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S&P High Yield Low Volatility Bond Indices

Published in Strategy Indices

The S&P U.S. High Yield Low Volatility Corporate Bond Index is designed to measure the performance of U.S. high yield corporate bonds with potentially low volatility. The index is comprised of bonds from the S&P U.S. High Yield Corporate Bond Index that meet certain criteria as defined in Eligibility Criteria and Index Construction that act as proxies for liquidity and low volatility. The index is modified market value weighted with a 3% cap on any single issuer. The index undergoes a rebalancing process once a month, with the intent of keeping the index current.

Key Features and Coverage on RIMES

For this data source, RIMES hosts approximately 1000 bonds and 2 indices (S&P U.S. High Yield Low Volatility Corporate Bond Index and S&P U.S. High Yield Select Corporate Bond Index).

Some of the data items available include:

  • Bond Items – Actual Coupon Rate, Adjustment Factor, Beginning of Month Market Value in US Dollars, Cash, Clean Price. Country Code. Country Description, Coupon, Currency Code, Dirty Price, Effective Duration, Effective Maturity Date, Exchange Rate, Fitch Rating, GICS Industry Level 4 Code, Index Currency Code, ISIN Code, Issuer Description, Market Value in US Dollars, Maturity Date, Modified Duration, MOODY’s Rating, Notional Outstanding Value in US Dollars. Opening Investable Weight in Index (Source), Option Adjusted Spread, Price Return, Price To Date, Pricing Details, Security Adjusted Market Capitalization in US Dollars, Sedol Code, Standard & Poor’s Rating, Total Return, U.S. State, Years to Maturity, Yield
    Yield to Call, Yield to Worst, etc.
  • Index Items – Average Convexity, Average Coupon, Average Effective Duration, Average Fitch Rating, Average Modified Duration, Average MOODY’s Rating, Average Option Adjusted, Average Price, Average S&P Rating, Average Yield, Branding, Factor, Index Family/Type, Market Capitalization in US Dollars, Number of Constituents, Price Index in US Dollars, Total Return in US Dollars, Weight Type, S&P Dow Jones Indices LLC, etc.


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