JP Morgan Creates New Asset Backed Securities Index

By J.P. Morgan, Special for  USDR

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.

“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”

“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

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

Table 1: J.P. Morgan ABS Index instrument rules

Inclusion Criteria

ABS Index

Currency: USD
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

Table 2: J.P. Morgan ABS Indexstatistics


Weight (%)

Market Value ($bn)

Average Rating

ABS Total:


100.00 456.74 AA+


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+
All opinions expressed on USDR are those of the author and not necessarily those of US Daily Review.