JP Morgan Chase launches Janice to track Japanese credit derivatives

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.

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