The J.P. Morgan Emerging Local Markets Index (ELMI)  Daily index Introducing the Emerging Local Markets Index (ELMI) (Acrobat download, 320 kb.) Historical data report (Acrobat download, 161 kb.) October 22, 2001 The JPMorgan ELMI data will no soon longer be available on this page. Please contact your JPMorgan salesperson to get access to www.morganmarkets.com where comprehensive pages dedicated to the ELMI are located. Thank you. The J.P. Morgan Emerging Local Markets Index (ELMI) tracks total returns for local-currency-denominated money market instruments in the emerging markets. We back built the ELMI to December 31, 1993, the same base date as that of the EMBI+. What countries are included in the ELMI? Ten countries are currently included in the ELMI: Argentina, Mexico, Indonesia, Malaysia, the Philippines, Thailand, the Czech Republic, Poland, Turkey, and South Africa. How do we determine ELMI country target weights? We determine each country's index target weight based on the U.S.-dollar value of its external trade ­ specifically, on its rolling average of total exports plus imports over three years (lagged one year). We use a trade-weighted system, since not all of the markets covered by the ELMI have well-defined and objective market capitalization figures. This weighting is appropriate given the high correlation between external trade volumes and capital inflows. In addition, this system yields well-balanced country weights (see Exhibit 1). How does the ELMI's composition compare to that of the EMBI +? The ELMI is predominantly non-Latin weighted (74%); this provides a geographic balance to the EMBI +'s heavy Latin exposure (79%). What instrument types are in the ELMI? Instrument selection has focused on three distinct instrument types: Treasury bills ­ for Mexico, Poland and Turkey FX forwards ­ for Indonesia, Malaysia, the Philippines, Thailand, and South Africa Deposits ­ for Argentina and the Czech Republic When do ELMI rebalancings and composition changes occur? Index rebalancings are scheduled for each June and December month-end; since country target weights drift over time due to changes in instrument prices and FX movements, on these dates we rebalance the ELMI according to its annual country trade weights. Any composition changes to our country and benchmark instrument selections will also be done on these dates provided that our predefined add/drop criteria have been satisfied. How is the ELMI constructed? Each country subindex is constructed using a "ladder" of instruments with maturities ranging from 1 through 13 weeks. Each week, when an instrument matures, the proceeds are reinvested in a new 13-week instrument. In the case of Turkey, because of irregularities in the auction schedule and tenors offered, we use only 3 instruments (rather than 13) in the subindex ladder. What are the benefits of the ELMI's "ladder" strategy? The ladder strategy keeps the ELMI's duration stable, ensures that the ELMI's performance is independent of any specific entry date, and allows performance replication without excessive transaction costs. How has the ELMI performed? The ELMI has posted the following returns: -1.77% in 1994, 10.53% in 1995, and 14.86% in 1996. Since the ELMI's base date, December 31, 1993, it has underperformed the EMBI + on a cumulative basis, with lower volatility. Where can I find ELMI results? Daily ELMI results can be found using the following sources: Reuters (page ELMI), Telerate (page 1766), Bloomberg (type JPMX <GO>), and J.P. Morgan's Web site. Monthly results are published in the monthly EMBI Monitor.