Underlying Index
ICE BofAML Diversified High Yield US Emerging Markets Corporate Plus Index
Index Characteristics
In order to qualify for inclusion an issuer must have risk exposure to countries other than members of the FX G10, all Western European countries, and territories of the US and Western European countries. The FX-G10 includes all Euro members, the US, Japan, the UK, Canada, Australia, New Zealand, Switzerland, Norway and Sweden.
Individual securities of qualifying issuers must be denominated in US dollars, must have a below investment grade rating (based on an average of Moody’s, S&P and Fitch), must have at least one year remaining term to final maturity, at least 18 months to final maturity at point of issuance.
Liquidity
Bonds must have at least USD 300 million in outstanding face value and a fixed coupon.
Weighting Methodology
The Index constituents are capitalization-weighted based on their current amount outstanding times the market price plus accrued interest, subject to a 10% country of risk cap and a 3% issuer cap. Countries and issuers that exceed the caps are reduced to 10% and 3%, respectively, and the face value of each of their bonds is adjusted on a pro-rata basis.
Monthly Rebalance
Rebalance day occurs on the last calendar day of the month, based on information available up to and including the third business day before the last business day of the month. Issues that no longer meet the criteria during the course of the month remain in the Index until the next month-end rebalancing at which point they are removed from the Index.
Index Provider
ICE Data Indices, LLC
For more information about the index please click here