US high yield credit.
How high does US high yield credit stress land, September 2025 to September 2026?
The prior window, one month from settlement. Most of its outcome is already on the board and the price has converged toward the likely landing.
Since the window opened.
Floor -5%, cap 12%. Settles September 2026 on the official index.
The pair.
One escrowed dollar backs each calm plus stress 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 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.
Escrow.
One dollar locked per pair until settlement.