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Europe Focus Convertible Index

Thomson Reuters Monthly Europe Focus Convertible Index

Designed to provide a broad measure of the performance of the balanced, investable, European convertible bond market.

About the Monthly Europe Focus Convertible Index

Qualifying fixed income securities may be rated investment grade or non-investment grade by a recognised rating agency or unrated, may be issued with fixed or floating rates, and must meet minimum size requirements in their local currency. Individual issuers are capped at 8% of the Index at each monthly rebalance.

The index is rebalanced monthly and reviewed quarterly to ensure the constituents’ continued compliance with the index rules though bonds may be removed from the index during the month, as a result of corporate actions.

Mandatory convertible bonds (i.e. convertible bonds which must be converted into equities at a given date) and perpetual convertible bonds (i.e. convertible bonds which do not have a maturity date) are excluded.

Balanced issues are selected using price and premium thresholds as described fully in the methodology.