MVIS Altman North America Defaulted Bond Index

The modified market cap-weighted index covers the U.S. And Canada defaulted bond market and is derived from the MVIS Altman North America Defaulted & Distressed Bond Index (MVRCOV) which tracks the performance of the U.S. And Canada defaulted and distressed bond market with bonds denominated in USD. To be included in the MVIS Altman North America Defaulted Bond Index (MVRCDE) bonds have to be incorporated and domiciled in the United States or Canada.

Index Fundamentals

The tables below show fundamental data of the MVIS Bond Index.
Descriptive values are updated on a daily basis. The chart shows historical values on a monthly basis.

Descriptives
Average Yield to MaturityN/A
Average Modified DurationN/A
Average Years to MaturityN/A
Average CouponN/A
Yield to WorstN/A
Current YieldN/A

N/A: Fundamental characteristics such as duration, spread, maturity, and yield, are not applicable with defaulted bonds. When bonds stop performing, they become due immediately, making the terms that produced these characteristics null.

Altman-Kuehne/NYU-Salomon Center Dollar-Based 12-month Moving Average Default Rate Index

Altman-Kuehne/NYU-Salomon Center Dollar-Based 12-month Moving Average Default Rate is calculated by adding the defaults in a given quarter (3 months) to the total dollar amount of defaults from the three prior quarters (nine months), and then dividing the total by the size of the high-yield market at the beginning of the quarter for which the rate is being calculated. This rate, as well as historical default rates, is published every quarter in our "Defaults and Returns in the High-Yield Bond Market" reports, available by subscription from the Salomon Center.

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Source: Altman, Edward I. and Brenda J. Kuehne. Data as of 31 December 2014

Rating and Maturity Breakdown

The tables below show Bloomberg Composite Rating breakdown and Maturity breakdown of the index components.
The data are updated on a daily basis.

RatingCountWeight
High Yield57 88.80%
Not Rated4 11.20%
MaturityCountWeight
0 - 3 Years--
3 - 5 Years--
5 - 7 Years--
7 - 10 Years--
10 - 15 Years--
15 - 20 Years--
20+ Years--
N/A61 100.00%

Please note: a defaulted bond's maturity is not applicable as it becomes due immediately, making the maturity term effectively zero.

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