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Merrill Lynch Convertibles

The objective of Merrill Lynch’s index family represents various markets of convertible bonds and provide reliable benchmarks for asset allocation and portfolio management. There are three groups of indexes; the first two, the G300 Global Convertible Master Index and the Global Investment Grade Convertible Master Index, concentrate the larger more liquid issues, and tend to be the most appropriate for benchmarking. The third series of indexes, the Regional All Convertibles Master Indexes, are rules-driven and allow for more detailed analysis. The global G300 can be subdivided into regional, sectoral and credit quality sub-indexes. The Global Investment Grade master index is only subdivided by region and country.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 3045 bonds and 210 indices.

Index coverage includes:

  • Convertible securities – Investment Grade, Speculative Grade, U.S. Contingent, European Convertibles, Finland, France, Germany, Global, Greece, Income-Paying U.S., Japanese Domestic/Euro, Lage/Mid-cap U.S., U.S. Convertibles, etc.

Some of the items available include:

  • Bond Items: Bloomberg id, country code, country description, currency code, date, delta, description, gamma, implied volatility, isin, market value, master index code/description, price, region code/description, RHO (change in value due to change in interest rates), sector code/description, spread, symbol, theoretical price, theta, vega, volatility assumption, weight in index, etc.
  • Index Items: average coupon, average current yield, average delta, average duration, average premium, average rating, average years to maturity, hedged return, number of constituents, price index, total return, underlying equity index value, underlying equity total return, etc.

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