Index Roll Down and Relative Value: Expected Total P&L in Points-20260721
花旗·2026-07-21 22:26
| CDX IG | | | | | | | --- | --- | --- | --- | --- | --- | | | | | Rolling Down the Spot Curve | | Spot Duration | | | 3m | 6m | 9m | 12m | | | 3Y | 0.14 | 0.28 | 0.42 | 0.56 | 2.76 | | 5Y | 0.26 | 0.52 | 0.76 | 0.99 | 4.42 | | 7Y | 0.33 | 0.66 | 0.98 | 1.28 | 5.87 | | 10Y | 0.37 | 0.74 | 1.10 | 1.46 | 7.69 | | CDX HY | | | | | | | | | | Rolling Down the Spot Curve | | Spot Duration | | | 3m | 6m | 9m | 12m | | | 3Y | 0.86 | 1.72 | 2.59 | 3.46 | 2.64 | | 5Y | 1.20 | 2.38 | 3.52 | 4.63 | 4.07 | | CDX HY BB | ...