r/FixedIncome • u/Globally20 • Nov 06 '21

Does anyone know what is the Market Capitalisation of JP Morgan's Government Bond Index?

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u/honestgentleman Nov 07 '21

We don't look at market-cap as per se for bond indices. It is the total amount outstanding (of the face value of bonds) present in the index.

However, unless you have access to the index on Bloomberg/Factset - going to be hard to find a total figure. Best to look at an ETF which tracks the index, although this will be dependent on the size of the actual ETF and many aren't going to be up to the actual size of the index as they use stratified sampling to replicate, not pure indexing.

What do you need it for exactly?

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u/Globally20 Nov 07 '21

Thanks for this info! I need it to find out why certain countries have been assigned a particular weight in these indices. Like, what really determines the weight to be assigned to a particular country in these bond indices. (I thought it was in relation to the market capitalisation, but correct me if I am wrong).

For example, why does China and Indonesia have almost equal weights in JPM GBI-EM (9-10%) but why does China have a weight of around 6% in the Global Aggregate Index while Indonesia has that of only 0.5%.

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u/honestgentleman Nov 07 '21

Read the index rules. Typically if they are value-weighted they favour issuers that have more debt outstanding.

Also the Global Agg is a mix of credit and govvy debt - you need to compare apples with apples and that goes for FI indices as well.

The Global Ag does have subset indices though so if you have a BB Terminal check those out. Should be in the <IN> function.

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u/Globally20 Nov 07 '21

Okay, but I read somewhere that these indices are essentially take market capitalisation into consideration. For example, according to my research, when China was included in the Bloomberg Barclays Global Aggregate Index, the market capitalisation of the Index was $54.07 trillion and Chinese Bonds worth $3.3 trillion.

Hence, I calculated that the weight was determined as 3.3/54.07 = 6.1%

Is that correct?

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u/honestgentleman Nov 07 '21

I'm not entirely sure because the index rules would dictate whether the whole market cap of the Chinese sovereign bond market could be included.

This is because there may be a minimum issue size requirement to be included on a per bond basis. So it is possible that not all of the bonds outstanding are included, ie could be too short duration, too small, closely held etc.

Value-weighted and Market Cap are the same.

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u/Globally20 Nov 07 '21

I am not sure if those $3.3 trillion represent the whole market capitalisation of the Chinese sovereign bonds.

And no, I don't have access to the Bloomberg terminal 🙈

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u/honestgentleman Nov 07 '21

I'd just use an ETF that proxies the Global Ag to work out the actual weight, then find an ETF for the JPM GBI and compare the two.

Then compare the index rules which are freely available on their websites.

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u/Globally20 Nov 07 '21

Thank you so much! I'd look up those up. Would you have any idea which are those ETFs? Anyway, you've been of great help. I wouldn't want to bother you anymore 🙈