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

Research evidence excerpt

Index Roll Down and Relative Value

Philip Dobrinov

Credit Derivative Strategy

20-Aug-26

Expected Total P&L in Points

CDX IG

3Y

5Y

7Y

10Y

3m

0.13

0.26

0.33

0.38

Rolling Down the Spot Curve

6m

9m

0.27

0.40

0.51

0.75

0.65

0.96

0.75

1.11

12m

0.53

0.97

1.26

1.47

Spot Duration

3m

0.83

1.19

Rolling Down the Spot Curve

6m

9m

1.67

2.51

2.35

3.47

12m

3.35

4.55

3m

0.85

Rolling Down the Spot Curve

6m

9m

1.70

2.56

12m

3.40

3m

0.12

0.27

0.34

0.38

Rolling Down the Spot Curve

6m

9m

0.24

0.36

0.54

0.78

0.67

1.00

0.76

1.13

12m

0.48

1.02

1.30

1.50

3m

0.72

1.23

Rolling Down the Spot Curve

6m

9m

1.44

2.16

2.41

3.55

12m

2.87

4.62

2.69

4.35

5.80

7.61

CDX HY

3Y

5Y

Spot Duration

2.58

4.01

CDX HY BB

5Y

Spot Duration

4.53

iTraxx Europe Main

3Y

5Y

7Y

10Y

Spot Duration

2.74

4.48

6.05

8.05

iTraxx Europe Crossover

3Y

5Y

Spot Duration

2.65

4.15

*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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