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Exane Convertibles

ECI refers to a range of European Convertible Indexes. Convertible bonds are a separate asset class that cannot be compared directly to either stocks or bonds. The European convertibles market requires a specific range of indexes because of its size and distinct nature. These indexes fulfill three requirements: measure the daily performance of convertible markets; show the structure of the European market and the euro zone using convertible bonds with satisfactory liquidity; determine the market’s overall behavior and enable the standard analysis of convertible bonds – conversion premium, yield, stock sensitivity, fair value, etc.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 350 bonds (active plus inactive) and 9 indices.

Index coverage includes:

  • Top ECI 25 Index (made up of a fixed number of 25 convertibles)
  • ECI-EURO and ECI-EURO SJ Indexes (weighed by market capitalisation to make them comparable to a portfolio’s valuation and assume coupons are reinvested)
  • ECI-EUROPE Indexes (weighed by market capitalisation to make them comparable to a portfolio’s valuation and assume coupons are reinvested)
  • MIDCAP EURO Index (not weighted by market cap)
  • SBF-FCI Index (weighted by market cap to make the index comparable to a portfolio valuation)
  • TOP-ECI 25 Fund (an open-end fund registered in France)
  • ECI Euro IG

Some of the data items available include:

  • Currency Code, Date, Description, Index Description, Isin, Market Value Divisor/Eur, Name Of Index, Nominal Amount, Number Of Convertible Bonds, Price, Price Index, Quote Method, Quote Method Code, Symbol, Weight, etc.

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