Index Notes

How Index Notes Work

• —Index Notes are fixed-term bets on credit spread direction — like prediction markets for credit.
• —Each note expires on the next June 30 or December 31.
• —Buyer wins if spreads widen; Seller wins if spreads tighten.
• —Both parties post $100 collateral; P&L is proportional to the spread change relative to the entry spread.
• —At expiry, anyone can trigger settlement — collateral plus P&L is returned on-chain.
• —IG Index tracks investment grade credits (BBB− or higher); HY Index tracks high yield (BB+ or lower).

Z-spread indices are derived from rating-implied spreads and update periodically. During periods of stale data, fallback spreads may be used.