- Data through
- 2026-09-30
- Build date
- 2026-10-20
Two basis measures computed from the swaps tape alone. Each compares a credit index with the single names that traded in its segment. The comparison basket is the set of single-name contracts with a disseminated spread in the window, weighted by traded notional; it is not the index administrator's constituent list, which the tape does not carry, and the method page states the difference.
CDX North America Investment Grade against its traded single-name basket
| Index | Mean basis (bp) | Standard deviation (bp) | Latest (bp) | Share of days positive | Names in basket | Days |
|---|---|---|---|---|---|---|
| CDX North America Investment Grade | -33.2 | 13.5 | -35.2 | 0.0% | 196 | 21 |
Basis is the index five-year median spread less the notional-weighted mean five-year spread of the basket, per day. Segment assignment uses each name's window median: under 250 basis points is the investment-grade segment.
CDX North America High Yield against its traded single-name basket
| Index | Mean basis (bp) | Standard deviation (bp) | Latest (bp) | Share of days positive | Names in basket | Days |
|---|---|---|---|---|---|---|
| CDX North America High Yield | -209.9 | 99.6 | -402.8 | 5.3% | 9 | 19 |
Basis is the index five-year median spread less the notional-weighted mean five-year spread of the basket, per day. Segment assignment uses each name's window median: under 250 basis points is the investment-grade segment.
Notional amounts are as publicly disseminated by the swap data repository. A trade larger than the regulatory cap for its asset class is disseminated at the cap value and is flagged in the source data. All notional totals are therefore lower bounds on true traded notional. The share of trades and of disseminated notional that is capped is printed beside each exhibit. Cap thresholds were revised effective 7 October 2024; comparisons across that date partly reflect the change in disclosure, not only in activity.