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S&P 500 CVI tail

daily
bps
UTC+3
Previous value
on 06/08/2026
from
to
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Index description

This indice belongs to a new suite of indices produced by RMI’s Credit Research Initiative. RMI Probabilities of Default (RMI PDs) of individual firms are used in the CVI to produce bottom-up measures of credit risk in companies included to S&P500 Index. Tail CVI (CVI tail) - In taking the 5th percentile of the highest RMI PD, the most vulnerable firms in a group are measured.

Methodology

Excel + Cbonds

Index value can be retrieved via Cbonds add-in for Excel using the formula CbondsIndexValue(4949, date)

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Subgroup indices

Index Current value Date
S&P 500 CVI value weighted 35.92 bps 07/08/2026
S&P 500 CVI tail 48.88 bps 07/08/2026
S&P 500 CVI equally weighted 31.34 bps 07/08/2026

The composition of the index list

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