Hedge Comparison

Research evidence excerpt

Hedge Comparison

Hedge Comparison CreditPhilipDerivativeDobrinovStrategy

Note: The size of 3M hedges are determined by scaling the premiums spent to $10 MM. To get the expected index levels in a stress scenario, we apply the same historical moves to current spot levels. +1 212 723 2118

23-Jul-26

Scenario: The Financial Crisis (2008-2009)

Index Maturity Structure Strike Delta Price Notional/Contracts Premium Spot Expected Payout P&L Payout Ratio*

CDX IG 21-Oct-26 Payer 75.00 20% 6.75c 14,810,317,311 10,000,000 51.97 161 514,896,517 504,896,517 51.5

CDX IG 21-Oct-26 Payer 95.00 10% 3.17c 31,500,714,354 10,000,000 51.97 161 832,389,884 822,389,884 83.2

CDX IG 21-Oct-26 Payer Spread 60/82.5 40%/15% 9.40c 10,636,681,907 10,000,000 51.97 161 #N/A #N/A #N/A

CDX HY 21-Oct-26 Payer 103.00 20% 35.54c 2,813,352,565 10,000,000 107.76 75 784,118,619 774,118,619 78.4

CDX HY 21-Oct-26 Payer 99.50 10% 17.25c 5,797,979,922 10,000,000 107.76 75 1,413,044,494 1,403,044,494 141.3

CDX HY 21-Oct-26 Payer Spread 105.5/102 40%/15% 40.51c 2,468,691,786 10,000,000 107.76 75 86,404,213 76,404,213 8.6

SPX 16-Oct-26 Put 7000 20% 1.12% 1,191 9,992,490 7,498.96 3,588 406,352,504 396,360,014 40.7

SPX 16-Oct-26 Put 6550 10% 0.60% 2,237 9,999,390 7,498.96 3,588 662,568,040 652,568,650 66.3

SPX 21-Oct-26 Put Spread 7450/6825 40%/15% 1.44% 928 9,994,560 7,498.96 3,588 58,000,000 48,005,440 5.8

VIX 21-Oct-26 Call 40.0 20% 8.50% 68,965 9,999,925 17.05 80 273,997,945 263,998,020 27.4

VIX 21-Oct-26 Call 70.0 10% 3.70% 158,730 9,999,990 17.05 80 154,444,290 144,444,300 15.4

VIX 21-Oct-26 Call Spread 25/55 40%/15% -275.66% -2,127 9,996,900 17.05 79.73 0 -9,996,900 0.0

Payout Ratios, Financial Crisis

140CDX HY 4/4/1900 Date Roll Adjusted

IG Spread HY Px SPX VIX

120 2-May-08 84.51 95.60 1,413.90 18.18