High Yield Unconstrained Index

See Data

What is it?

The Markit iBoxx EUR High Yield Index (cum crossover) tracks the performance of Euro-denominated corporate high yield debt, including split-rated bonds. To be eligible for the Index, a bond must:

• be rated sub-investment grade (below BBB) according to the iBoxx rating, which is based on individual agency ratings from Fitch, Moody’s and Standard & Poor’s.
• have at least € 150 million outstanding.
• have at least 12 months to maturity.
• originate in a country rated as investment grade

Any bond that is classed as distressed, rated as in default, or trading flat of accrued interest is not eligible.

The index is calculated two ways: weighted according to market capitalization (“unconstrained”) and with market capitalization capped at 3% of the overall index, per issuer (“constrained”). The index value is relative to a value of 100 as of 31 December 2002. It is calculated daily at the end of each trading day and rebalanced monthly.

Why do I care?

The Market iBoxx EUR High Yield Crossover Index tracks the performance of the European high yield bond market. This sector of the market typically trades at higher yields relative to other corporate bonds because high yield bonds have lower credit ratings and higher risk of default and so must compensate investors for the risk that high yield bond issuers might not be able to meet their interest and principal obligations to bondholders. Charting the index over the past 12 months reveals the general direction and trends in the European high yield bond market, which may offer insights on whether or not the yield compensates investors adequately for the risk they take. The Markit iBoxx EUR High Yield Index also provides a benchmark against which investors may choose to measure the performance of their own Euro-denominated bond investments.