Settlement.
Where each window stands against the official index. Settlement reads only the official index, not the market price.
US high yield credit
March 2026 to March 2027Official index, this window
-1.20%
published daily
Floor and cap
-5% to 12%
frozen at open
Escrow
$22.6M
one dollar per pair
Pairs outstanding
$21.4M
fully backed
Index change over the window, each endpoint a five day average. The dollar splits by where it lands between floor and cap.
US high yield credit
September 2025 to September 2026Official index, this window
-2.10%
published daily
Floor and cap
-5% to 12%
frozen at open
Escrow
$10.3M
one dollar per pair
Pairs outstanding
$9.8M
fully backed
Index change over the window, each endpoint a five day average. The dollar splits by where it lands between floor and cap.