Yield options, ICE BofA US High Yield Index Option-Adjusted Spread (BAMLH0A0HYM2) | FRED | St. Louis Fed
Original issue zero coupon bonds, "global" securities debt issued simultaneously in the eurobond and US domestic bond marketsa securities and pay-in-kind securities, including toggle notes, qualify for inclusion in the Index. Callable perpetual securities qualify provided they are at least one year from the first call date.
Fixed-to-floating rate securities also qualify provided they are callable within the fixed rate period and are at least one year from the last call prior to the date the bond transitions from a fixed to a floating rate security.
DRD-eligible and defaulted securities are excluded from the Index. ICE BofA Explains the Construction Methodology of this series as: Index constituents are capitalization-weighted based on their current amount outstanding.
Yield Based Option Meaning & Definition
With the exception of U. Accrued interest for U.
Cash yield options from bond payments that are received during the month are retained in the index until the end of the month and then are removed as part of the rebalancing. Cash does not earn any reinvestment income yield options it is held in the Index.
The Index is rebalanced on the last calendar day of the month, based on information available up to and including the third business day before the last business day of the month.
Issues that meet the qualifying criteria are included in the Index for the following month.
Issues that no longer meet the criteria during the course of the month remain in the Index until the next month-end rebalancing at which point they are removed from the Index. When the last calendar day of the month takes place on the weekend, weekend observations will occur as a result of month ending accrued interest adjustments.
Reprinted with permission.