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研报英文原文证据摘录
2
7
9
10
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18
23
25
26
27
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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