The JPMorgan US Liquid Index (JULI), provides performance comparisons and valuation metrics across a universe of investment grade corporate bonds, tracking individual issuers, sectors and sub-sectors by their various ratings and maturities, the company said in a news release.
“The JULI allows our investor clients to compare the performance of a specific corporate bond or sector against the subset of the most liquid bonds in the investment grade market,” said Edward Marrinan, JPMorgan Securities director of North America Investment Grade Credit Strategy. “Just as the S&P 500 provides a daily snapshot of the equity markets, the JULI provides a clear picture of how the investment grade market performed that day and over time.”
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 to be in the index. Each bond also has to be issued by a corporate entity that has at least $1 billion of fixed rate bonds outstanding to ensure overall issuer liquidity.
Each issue must have a maturity longer than 13 months from the index-beginning date but no longer than 31 years and each issue must have a bullet maturity that pays a non-zero coupon semi-annually. The JULI is currently comprised of 1,727 fixed coupon bonds issued by 315 issuers spread across the financial institutions, industrials and utilities sectors with an aggregate market capitalization of about $1.4 trillion.
While the intent is to maintain a stable group of issuers in the index, necessary adjustments will be made occasionally to keep the index representative of the overall investment grade market, the company said. Rebalancing will occur on a monthly basis.