Index Tranche Analytics Report: Daily Summary

Research evidence excerpt

8/6/2026

Index Tranche Analytics Report

Daily Summary

Citi Structured Credit

Tranche SNAC Spreads

3,500

5Y IG41 Equity

5Y IG43 Equity

5Y IG45 Equity

5Y HY41 Equity

5Y HY43 Equity

5Y HY45 Equity

600

3,000

5Y IG41 3-7%

5Y IG43 3-7%

5Y IG45 3-7%

5Y HY41 15-25%

5Y HY43 15-25%

5Y HY45 15-25%

500

2,500

400

2,000

300

1,500

200

1,000

100

500

0

Aug-25

1,000

900

Oct-25

Dec-25

5Y IG41 7-15%

5Y HY41 25-35%

Feb-26

Apr-26

5Y IG43 7-15%

5Y HY43 25-35%

Jun-26

Aug-26

5Y IG45 7-15%

5Y HY45 25-35%

800

0

Aug-25

90

80

Dec-25

Feb-26

Apr-26

Jun-26

Aug-26

5Y IG41 15-100%

5Y IG43 15-100%

5Y IG45 15-100%

5Y HY41 35-100%

5Y HY43 35-100%

5Y HY45 35-100%

Oct-25

Feb-26

Jun-26

70

700

60

600

50

500

40

400

30

300

200

20

100

10

0

Aug-25

Oct-25

Dec-25

Feb-26

Apr-26

Jun-26

Aug-26

0

Aug-25

Dec-25

Apr-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

Design are trademarks and service marks of Citigroup Inc. or its affiliates and are used and registered throughout the world.

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