Index Roll Down and Relative Value: Expected Total P&L in Points

Research evidence excerpt

Index Roll Down and Relative Value: Expected Total P&L in Points

Philip DobrinovIndex Roll Down and Relative Value Credit Derivative Strategy

Expected Total P&L in Points +1 21230-Jul-26723 2118

CDX IG

Rolling Down the Spot Curve Spot Duration

3m 6m 9m 12m

3Y 0.15 0.30 0.44 0.59 2.73

5Y 0.27 0.53 0.77 1.01 4.38

7Y 0.33 0.66 0.98 1.29 5.83

10Y 0.37 0.74 1.11 1.47 7.64

CDX HY

3Y 0.88 1.77 2.66 3.56 2.61

5Y 1.21 2.40 3.56 4.68 4.02

CDX HY BB

5Y 0.87 1.74 2.65 3.56 4.53

iTraxx Europe Main

3Y 0.13 0.26 0.39 0.52 2.80

5Y 0.28 0.56 0.82 1.06 4.54

7Y 0.35 0.69 1.01 1.33 6.10

10Y 0.39 0.77 1.15 1.52 8.11

iTraxx Europe Crossover

3Y 0.77 1.56 2.34 3.11 2.69

5Y 1.26 2.48 3.66 4.77 4.17

*Assuming no defaults

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

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