Index Tranche Analytics Report: Daily Summary

Research evidence excerpt

Index Tranche Analytics Report: Daily Summary

Index Tranche Analytics Report Citi Structured7/28/2026Credit

Daily Summary

Tranche SNAC Spreads

5Y IG41 Equity 5Y IG43 Equity 5Y IG45 Equity 5Y IG41 3-7% 5Y IG43 3-7% 5Y IG45 3-7%

3,500 600

5Y HY41 Equity 5Y HY43 Equity 5Y HY45 Equity 5Y HY41 15-25% 5Y HY43 15-25% 5Y HY45 15-25%

3,000 500

2,500

2,000

1,500

1,000

100 500

0 0

Jul-25 Aug-25Sep-25Oct-25 Nov-25Dec-25 Jan-26 Feb-26 Mar-26Apr-26May-26Jun-26 Jul-25 Sep-25 Nov-25 Jan-26 Mar-26 May-26

1,000 5Y IG41 7-15% 5Y IG43 7-15% 5Y IG45 7-15% 90 5Y IG41 15-100% 5Y IG43 15-100% 5Y IG45 15-100%

5Y HY41 25-35% 5Y HY43 25-35% 5Y HY45 25-35% 5Y HY41 35-100% 5Y HY43 35-100% 5Y HY45 35-100%

900 80

800 70

30 300

200 20

100 10

Jul-25 Aug-25Sep-25Oct-25 Nov-25Dec-25 Jan-26 Feb-26 Mar-26Apr-26 May- Jun-26 Jul-25 Sep-25 Nov-25 Jan-26 Mar-26 May-26 Jul-26

Analyst: Philip Dobrinov. Source: Citi, Bloomberg, IHS Markit. This data may contain financial information and is not investment research, nor does it constitute financial, economic,

legal, tax or accounting advice. This data is provided for information purposes only and does not constitute an offer or solicitation to purchase or sell any financial instruments. The

contents of this data are not based on your individual circumstances and should not be relied upon as an assessment of suitability for you of a particular product, security, or

transaction. The information in this data is based on generally available information and, although obtained from sources belie ved by Citi to be reliable, its accuracy and completeness

are not guaranteed. Past performance is not a guarantee or indication of future results. © 2026 Citigroup Global Markets Inc. Member SIPC. All rights reserved. Citi and Citi and Arc 1