JP Morgan Chase launches Janice to track Japanese credit derivatives

JP Morgan Chase has launched a new index that will track Japanese credit default swaps. Called JPMorgan All Nippon Index of Credit, or Janice, the index is the average of the spreads on the 45 most liquid credit default swaps of Japanese companies and financial institutions.

The credits included in Janice have to be investment-grade private entities. The index composition is reviewed every six months, JP Morgan Chase said in a report.

Janice follows the launch in January of the CJ 50 Index, which averages the 50 most liquid credit default spreads and incorporates quotes from BNP Paribas, Bank of Tokyo-Mitsubishi, Goldman Sachs and Crédit Lyonnais.

JP Morgan Chase said to compile the index, it looked at all fixed-rate bonds denominated in yen and issued by Japanese companies, excluding zero-coupon bonds and perpetual bonds. The investment bank then took the 45 largest bond issuers in the universe for the index.

Janice, which is fixed daily, closed today, at 50.37 basis points.