JACI Indices

Benchmarks offer an objective standard for measuring the performance of an asset class and for many years it was the absence of such a standard that created problems for institutional investors who wished to employ convertible bonds in their asset allocation. It was the launch of the JACI - the Jefferies Active Convertible Index - in 1993 that first set convertibles on the path of acceptance as a global asset class. JACI was a natural development of Jefferies' data-management projects for convertible bonds, an area in which it had for many years been a leader.

Since its launch JACI has achieved widespread acceptance among institutions and consultants as the most accurate, replicable and transparent measure of global convertible bond performance.

JACI Methodology

(Jefferies Active Convertible Indices)

Rules of Qualifying

• Convertible bonds or convertible preference shares with public distribution
• Eurobonds sold through an international syndicate
• Domestic bonds if unrestricted access to foreign investors
• Excludes pre-IPO and mandatory convertibles
• Minimum issue size of $200 million or equivalent in other currencies
• Price transparency available either on an established exchange or in an OTC market

Rules of Construction

• All indices are price-weighted, total return, currency neutral or currency-based
• New issues enter on payment date at the prevailing market price

• Issues are removed when losing convertible characteristic, i.e.

  • when trading persistently deeply in the money
  • when equity content becomes negligible
  • when distressed or defaulted
• Issues also removed if price quality deteriorates significantly, for whatever reason
• Constituents are removed upon notice of call or other early redemption
• Constituents are removed with seven days' notice at price prevailing on that date

Price Sources Stock

• Exchange pricing if that is the major source of liquidity
• For ISMA traded, mid-market average of at least two daily updated Reuters or Bloomberg pages
• For US bonds, IDC or Bloomberg

Regional

• The core JACI indices are the main regions: US, Europe, Japan and Asia ex-Japan
• Normalized price-weighted composition

Global

• The flagship index is the JACI Global
• Blend of four major regions in pre-specified blending ratios
• Blending ratios reviewed annually and may be adjusted to reflect market conditions.

Other

• JACI can be constructed out of any bond criteria
• Applying consistent price sources and qualification rules