Index Roll Down and Relative Value: Expected Total P&L in Points-20260727
花旗·2026-07-27 21:04
Index Roll Down and Relative Value Index Roll Down and Relative Value Index Relative Value | Index | Tenor | Spread | Duration | 12m | Spread | Beta & Dur | BreakEven | Flattener | Curve Level | Dur Neutral | Equal Notl | 9 | | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | | | | | Roll Down | Beta (6m) | Adj Roll Down | | | | 12m P&L* | 12m P&L | 10 | | IG | 3Y | 33 | 2.74 | 0.57 | 0.99 | 0.21 | 21.3 | IG 3s5s | 21 | 0.08 | 0.43 | 11 | | IG | 5Y | 54 | 4.39 | 1.00 | 1.00 | ...