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1.US High Yield Returns 10% total return USD and 6.1% in Excess Return USD Year to Date June 30, 2019 – H0A2 – The ICE BofA ML single-B US High Yield Index is a subset of the ICE BofA ML US High Yield Index (H0A0) including all securities rated B1 through B3, inclusive.
2. Euro High Yield Returns 7.7% total return in EUR and 6.6% in Excess Return Year to Date (as of June 30, 2019) – HEC0 – The ICE BofA ML Euro High Yield Constrained Index contains all securities in the ICE BofA ML Euro High Yield Index (HE00) but caps issuance exposure at 3%.
Excess return is defined as the investment return over the risk-free rate.
3.C0A0 – The ICE BofA ML US Corporate Index tracks the performance of US dollar denominated investment grade corporate debt publicly issued in the US domestic market. Qualifying securities must have an investment grade rating (based on an average of Moody’s, S&P and Fitch), at least 18 months to final maturity at the time of issuance, at least one year remaining term to final maturity as of the rebalancing date, a fixed coupon schedule and a minimum amount outstanding of $250 million.
4.ER00 – The ICE BofA ML Euro Corporate Index tracks the performance of EUR denominated investment grade corporate debt publicly issued in the eurobond or Euro member domestic markets. Qualifying securities must have an investment grade rating (based on an average of Moody’s, S&P and Fitch), at least 18 months to final maturity at the time of issuance, at least one year remaining term to final maturity, a fixed coupon schedule and a minimum amount outstanding of EUR 250 million.
5.Flows sourced: Deutsche Bank Global Credit Chartbook – July 2019
6.Barclays Global Aggregate Negative Yielding Debt Market Value USD
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