US high yield credit.
Where does the S&P high yield credit index land, March 2026 to March 2027?
Settles on CDX.NA.HY 5Y Short Excess Return with DRC (ERINSDHY), published by S&P Dow Jones Indices.
Long pays if the index lands low, short pays if it lands high. One published number settles it.
The index since this window opened.
ERINSDHY, weekly, as the running change settlement will read. The higher it sits in the band, the more of each dollar the short side takes.
The index sits 25.69 points above the floor, so a settlement today would pay the short side 51 cents of each dollar. The window settles in March 2027, and the last reading shown is from Sep 22.
The pair.
One escrowed dollar backs each long plus short pair. The two prices sum to $1.
Settlement reads only the official index, not the market price.
How the pair settles.
One number settles the pair: the change in the official index over the window, each endpoint averaged over five publication days. The short side redeems the fraction of the escrowed dollar that the number crossed between the published floor and cap. The long side redeems the rest.
Escrow.
One dollar locked per pair until settlement.