US high yield credit.
Where does the S&P high yield credit index land, September 2025 to September 2026?
Settles on CDX.NA.HY 5Y Short Excess Return with DRC (ERINSDHY), published by S&P Dow Jones Indices.
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.
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 25.85 points above the floor, so a settlement today would pay the short side 52 cents of each dollar. The window settles in September 2026, 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.