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Bloomberg Barclays Fixed Income Convertibles Indices

The Bloomberg Barclays Indices platform offers market leading benchmarks and alpha generating index products to meet diverse needs such as investment and market analysis of both alpha and beta sources, portfolio benchmarking and performance measurement, asset allocation, and the creation of index tracking funds and index based structured products. Bloomberg Barclays global convertibles platform ranges from origination/sales to trading and research. Bloomberg Barclays aggregate index for convertible securities is the U.S. Convertibles Composite (USDU), which includes all four major classes of USD equity-linked securities including: convertible cash coupon bonds, zero-coupon bonds, preferred convertibles with fixed par amounts and mandatory equity-linked securities.

Key Features and Coverage on RIMES

For this data source, RIMES hosts 9 indices and approximately 1220 bonds. Index coverage includes:

  • Global Convertibles: Composite, Credit/Rate Sensi, USD 500mn and high
  • Global Defensive Convertible Index IG
  • U.S. Convertibles: Composite, Credit/Rate Sensi, 500MM Face Liquidit

Some of the index data items available include:

  • Adjusted Coupon, Adjusted Duration, Average Option, Adjusted Spread, Average Price, Average Spread, Average Yield, Convexity, Month to Date Coupon Return, Month to Date Price Return, Market Value, Market Value in USD, Number of Constituents, Total Return, Total Return in USD, etc.

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