Global Index Research

index.research@jpmorgan.com
January - 2011

Index Category
Government Bond Index - Emerging Markets Series (GBI - EM) Benchmark: X
Product Overview Swapable:
ETF / ETN

Highlights:
The J.P. Morgan GBI EM series provides a comprehensive measure of local currency denominated, fixed rate, government debt issued in Emerging Markets.
1
The three main composite indices are GBI EM, GBI EM Global and GBI EM Broad. Diversified versions exist for each index .
The series is available in a number of different segments and breakouts including - maturity sectors, regions, individual countries as well as hedged and unhedged in certain currencies.
Returns and Statistics are available from Jan 2002 for regular GBI EM series and from Jan 2003 for the Diversified versions.

Index Criteria:
Instrument type: Liquid, fixed-rate, bullet bonds government securities
Remaining maturity: At rebalance, bonds must have at least 13 months remaining until maturity
Currency: Local currency of each included market
Country: Countries must be low/middle income for two consecutive years deemed by the World Bank for inclusion into the GBI EM indices. Countries are considered for removal from
the index if they are ranked as high-income for five consecutive years.

Index Characteristics and Methodology:

3
Pricing: Mid-prices are taken from JP Morgan traders at the close of business of each respective local market
Country Return: Country level total return is calculated as a market-weighted average of bond returns using previous-day weights
Aggregate Return: Aggregate level total return is calculated as a weighted average of rebalance-to-date country returns using first-of-month weights
Aggregate Weights: Country weights are determined by market value on the rebalance date and are used with rebalance- to-date returns to aggregate intra-month
Rebalancing: Rebalances on the first weekday of the month (including holidays)
Coupon Treatment: Indices are fully invested—all coupons received are immediately reinvested into the respective local market
FX Rates: All FX rates used for hedged/unhedged returns are as of 16:00 London time provided by WM/Reuters

Aggregate Indices:
December 2010 Country Composition Weights
GBI EM Series Index AR BR CL CX CO CO CN CZ EX HU IN ID MY MX PE PL RU SK ZA TH TR
GBI EM -- 1.4 -- 0.9 -- -- -- -- 0.2 5.9 -- -- 12.0 20.1 1.7 19.1 4.6 -- 13.8 9.7 10.3
GBI EM Div -- 6.2 -- 4.0 -- -- -- -- 0.9 10.0 -- -- 10.0 10.0 7.7 10.0 10.0 -- 10.0 10.0 10.0
GBI EM Global -- 23.1 -- 0.1 -- 2.1 -- -- 0.1 4.2 -- 5.6 8.5 14.2 1.2 13.5 3.3 -- 9.7 6.9 7.3
GBI EM Global Div -- 10.0 -- 1.1 -- 3.7 -- -- 0.2 7.2 -- 9.7 10.0 10.0 2.1 10.0 5.6 -- 10.0 10.0 10.0
GBI EM Broad 0.0 12.9 0.8 -- 3.4 -- 25.5 -- 0.1 2.3 15.9 3.1 4.7 7.9 0.7 7.5 1.8 -- 5.4 3.8 4.0
GBI EM Broad Div 0.0 10.0 1.3 -- 5.6 -- 10.0 -- 0.1 3.8 10.0 5.2 7.8 10.0 1.1 10.0 3.0 -- 8.9 6.3 6.6

Return Performance
December 2010 Duration Returns - Local Currency Returns - USD Returns - EUR Returns - JPY
GBI EM Series Index Cur TR YTD 1Y 3Y 5Y TR YTD 1Y 3Y 5Y TR YTD 1Y 3Y 5Y TR YTD 1Y 3Y 5Y
GBI EM 4.50 217.0 9.7 9.7 29.0 46.2 307.7 13.1 13.1 22.7 59.7 204.2 20.9 20.9 33.7 40.5 190.4 -1.5 -1.5 -10.9 9.8
GBI EM Div 4.72 197.1 10.0 10.0 32.6 52.9 258.8 13.3 13.3 30.1 77.8 202.5 21.2 21.2 41.8 56.3 176.9 -1.3 -1.3 -5.5 22.2
D) GBI EM Global 4.14 232.3 11.1 11.1 33.8 54.6 337.7 15.4 15.4 28.6 72.7 224.1 23.5 23.5 40.2 51.8 209.0 0.6 0.6 -6.6 18.7
ED,MD) GBI EM Global Div 4.44 209.7 11.4 11.4 36.2 57.6 278.1 15.7 15.7 33.7 82.0 217.5 23.7 23.7 45.8 60.0 209.7 0.8 0.8 -2.9 25.1
D) GBI EM Broad 4.64 205.8 7.7 7.7 25.8 40.1 286.5 11.8 11.8 24.1 57.9 190.2 19.6 19.6 35.2 38.9 205.8 -2.6 -2.6 -9.9 8.5
D,MD) GBI EM Broad Div 4.53 188.9 9.3 9.3 31.0 48.6 242.4 14.1 14.2 28.9 68.7 189.6 22.1 22.1 40.5 48.3 188.9 -0.6 -0.6 -6.4 15.9

5 Performance Comparison (USD Currency) Yield to Maturity Comparison

December 2010 December 2010

GBI EM GBI EM Global Div GBI EM Broad div GBI EM GBI EM Global Div GBI EM Broad div
200 9.5

190
9
180
8.5
170
8
160

150 7.5

140 7

130
6.5
120
6
110

100 5.5

90 5
Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-05 Dec-06 Dec-07 Dec-08 Dec-09 Dec-10

1 - for all three composites, where the weightings among the countries are more evenly distributed within the index. 2- Countires in the GBI EM indices which have been classified by the World Bank as high income OECD economies for the past five consecutive years will be considered for removel from the index. 3 - JPMorgan
Trader prices are taken as the primary source where available. 3rd party / broker prices are used for a small subset of countries
 Global Index Research
January 2011

Data Sources:
Morgan Markets: Index and Composition data is present on Morgan Markets website (https://mm.jpmorgan.com).
Index specific pages can be found under the 'Research By' -> 'Index' menu.
Data Query: Index data is available via JP Morgan's DataQuery website (http://dataquery.jpmorgan.com).
Index data is available under the 'Indices' asset class selection.
Bloomberg: JPMX page has index level and statistical data.

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