The modified market cap-weighted index 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 & Distressed Bond Index (MVRCOV) bonds have to be incorporated and domiciled in the United States or Canada. Derived from this index are two sub-indices covering the defaulted and the distressed bond sector respectively.
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.
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 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.
Please note: a defaulted bond's maturity is not applicable as it becomes due immediately, making the maturity term effectively zero.
| Component | Coupon | Maturity | Country | Weight |
|---|---|---|---|---|
| FIRSTENERGY SOLUTION | 6.80% | - | US | 4.28% |
| FIRSTENERGY SOLUTIONS CO | 6.05% | - | US | 3.92% |
| CHS/COMMUNITY HEALTH SYS | 6.88% | 01 Feb 2022 | US | 3.35% |
| ARGOS MERGER SUB INC | 7.13% | 15 Mar 2023 | US | 3.22% |
| CALIFORNIA RESOURCES CORP | 8.00% | 15 Dec 2022 | US | 3.17% |
| WINDSTREAM SRVC / FIN | 8.63% | - | US | 2.75% |
| WINDSTREAM SRVC / FIN | 9.00% | - | US | 2.50% |
| MCDERMOTT ESCROW 1/ESC 2 | 10.63% | 01 May 2024 | US | 2.22% |
| MASHANTUCKET WEST PEQUOT | 7.35% | - | US | 2.17% |
| THORNBURG MORTGAGE | 0.00% | - | US | 2.10% |
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| Country | Components | Weight |
|---|---|---|
| United States | 158 | 96.59% |
| Canada | 3 | 1.83% |
| India | 2 | 1.49% |
| Poland | 1 | 0.09% |
| Total | 164 | 100.00% |
Sector weightings are based on the weightings of all index components in a certain sector.
| Sector | Components | Weight |
|---|---|---|
| Technology | 9 | 7.92% |
| Financial | 6 | 4.54% |
| Diversified | 1 | 3.22% |
| Communications | 31 | 20.59% |
| Government | 1 | 2.17% |
| Energy | 40 | 18.74% |
| Utilities | 33 | 17.72% |
| Consumer Non-Cyclicals | 17 | 12.13% |
| Consumer Cyclicals | 19 | 11.03% |
| Industrial | 5 | 1.01% |
| Basic Materials | 2 | 0.93% |
| Total | 164 | 100.00% |
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