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Refinitiv Convertibles Indices

Published in Fixed Income Indices

Refinitiv Convertible Indices measure the size and performance of the convertibles asset class, and are the most widely used convertible bond benchmark internationally. The indexes are independently managed by the specialist MACE convertible bond indexing and advisory business at Refinitiv. The Refinitiv Convertible Indexes are market capitalization-weighted, total-return indexes. They do not impose any currency, regional or sectoral weights, and do not have a fixed number of constituents.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 2200 bonds and 30 indices. Index coverage includes:

  • Refinitiv Global CB Index, Refinitiv Global Vanilla CB Index, Refinitiv Global Investment Grade CB Index, Refinitiv Global Focus Investment Grade CB Index, Refinitiv Europe CB Index, Refinitiv Europe Focus CB Index, Refinitiv Asia ex-Japan CB Index, etc.

Some of the data items available include:

  • Bond Items: convertible bond income/ bond price, country code/ description, date, description, dirty cash price + income, investable weight, ISIN, market value, number of bonds outstanding, region description, sector code, symbol, weight, etc.
  • Index Items: 1 yr daily volatility, 5 yr monthly volatility, average delta, average implied volatility, average life to call, average life to maturity, average premium, average running yield, average yield to maturity, hedged 1 yr. daily volatility, hedged 5 yr. monthly volatility, hedged return, market capitalisation, number of securities, total return, etc.

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