Taking Position: Assessing pressure points

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Taking Position: Assessing pressure points

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Taking Position

Assessing pressure points

CDX Financials on the spotlight 01 July 2026

The recent re-emergence of private credit headwinds and broad credit deterioration Credit Strategy

across the BDC complex (see High Yield & Loan Strategy) is bringing renewed interest to Europe

the CDX Fins index (see report: CDX Financials – A new CDS index is born and Ioannis Angelakis

Geopolitics vs AI risks). Over the past week net shorts have been added to a notable Credit Derivatives Strategist

extend (vis-à-vis historical standards). It was the largest net protection buying since the MLI+44 (UK)20 7996 0059

launch of the new CDX Financials index, indicating that hedging demand is shifting ioannis.angelakis@bofa.com

investor’s focus to the new index. Barnaby Martin

Credit Strategist

Exhibit 1: Private credit is under pressure once again. Headwinds re-emerge, hedges are needed. MLI (UK) barnaby.martin@bofa.com

CDX Financials index shorts and CDX IG out-of-the-money puts offer value from a hedging perspective.

Mohit Agarwalla

90 85 Credit Strategist

BofA Private Credit Proxy CDX Fins (rev'ed, RHS) MLImohit.agarwalla@bofa.com(UK)

90 85

70 110

65 115

Jan-26 Feb-26 Mar-26 Mar-26 Apr-26 May-26 May-26 Jun-26 Jul-26

Source: Bloomberg. Using MLPRCRED Index and the UBXXHYPE Index

BofA GLOBAL RESEARCH

Paired that with weakness in the loans space, and this could result in further hedging

interest in the newly launched CDX Fins index, see report: Credit Derivatives Navigator:

Carry now, convexity next.

CDS index positioning – the ups and downs

US over Europe has been the theme over the previous week, in term of positioning

changes in the CDS space. We note also that beta performed strongly with CDX HY