HY9 Summary

The official name of this index is CDX.NA.HY.9. It includes 100 equally weighted reference entities that are (relatively) liquid in the High Yield CDS market.

Coupon: 375 bps (you get paid 3.75% of the notional to go long the index) paid quarterly.

The HY CDX index trades on a dollar price. For example, on February 11th the index closed around 87.6. This means that it is trading at a 12.4% discount to par. If you wanted to go long the index, you would not only get the 3.75% in coupon per year but you would also receive 12.4% upfront for the discounted price.

Credit Events: When a Credit Event, such as bankruptcy or failure to pay, occurs on one of the names, if you are long the index you are responsible for the loss. The loss depends on the recovery rate of the name, which is determined in a market auction (click here for auction primer). For example, if the recovery rate was 40%, the loss would be 60%, so you would owe 60% * 1% weight of the name * your notional of trade.

The HY9 constituents are1:

Abitibi
AMD
AES
AK Steel
Allegheny Energy
Allied Waste
Alltel
American Axle
Amkor
American Airlines
Aramark
ArvinMeritor
Avis
Beazer
Bombardier
Celestica
Charter
Chesapeake Energy
Citizens Communications
Clear Channel
CMS Energy
Community Health
Cooper Tire
CSC
Dillards
Dole Food
Domtar
Dynegy
Eastman Kodak
EchoStar
El Paso
Fairfax Financial
First Data
Flextronics
Ford
Forest Oil
Freeport McMoran
Freescale
General Motors
Georgia-Pacific
Goodyear
Harrahs
HCA
Hertz
Host Hotels
Idearc
IKON
Intelsat Ltd
Iron Mountain
K Hovnanian
KB Home
L-3 Communications
Lear
Level 3
Levi Strauss
Liberty Media
Lyondell
Massey Energy
Mediacom
MGM
Mirant
Mosaic
Nalco
Neiman Marcus
Nortel
Nova Chemicals
NRG
Owens Illinois
PolyOne
Pride
Quebecor
Qwest Capital Funding
RHD
RadioShack
Realogy
Reliant
Residential Capital
Rite Aid
Royal Caribbean
Sabre
Saks
Sanmina
Six Flags
Smithfield
Smurfit Stone Container
Standard Pacific
SunGard Data Systems
Tembec
Tenet Healthcare
Tesoro
Toys R Us
Tribune
TRW
TXU
Unisys
United Rentals
Univision
Visteon
Williams
Windstream