New Markit index to offer US convertible bond exposure

Financial markets data provider Markit has launched a new convertible bond index designed to provide investors with exposure to the broad US convertible bond market.
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Financial markets data provider Markit has launched a new convertible bond index designed to provide investors with exposure to the broad US convertible bond market.

The Markit iBoxx Liquid US$ Convertible Bond Index (CVBX) consists of 100 securities selected from the bonds with the largest face value outstanding at inception. Additionally, the constituents are weighted to meet individual security, issuer and sector limits to ensure broad market coverage. It will be tradable using standardised cash-settled forwards on specific series (CVBX1, CVBX2 etc.) and a new series will be created every six months to ensure liquidity.

“We expect the CVBX to have a distinct impact on the convertible bond segment through an increase in liquidity and improved transparency,” said Stephan Flagel, head of indices, Markit.

The firm is also introducing the Markit iBoxx Liquid USD Delta-Hedging Stock Index (CVEX), a delta-hedged total-return stock index consisting of long stock positions equal to the initial delta of each bond in the corresponding CVBX series at inception. It will be tradable using standard equity swaps. The CVEX will be rebalanced monthly and the index will roll every six months. Both indices were developed in conjunction with Goldman Sachs and Deutsche Bank.

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