The FTSE Time-Weighted US Fallen Angel Bond Index measures the performance of “fallen angels” (bonds which were previously rated investment-grade but were subsequently downgraded to high-yield). The index includes US Dollar-denominated bonds issued by corporations domiciled in the US or Canada that meet the inclusion criteria. Any such bonds, with a rating changed from investment-grade to high-yield in the previous month, are eligible for inclusion in the index and will be held in the index for a period of 60 months. If a bond exits and then re-enters the index, the inclusion period is reset.
Unlike traditional indices, where constituent weights are based on market value, the index’s constituent weights are determined based on the time from inclusion in the index. Higher weights are assigned to bonds that have more recently become “fallen angels”. This time-based weighting approach aims to capture the price rebound effect that fallen angels tend to experience soon after their initial downgrade to high-yield. Furthermore, issuers’ weights are capped at 15% and constituents’ time-based weights are capped at 5 times their respective market value-based weights to help manage concentration risk.
Key Features and Coverage on RIMES
For this data source, RIMES hosts the FTSE Time-Weighted US Fallen Angel Bond Select Index and approximately 200 bonds. Some of the data items available include:
- Bond Items – Accrued Interest, Clean Price, Convexity, Country Code, Coupon, Coupon Frequency, Currency Code, Effective Convexity, Effective Duration, Industry Code, ISIN Code, Issuer Description, Macaulay Duration, Market Value, Market Weight, Maturity Bands, Maturity Date, Modified Duration, Month to Date Total Return, Next Call Date, Notional Outstanding Value in US Dollars, OAS to Libor, Option Adjusted Spread, Parent Ticker, Rating, Sector Code, Sedol Code, Spread, Yield to Call, Yield to Maturity / Years to Maturity, Yield to Worst, etc.
- Index Items – Average Convexity, Average Coupon, Average Duration to Worst, Average Effective Convexity, Average Effective Duration, Average Modified Duration, Average Option Adjusted Spread, Average Price, Average Spread, Average Yield to Maturity, Average Yield to Worst, Base Market Capitalization, Daily Total Return, Hedged Total Return , Last Price Date, Market Capitalization, Month to Date Hedged Return, Number of Constituents, Total Return, etc.