Index DescriptionsThe Altman Defaulted Debt Performance Indexes
The NYU Salomon Center maintains and publishes monthly performance data on indexes comprised of:
(1) Defaulted Corporate Bonds
(2) Defaulted Corporate Bank Loans
(3) A Combined Index of Defaulted Bonds and Bank Loans
Access to a monthly newsletter commenting on these indexes, as well as the quarterly Altman Reports on "Defaults and Returns in the High Yield Bond Market," are available from the NYU Salomon Center on an annual subscription basis. Please contact us at (212) 998-0701 for more information.
All three of the indexes are market-weighted monthly, total return composites of bonds or bank loans of companies that have defaulted on their debt securities and are in the process of attempting to restructure, usually in bankruptcy. Securities include both secured and unsecured obligations and the various issues in the indexes represent all seniorities in the capital structure. Returns are weighted by the market capitalization of each issue. No single issuer can exceed 10% of the total market capitalization of the index. The Index includes U.S., Canadian and Mexican debt securities.
Our monthly Defaulted Bond Index goes back to January 1987 (December 1986=100) and our Defaulted Bank Loan Index to January 1996 (December 1995=100). The latter date is also the start of our Combined Bond and Bank Loan Index. In addition to the Defaulted Debt Indexes, monthly total returns on the S&P 500 Stock Index and the Citigroup High Yield Bond Index are reported for comparison purposes.