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.
Get in touchThe tables below shows fundamental data of the Index.
Descriptive values are updated on a daily basis. The chart shows historical values on a monthly basis.
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.
Source: Altman, Edward I. and Brenda J. Kuehne. Data as of 31 December 2014
The tables below shows Bloomberg Composite Rating breakdown of the index components.
The data are updated on a daily basis.
| Component | Coupon | Maturity | Country | Weight |
|---|---|---|---|---|
| CHS/COMMUNITY HEALTH SYS | 6.88% | 01 Feb 2022 | US | 5.85% |
| ARGOS MERGER SUB INC | 7.13% | 15 Mar 2023 | US | 5.63% |
| CALIFORNIA RESOURCES CORP | 8.00% | 15 Dec 2022 | US | 5.55% |
| MCDERMOTT ESCROW 1/ESC 2 | 10.63% | 01 May 2024 | US | 3.89% |
| CHS/COMMUNITY HEALTH SYS | 8.13% | 30 Jun 2024 | US | 3.44% |
| COMMUNICATIONS SALES & L | 8.25% | 15 Oct 2023 | US | 3.44% |
| WEST CORP | 8.50% | 15 Oct 2025 | US | 3.37% |
| KRONOS ACQUISITION HOLDINGS IN | 9.00% | 15 Aug 2023 | US | 2.69% |
| VERITAS US INC/BERMUDA L | 10.50% | 01 Feb 2024 | US | 2.56% |
| FRONTIER COMMUNICATIONS | 11.00% | 15 Sep 2025 | US | 2.33% |
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| Country | Components | Weight |
|---|---|---|
| United States | 97 | 96.64% |
| Canada | 3 | 3.20% |
| Poland | 1 | 0.16% |
| Total | 101 | 100.00% |
Sector weightings are based on the weightings of all index components in a certain sector.
| Sector | Components | Weight |
|---|---|---|
| Communications | 12 | 7.17% |
| Diversified | 1 | 5.63% |
| Financial | 5 | 4.28% |
| Energy | 36 | 30.01% |
| Consumer Non-Cyclicals | 17 | 21.23% |
| Consumer Cyclicals | 16 | 17.05% |
| Technology | 7 | 11.24% |
| Industrial | 5 | 1.77% |
| Basic Materials | 2 | 1.63% |
| Total | 101 | 100.00% |
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