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Bloomberg Barclays Convertible Bond Indices

Bloomberg Barclays Indices are rules-based, representative indices that measure asset-class risk and returns. On August 24, 2016, Bloomberg acquired these assets from Barclays. Barclays and Bloomberg have partnered to co-brand the indices as the Bloomberg Barclays Indices for an initial term of up to five years.

Bloomberg Barclays Convertible Securities track a market-cap weighted index of U.S. convertible securities, with an outstanding issue size greater than $500 million. Inclusive portfolios are market-value-weighted and market-value-selected.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 1140 bonds and 11 indices, including Global Defensive, Global and U.S. Convertibles 500mm Face Liquidity Cons.

Some of the data items available include:

  • Bond Items – Accrued Interest, Actual Price, Bid Spread, Bond Value, Classification Description, Clean Price, Convexity, Country Code, Currency Code, Currency Return, Current Yield, Database Symbol, Dividend Yield, End of Month Yield to Maturity, Ending Interest Suspend Flag, Fair Value, Family Currency, First Coupon Date, Gamma, Implied Volatility, Index Flag – 0-No Index 1-Beg. & End 3-End Only, Industry Description, Investable Weight, ISIN Code, Issuer Class Level, Issuer Description, Issuer Market Value in US Dollars, Macaulay Duration, Market Value, Maturity Date, Notional Outstanding, Option Adjusted Spread, Original Identifier, Par Value, Percentage Premium of Bid Price to Parity, Premium/(Discount) to Theoretical Value, Price Return, Product Identifier, Profile, Rating in Order of Precedence: Moody, S&P, Fitch, Rho, Sector Code, Theoretical Delta to Parity, Ticker, Total Return, Type, Underlying Currency, Vega, Years to Call, Yield Computed As Per Country’s Local Convention, etc.
  • Index Items – Adjusted Duration, Average Yield, Beginning of Month Adjusted Duration, Blended Spread Duration, Convexity, Coupon, Coupon Income Index, Currency Return (Euros, Yen, USD), Family Flag, Hedged Currency Return (Euros, Yen, USD), Hedged Total Return (Euros, Yen, USD), Holiday Calendar, Market Capitalization (Euros, Yen, USD), Month to Date Price Return, Number of Constituents, Option Adjusted Spread, Price, Price Index, Rating, Rating in Order of Precedence: Moody, S&P, Fitch, Spread, Total Return (Euros, Yen, USD), etc.


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