Fixed income investors can now access a new benchmarking and investment product from JP Morgan, through a new family of indices called the Total Return Swap Indices (TRSIs). TRSIs will reflect the economic performance (total return) of the swap markets in a transparent and flexible way, say officials.
“The TRSI for a given currency and maturity provides a daily return which reflects the performance of investing daily in a par bond, which yields the swap rate for that currency and maturity. Just as a bond index captures these returns for bonds, the TRSI captures both the interest and principal return of being invested in swaps,” officials say.
TRSIs will be calculated on any maturity of any swap curve, provided there is enough liquidity, including the euro, US dollar, Japanese yen, sterling and Swiss franc. Returns will be published daily on Reuters, on screen JPMTRSI1.