J.P. Morgan today announced the introduction of the J.P. Morgan Global
Aggregate Bond Index (JPM GABI) series, a family of new aggregate
investment grade bond index offerings that provide investors better
access to the global credit markets. JPM GABI and JPM GABI US are the
first two indices to be rolled out as part of today’s launch.
The JPM GABI includes globally issued investment grade debt, denominated
in multiple currencies. It totals more than $20 trillion in market value
and contains approximately 5,500 instruments issued in more than 25
currencies from more than 60 countries.
JPM GABI US is a benchmark of USD-denominated investment grade debt,
spanning asset classes from developed to emerging markets. It totals
$8.6 trillion in market value and contains approximately 3,200
instruments issued in US dollars from more than 50 countries.
“The JPM GABI series provides investors with more benchmark options to
diversify their index product exposure,” said Gloria Kim, head of J.P.
Morgan’s Global Index Research team. “It is constructed in a way that
allows users to easily attribute index performance by asset class and
currency.”
The JPM GABI collectively consists of nine distinct asset classes,
including: Developed Market Treasuries, Emerging Market Local
Treasuries, Emerging Markets External Debt, US Credit, Euro Credit,
Emerging Market Credit, US Mortgage Backed Securities, US Agencies, and
Pfandbriefe. These asset classes are all represented by established J.P.
Morgan indices.
Daily historical index levels and statistics are available from December
31, 1987. Clients and investors can access index levels and statistics
for the index series on www.morganmarkets.com
or Bloomberg - GABI .
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Table 1: GABI and GABI US at a glance:
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Asset class
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J.P. Morgan index
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Mkt Val
USD
(Bn)
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GABI
US Wgt
(%)
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GABI
Wgt
(%)
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Yield
|
|
Mod
Dur
|
|
S&P
avg
rating
|
|
JPM GABI
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JPM GABI
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20,231
|
|
-
|
|
100.00
|
|
4.55
|
|
5.41
|
|
AA-
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JPM GABI US
|
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JPM GABI US
|
|
8,578
|
|
100.00
|
|
42.40
|
|
5.81
|
|
4.88
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|
AA+
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Dev Mkt Treasuries
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GBI Broad
|
|
11,634
|
|
-
|
|
57.51
|
|
3.46
|
|
6.03
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AA+
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US Treasuries
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GBI US
|
|
2,489
|
|
29.02
|
|
12.30
|
|
3.70
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|
5.18
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|
AAA
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EM Local Treasuries
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GBI-EM Global IG*
|
|
199
|
|
-
|
|
0.98
|
|
8.68
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|
3.52
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A
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EM External Debt
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EMBI Global IG
|
|
136
|
|
1.59
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|
0.67
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8.63
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6.21
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BBB+
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US Credit
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JULI
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1,510
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|
17.60
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|
7.46
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|
8.65
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5.43
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A
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Euro Credit
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|
Euro Credit Index IG
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1,460
|
|
-
|
|
7.21
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|
6.02
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|
4.24
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AA-
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EM Credit
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CEMBI Broad IG
|
|
120
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1.40
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0.59
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10.92
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4.13
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A-
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US MBS
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MBS Index
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3,769
|
|
43.94
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18.63
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5.91
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4.59
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AAA
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US Agencies
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US Agency Index
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554
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|
6.45
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|
2.74
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4.51
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3.76
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AAA
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Pfandbriefe
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Pfandbriefe Index
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850
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-
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4.20
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4.98
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4.19
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AAA
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*Excludes overlapping countries with the GBI Broad
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About J.P. Morgan
J.P. Morgan is the investment banking arm of J.P. Morgan Chase & Co.
(NYSE: JPM), a leading global financial services firm with assets of
$2.3 trillion and operations in more than 60 countries. The firm is a
leader in investment banking, financial services for consumers, small
business and commercial banking, financial transaction processing, asset
management, and private equity. A component of the Dow Jones Industrial
Average, JPMorgan Chase & Co. serves millions of consumers in the United
States and many of the world’s most prominent corporate, institutional
and government clients under its J.P. Morgan, Chase, and WaMu brands.
Information about J.P. Morgan is available at www.jpmorgan.com.
Media:
J.P. Morgan
Lauren Francis, 212-270-4435
lauren.m.francis@jpmorgan.com
