NEW YORK--(BUSINESS WIRE)--J.P. Morgan announces a new asset-backed securities index, the J.P. Morgan ABS Index, representing the US dollar denominated, tradable ABS market. This comprehensive index offers increased transparency through its broad coverage of the ABS market and its use of robust third-party pricing.
“With the launch of our ABS Index, we hope to provide greater insights into the ABS market, specifically on pricing and return performance across the full and wide spectrum of ABS asset classes,” said Amy Sze, Head of ABS Research at J.P. Morgan.
The ABS Index captures 70% of the size of the US ABS market, representing over 2000 instruments at a total market value of about US $500 billion. The J.P. Morgan ABS Index provides investors with a new portfolio management tool to analyze pricing trends within the ABS market and to find relative value across securitized products and other credit markets.
“The J.P. Morgan ABS Index offers extensive coverage of the ABS market with robust pricing on the underlying constituents and rigorous management of the index portfolio,” added Gloria Kim, Head of Global Index Research at J.P. Morgan. “The ABS Index extends J.P. Morgan’s index coverage of securitized product markets.”
True to the underlying US ABS market, the J.P. Morgan ABS Index is subdivided by industry sector and by fixed and floating rate instrument type. Performance and statistics are reported in aggregate and for sub-indices including: Auto and Equipment, Credit Card, FFELP Student Loan, Private Student Loan, Floorplan and Other ABS. The Other ABS sub-index may include ABS backed by consumer loans, timeshare, containers, franchise, settlement, stranded assets, tax liens, insurance premium, railcar leases, servicing advances and miscellaneous esoteric assets that also meet all the Index eligibility criteria. The ABS Index utilizes a market-value weighted methodology, and will be another member of the widely-used J.P. Morgan suite of benchmark indices.
Over three years of historical daily index levels and statistics are available for the aggregate ABS Index and its sub-indices from June 2012. Clients can access index levels and statistics for the J.P. Morgan ABS Index on J.P. Morgan Markets at www.jpmm.com.
Pricing for the index is provided by PricingDirect Inc., a valuation vendor and affiliate of JPMorgan Chase Bank. Details on PricingDirect product coverage and methodology are available at www.pricing-direct.com.
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Table 1: J.P. Morgan ABS Index instrument rules |
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Inclusion Criteria |
ABS Index |
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| Currency: | USD | |||
| Instrument | - | |||
| Issuer: | All eligible | |||
| Fixed-rate: | Eligible | |||
| Floating-rate : | Eligible | |||
| Min. Size (Snr): | $25 million | |||
| Min. Size (Sub): | $1 million | |||
| Min. Maturity: | 0.3 WAL | |||
| Rating: | Above CCC+ | |||
| Pricing | PricingDirect | |||
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Table 2: J.P. Morgan ABS Indexstatistics |
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Duration |
Weight (%) |
Market Value ($bn) |
Average Rating |
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| ABS Total: |
2.93 |
100.00 | 456.74 | AA+ | ||||||||||||
| Auto/Equipment: |
1.50 |
29.52 | 136.45 | AA+ | ||||||||||||
| Credit Card: | 2.19 | 26.30 | 122.35 | AAA | ||||||||||||
| Student Loan: | 4.94 | 33.43 | 147.63 | AA+ | ||||||||||||
| - FFELP | 5.08 | 29.62 | 130.50 | AA+ | ||||||||||||
| - Private | 3.85 | 3.81 | 17.13 | AA- | ||||||||||||
| Floorplan: | 2.11 | 5.25 | 24.21 | AAA | ||||||||||||
| Other | 3.23 | 5.50 | 26.11 | AA- | ||||||||||||
| ABS Fixed: | 1.98 | 49.87 | 232.17 | AA+ | ||||||||||||
| ABS Float: | 3.91 | 50.13 | 224.56 | AA+ | ||||||||||||
About J.P. Morgan
J.P. Morgan’s Corporate & Investment Bank is a global leader across banking, markets and investor services. The world’s most important corporations, governments and institutions entrust us with their business in more than 100 countries. With $19.7 trillion of assets under custody and $372.1 billion in deposits, the Corporate & Investment Bank provides strategic advice, raises capital, manages risk and extends liquidity in markets around the world. Further information about J.P. Morgan is available at www.jpmorgan.com.
