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Thomson Reuters Convertible Indices

Formerly known as UBS Convertible Indexes, Thomson Reuters 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 Thomson Reuters. The Thomson Reuters 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 1920 bonds, 2 companies, and 28 indices. Index coverage includes:

  • Thomson Reuters Global CB Index, Thomson Reuters Global Vanilla CB Index, Thomson Reuters Global Investment Grade CB Index, Thomson Reuters Global Focus Investment Grade CB Index, Thomson Reuters Europe CB Index, Thomson Reuters Europe Focus CB Index, Thomson Reuters 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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