iBoxx HY Snapshot

Research evidence excerpt

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iBoxx HY Snapshot

Philip Dobrinov

Credit Derivative Strategy

20-Aug-26

iBoxx HY

Current

1W

1M

3M

6M

1Y

YTD

NAV

OAS (bp)

Yield

# of Issuers

# of Bonds

Total Return

CDX HY (5Y) Total

Return

403.03

402.58

401.30

395.65

397.00

382.20

393.50

286.27

280.95

283.35

289.50

302.49

310.33

301.70

7.35

7.34

7.28

7.36

6.81

7.11

6.84

456

452

445

437

432

444

1323

1305

1300

1261

1323

0.11%

0.43%

1.86%

1.52%

5.45%

2.42%

0.06%

0.73%

2.37%

3.35%

7.96%

3.86%

CDX

Cash

Basis

6M Min

6M Max

6M Z Score

6M Percentile

303.39

286.27

17.12

2.14

58.10

-0.93

12%

Cash vs CDX Basis (bps)

5Y

Sector

Sector Weights

Avg OAS (bp)

Avg Price

YTD TR

Basic Materials

Consumer Goods

Consumer Services

Financials

Health Care

Industrials

Oil & Gas

Technology

ns

Utilities

5.4%

6.4%

31.5%

8.9%

14.2%

13.2%

6.7%

5.9%

4.6%

3.2%

455

122

574

229

291

165

119

147

1285

95

93.50

96.49

90.33

94.87

92.94

95.93

97.96

95.96

80.37

96.95

2.5%

2.8%

1.7%

2.0%

3.7%

1.7%

5.1%

1.5%

0.9%

3.0%

Rating

YTD TR

2.5%

3.1%

0.9%

-41.1%

0.0%

BB

B

CCC

CC

C

1Y

8.0

iBoxx HY Yield and Duration

7.0

6.0

450

3.3

400

50

350

40

300

30

3.1

5.0

2.9

4.0

Yield (LHS)

Duration (RHS)

3.0

2.0

Aug-25

Oct-25

60%

Dec-25

Feb-26

Apr-26

70

3.5

iBoxx HY OAS vs CDX HY Spread

20

250

2.7

2.5

Aug-26

Jun-26

10

200

Aug-25

Oct-25

HY Composite Rating Distribution

7000

50%

6000

40%

5000

30%

4000

20%

3000

2000

10%

1000

0%

BB

B

CCC

CC

CDX- Cash Basis

60

Dec-25

Feb-26

CDX HY

0

Aug-25

Apr-26

Jun-26

iBoxx HY

Basic Materials

Consumer Goods

Consumer Services

Core Financials

Health Care

Industrials

Oil & Gas

Technology

ns

Utilities

0

B

CCC

Dec-25

Feb-26

Apr-26

Jun-26

Aug-26

9%

CDX HY vs iBoxx HY vs iBoxx HY Rate Hedged Total Returns

8%

7%

6%

5%

4%

3%

2%

1%

0%

-1%

Aug-25

Oct-25

Dec-25

Feb-26

Apr-26

Jun-26

HY Avg Sector OAS by Rating

BB

Oct-25

CC

C

CDX HY

iBoxx HY

iBoxx HY Rate Hedged

Analyst: Philip Dobrinov. Source: Citi, Bloomberg, IHS Markit. This snapshot contains thematic content and is not intended to be investment research. Nor does it constitute financial, economic, legal, tax or accounting advice. This snapshot is provided for information purposes only and

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