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US high yield credit.
How high does US high yield credit stress land, March 2026 to March 2027?
Calm pays if the index lands low, stress pays if it lands high. One published number settles it.
Official index, this window
-1.20%
published daily
Live RAVA price, cHY
$0.88
sHY $0.12 · implied finish -3.0%
Two windows run at once. The SEP26 series settles next month while this one carries the trading.
Each new window starts with an opening auction: everyone filled gets the same opening price.
Since the window opened.
Floor -5%, cap 12%. Settles March 2027 on the official index.
The pair.
One escrowed dollar backs each calm plus stress pair. The two prices sum to $1.
Calm share (cHY-MAR27)
$0.88
Pays more the lower the number lands
Stress share (sHY)
$0.12
Pays more the higher the number lands
Pair total
$1.00
A merged pair redeems one escrowed dollar
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 stress side redeems the fraction of the escrowed dollar that the number crossed between the published floor and cap. The calm side redeems the rest.
Official index change this window
-1.20%
Window
March 2026 to March 2027
Floor and cap
-5% to 12%
Settlement rule
Index change over the window, each endpoint a five day average. The dollar splits by where it lands between floor and cap.
Primary evidence
The official return index, published daily by the index administrator.
Next update
With each daily publication of the official index
Index vs your portfolio
The market settles on the official index, not on your portfolio. A different bond portfolio can move by a different amount.
Escrow.
One dollar locked per pair until settlement.
Escrow
$22.6M
Pairs outstanding
$21.4M
If listed as collateral elsewhere
40% starting loan to value