iBoxx HY Snapshot

Research evidence excerpt

iBoxx HY Snapshot

2 7 9 10 11 18 23 25 26 27

iBoxx HY Snapshot CreditPhilipDerivativeDobrinovStrategy

+1 212 723 2118

27-Jul-26

iBoxx HY CDX HY (5Y) Total

Sector Sector Weights Avg OAS (bp) Avg Price YTD TR

NAV OAS (bp) Yield # of Issuers # of Bonds Total Return Return Rating YTD TR

Current 399.07 289.64 7.49 452 1323 - - Basic Materials 5.9% 288 93.72 1.9% BB 1.5%

1W 401.30 283.35 7.28 452 1323 -0.56% -0.15% Consumer Goods 6.0% 138 96.02 1.5% B 2.0%

1M 400.18 284.91 7.22 452 1319 -0.28% 0.09% Consumer Services 32.4% 562 90.14 0.5% CCC 0.2%

3M 398.53 295.29 7.03 446 1310 0.13% 1.39% Financials 8.9% 220 94.60 1.1% CC -42.6%

6M 396.11 283.05 6.75 446 1330 0.75% 2.26% Health Care 14.0% 309 92.20 2.5% C 0.0%

1Y 381.17 296.70 7.11 428 1242 4.70% 6.98% Industrials 12.8% 164 95.55 0.6%

YTD 393.50 301.70 6.84 444 1323 1.41% 2.95% Oil & Gas 6.8% 131 97.55 4.0%

Technology 5.7% 166 95.17 0.6%

Cash vs CDX Basis (bps) Telecommunications 4.5% 1221 80.51 0.3%

CDX Cash Basis 6M Min 6M Max 6M Z Score 6M Percentile Utilities 3.1% 102 96.52 2.2%

5Y 315.72 289.64 26.08 1.78 58.10 -0.02 48%

1Y

CDX- Cash Basis

8.0 iBoxx HY Yield and Duration 3.5 450 iBoxx HY OAS vs CDX HY Spread 60

7.0 3.3 400 50

6.0 350 40

3.1

5.0 300 30

2.9

4.0 Yield (LHS) 250 20

Duration (RHS) 2.7 10 3.0 200

Jul-25 Sep-25 Nov-25 Jan-26 Mar-26 May-26 0

2.0 2.5 Jul-25 Sep-25 Nov-25 Jan-26 Mar-26 May-26 Jul-26

Jul-25 Sep-25 Nov-25 Jan-26 Mar-26 May-26 Jul-26 CDX HY iBoxx HY

60% HY Composite Rating Distribution

HY Avg Sector OAS by Rating 8% CDX HY vs iBoxx HY vs iBoxx HY Rate Hedged Total Returns 8000 7% 50% Basic Materials

7000 6% Consumer Goods

40% 6000 Consumer Services 5%

Core Financials 4%

30% 5000 Health Care 3%

4000 Industrials 2%

20% Oil & Gas 1%

Technology 0%

10% 2000 Telecommunications -1%

Utilities -2% 1000