SPDR Barclays High Yield Bond
ALTAR
Score™
2.4% info Median Credit
S&P/Moody's
BB-/B1
 
Yield to
Maturity
6.1% Current
Yield
6.3%
Macaulay
Duration
5.1 yrs Modified
Duration
5.0%


  • Description
  • Performance
  • Fundamentals
  • Rate Sensitivity
  • Rating
SPDR Barclays High Yield Bond ETF is an exchange-traded fund incorporated in the USA. The Fund seeks investment results that correspond to the price and yield of the Barclays High Yield Very Liquid Bond Index.

FUND BASICS
Category Corporate
Fund Sponsor SSgA Funds Management Inc
Website www.spdrs.com
Inception date Dec 04, 2007
Assets (mns) $11,474
Currency USD
Expense ratio 40 bp
Distributions Monthly

FUND STRUCTURE
Regulation Open-End Investment Company
Custodian State Street Bank & Trust Co
Weighting Market Cap
Index replication Optimized

ISSUER TYPE BREAKDOWN

CONSTITUENT BREAKDOWN
No. of constituents 837
No of distinct issuers 534
Inflation protected 0%
Variable/Fixed coupon 19% /81%
Non-standard maturity (callable, etc.) 73%

TOP TEN HOLDINGS
NUMERICABLE-SFR SA 7.4% 5/01/26 0.7 %
SPRINT CORP 7.9% 9/15/23 0.6 %
NUMERICABLE-SFR SA 6.0% 5/15/22 0.5 %
WESTERN DIGITAL CORPO 10.5% 4/01/24 0.5 %
FIRST DATA CORPORATIO 7.0% 12/01/23 0.5 %
FRONTIER COMMUNICATIO 11.0% 9/15/25 0.5 %
REYNOLDS GROUP ISSUER 5.8% 1/15/20 0.5 %
PRIME SECURITY SERVIC 9.3% 5/15/23 0.5 %
CCO HOLDINGS LLC 5.1% 5/01/27 0.4 %
ALTICE SA 7.8% 5/15/22 0.4 %
   
TOTAL 5.1 %

TOP ISSUERS
NUMERICABLE-SFR SA1.3%
CCO HOLDINGS LLC1.0%
FIRST DATA CORPORATION1.0%
FRONTIER COMMUNICATIONS CORPORATION0.9%
TENET HEALTHCARE CORP0.7%

TOP COUNTRY EXPOSURE
UNITED STATES 83.1 %
CANADA 2.5 %
BRITAIN 2.5 %
LUXEMBOURG 2.2 %
NETHERLANDS 1.4 %

 





HISTORICAL RETURNS info

  Custom date range Compare to  
  thru


Standardized Annual Returns (thru May 31)
Year-to-date 1 year 5 years 10 years Since Incep.
4.5% 12.6% 5.8% -- 5.9%

Market Correlations
versus... Beta R-squared
Barclays Agg. Bond 0.55 6%
S&P500 0.42 45%
MSCI EAFE 0.37 51%
MSCI Emg. Mkts. 0.28 49%

Technical Indicators
Recent close $36.96
Tracking Error 0.00
Avg. Premium/Discount 0.00%
Annualized volatility n/a %
Relative strength (RSI) 47
Liquidity measures
Avg. volume (thou.) 8,119
Avg. daily value traded (mns) $300
Turnover 2.6%
Bid/Ask (% of price) 0.03

Distributions


Yield Comparison

*Fund Category: CORPORATE

CREDIT QUALITY: MOODY'S

DISTRIBUTION YIELD (TRAILING 12 MONTHS)
Macaulay Duration info
 
JNK 5.1 yrs Category
Avg.*
4.4 yrs
 

Modified Duration info
 
JNK 5.0% Category
Avg.*
4.3%

RATE SENSITIVITY ANALYSIS info
Change
in YTM
New
YTM
Est. Price
Change
Est. New
Price
+300 bp 9.08% -12.6% $32.32
+200 bp 8.08% -8.9% $33.67
+150 bp 7.58% -6.9% $34.42
+100 bp 7.08% -4.7% $35.22
+75 bp 6.83% -3.6% $35.64
+50 bp 6.58% -2.4% $36.07
+25 bp 6.33% -1.2% $36.51
0 bp 6.08% 0% $36.96
-25 bp 5.83% 1.3% $37.43
-50 bp 5.58% 2.6% $37.90
-75 bp 5.33% 3.9% $38.39
-100 bp 5.08% 5.2% $38.89
-150 bp 4.58% 8.0% $39.93
-200 bp 4.08% 11.0% $41.02
-300 bp 3.08% 17.3% $43.34

*Fund Category: CORPORATE

ALTAR Score™


Calculation of ALTAR Score™
Adj. Yield to Maturity info 608 bp
Less: Annual "default factor" info 327 bp
Less: Expense ratio 40 bp
Equals: ALTAR Score 2.41 %
 

Average ALTAR Score™ by Category
Aggregate 1.5%
Corporate 1.8%
Emerging Market 3.8%
Government 1.4%
Inflation Protected 1.6%
Mortgage 2.7%
Municipals 2.5%
 
*Note: The SPDR Barclays High Yield Bond is classified as a Corporate fund.

 

Our estimate of the impact of potential defaults on investor returns, based on historical default and recovery rates for bonds of similar credit rating and maturities.
See RATING tab for calculations of ALTAR Score™
Estimate of fund sensitivity to interest rate changes based on modified duration and convexity adjustment applied to underlying bonds. Note: Less meaningful for inflation-indexed bonds.
Adds expected inflation to real YTM for inflation-linked bonds so that all instruments are compared on a nominal basis
Weighted-average term to maturity of the cash flows from a bond. All else being equal, bonds of longer duration are more sensitive to changes in interest rates than bonds of shorter duration.
Approximation of the change in bond prices given a 100 basis point shift in interest rates. A better estimate, particularly for larger moves in interest rates, is provided by the Rate Sensitivity Analysis below.