, accurate representation of the investment grade floater market and its components. Corporate bonds rated Baa3/BBB- or higher by Moody’s and Standard & Poor’s, respectively, with issue sizes of at least $300 million will qualify for inclusion in the index. Each issue must have a maturity longer than 12 months but no longer than 31 years at the time that it is added to the index. In addition, each issue must have a bullet maturity that pays a periodic floating rate coupon. 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. The FRNI’s aggregate market capitalization is approximately $460 billion.

JPMorgan has also sought to ensure that the FRNI incorporates the most transparent pricing data for the issues in the index. Approximately two-thirds of all index constituent bonds will be priced on a daily basis by JPMorgan’s trading desk. As a result, the FRNI’s reliance on matrix or derived pricing for individual bonds is considerably less than that of other comparable bond indices.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 500 bonds and 50 indices. Index coverage includes various FRNI Indices.

Some of the items available include:

  • Bond Items include – Accrued Interest, Broad Sector, Clean Price, Convexity, Country Code, Coupon, Currency Code, Daily Price/Total Return, Dirty Price, Excess Return, First Coupon Date, Investable Weight, ISIN Code, Issuer Description, Life, Macaulay Duration, Market Value in Local Currency, Maturity Date, Modified Duration, Moody’s Rating and Standard & Poor’s Rating, Notional Outstanding in Local Currency, Number of Days Accrued Interest to Next Payment Date, Sector Code, Spread Duration, Standard & Poor’s Rating, Subsector Code, Ticker, Total Return, Year to Date Total Return, Yield, etc.

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