Indices > iBoxxCVBX/CVEX

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

Statistics

  • 6months between new series creation
  • 100Securities

Email this product

Send using your default email client.

SHARE

Social sharing

Get in touch

Want to talk to the team directly?

Product Summary

The Markit 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 will be accompanied by a series of delta-hedged total-return stock indices or Markit CVEX, each corresponding to a specific CVBX series.

A new series is issued every 6 months to represent the most current composition of the convertible bond market. Each series is cash settled every 6 months and issues are removed based on corporate events or hard-to-borrow cases, and matures 2 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).

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

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

    Key Benefits

    • Tradability

      Provides a macro trading product for the convertible market that was unavailable until now

    • Risk Management

      Allows fund managers to separate market risk from active strategies. Facilitates hedging of temporary market weakness or strength without liquidating positions

    • Efficiency

      Enables efficient implementation of views on convertible market volatility without performing bond selection

    • Liquidity

      Offers 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

    View