CVBX/CVEX Index

CVBX/CVEX is an index series designed to provide a broad representation of the most liquid parts of the US convertible bond market.

CVBX is a series of indices, each consisting of 100 convertible securities, designed to provide a broad representation of the US convertible bond market. The CVBX is accompanied by a series of delta-hedged, total-return stock indices or CVEX, each corresponding to a specific CVBX series.

A new series is issued every six months to represent the most current composition of the convertible bond market. Each series is cash settled every six months and issues are removed based on corporate events or hard-to-borrow cases, and matures two years from inception.

Total return of the index includes market value changes, coupon payments and other interim cashflows (such as conversion, call exercise, matured obligations, and other events).

CVEX is the tradable form of the iBoxx USD Liquid Convertible Bond Delta Hedging Index. It includes the same 100 names as in the CVBX and can be used to hedge bond exposure.

Additional details on the creation of each index can be found in the rules document.

Key benefits:

  • Tradability – Access a previously unavailable macro trading product for the convertible market
  • Risk Management – Separate market risk from active strategies and hedge against temporary market weakness or strength without liquidating positions
  • Efficiency – Implement views on convertible market volatility without performing bond selection
  • Liquidity – Leverage a liquid instrument to express views on convertible market valuations

CVBX/CVEX Details

  • Bond outstanding face amount > $250MM
  • Maturity > 18 months as of bond selection date
  • Bond premium > 2% and < 150%, Bond premium = 100 * (Quoted Price - Parity) / Parity, Parity = Conversion Ratio * Closing stock price
  • Bond converts into single underlier
  • Bond price > 20% face value < 200% face value
  • Bond not in default
  • Underlying stock market capitalization > $750MM
  • Share amounts of CVEX = Face amount of bond * Delta per $1 of bond
  • Share amount of CVEX rebalanced monthly
  • Bond issuer and underlier must have primary equity listing on US exchange, should not be in default, must be up to date on public filings

News & Information

Important notifications and public information about our indices, including changes to upcoming series following index rolls, credit events on constituents and issuance of new indices.
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