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Convertible bond asset classes defined

Convertible indices

Screenshot of Thomson Reuters Convertible Indices screen

Our convertible indices are some of the industry’s most widely used and accepted convertible bond benchmarks

The most widely used and accepted benchmarks for measuring the performance of convertible bond investments.

Thomson Reuters Convertible Indices Methodology Revision 7 – Final, published 30 Aug 2019 is effective as of 2 September 2019. 

Thomson Reuters Convertible Indices Methodology Revision 8 – Final, published 10 December 2019 - effective as of 1 January 2020. 

Why choose our convertible bond indices?

Convertible indices offer an independent and transparent definition of the convertible bond asset class over time.

A large number of index combinations are available, such as global and regional coverage; unhedged or hedged currencies; and carve-outs, featuring only “balanced” or investment grade issues. Custom index development and reporting is also possible.

The indices are administered and calculated in the spirit of the International Organization of Securities Commissions principles.

Revision 7 – Final of the Thomson Reuters Convertible Indices Methodology is effective as of 2 September 2019

Revision 8 – Final of the Thomson Reuters Convertible Indices Methodology is effective as of 1 January 2020

Announcement

Refinitiv is the administrator of numerous indices and benchmarks.

Refinitiv assigned Refinitiv Benchmark Services (UK) Limited (‘RBSL’) to be the regulated administrator of certain benchmarks, such as those used within the EU and thus caught by the EU Benchmarks Regulation (EU BMR). RBSL is authorized by the FCA, as listed on the ESMA Register, to administer benchmarks under the EU BMR.

As a next step, the following benchmarks will move to be administered by RBSL by the end of December 2019:

  • WM/Reuters Spot, Forward and NDF benchmark rates
  • Thomson Reuters/CoreCommodity CRB® Index
  • Thomson Reuters Convertible Indices

Note: For those benchmarks administered by a non-EU entity within Refinitiv (i.e. a third country administrator), Refinitiv has until the end of the BMR Extension Transition period (Dec 2021) to migrate those benchmarks into an authorized benchmark administrator (i.e. RBSL).

Those Refinitiv benchmarks that fall under the BMR Extension Transition period and are under consideration for migration before the end of 2021 are:

  • Refinitiv Tokyo Swap Rates
  • Thomson Reuters Local Currency Indices
  • Thomson Reuters IX Global ESG Equal Weighted Index
  • Thomson Reuters IX Global ESG High Dividend Low Volatility Equal Weighted Index
  • Thomson Reuters IX Western Europe Small & Mid Cap Index
  • Thomson Reuters GL Large/Mid D&I Ex Controversial Weapons Equal Weight Index
  • Thomson Reuters Global Equal Opportunities Select Index
  • Thomson Reuters Global Resource Protection Select Index
  • Thomson Reuters Europe Equal Opportunities Select Index
  • Thomson Reuters Country, Regional and Sector Indices
  • Thomson Reuters Diversity & Inclusion Index
  • Thomson Reuters Eurozone ESG Select Index

RBSL will perform further assessments to the following Refinitiv benchmarks and notify the users in later stage whether RBSL will migrate them by Dec 2021:

  • Refinitiv VNIBOR USD Benchmark
  • Refinitiv VNIBOR VND Benchmark
  • Refinitiv VNDFX Spot and Forward Rates
  • Refinitiv VN

Features & benefits

Our convertible indices

Comprehensive coverage

Global market coverage, broken down into multiple sub-indices and carve-outs to suit any portfolio or investment mandate.

Expert quality and service

Calculated by specialist convertible indexing and advisory team. Multiple custom index options available.

Independent, regulatory and transparent

Adheres to the European Benchmark Regulation and follows IOSCO principles with rules based methodologies.

Flexible delivery options

Convertible indices are available via Eikon and Datastream or standalone and via FTP, email, or third-party vendors.