MVIS Altman North America Distressed Bond Index

The modified market cap-weighted index covers the U.S. And Canada distressed bond market and is derived from the MVIS 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 Distressed Bond Index (MVRCDI) 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.

Average Yield to Maturity0.00
Average Modified Duration0.00
Average Years to Maturity3.50
Average Coupon0.00
Yield to Worst0.00
Current Yield0.00

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 Yield86 87.25%
Not Rated14 12.75%
MaturityCountWeight
0 - 3 Years27 23.79%
3 - 5 Years40 41.45%
5 - 7 Years26 32.01%
7 - 10 Years3 0.65%
10 - 15 Years1 0.54%
15 - 20 Years2 0.93%
20+ Years1 0.63%
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