Citi Research June 15, 2026 Securitized Products Dashboard Relative Value and Technicals Eugene BelostotskyAC ABS/Non-Agency MBS eugene.belostotsky@citi.com +1 (212) 816-8432 Wei GuanAC Securitized Products wei.guan@citi.com +1 (212) 723-2682 Jeffrey BerenbaumAC CMBS jeffrey.s.berenbaum@citi.com +1 (212) 816-8399 Aritra BanerjeeAC EU Securitized Products aritra.banerjee@citi.com +44 203 569 4544 Maria ZhangAC Non-Agency MBS maria.yunxi.zhang@citi.com +1 (212) 816-4213 Ratul RoyAC CLOs ratul.roy@citi.com +44 ...

Index Roll Down and Relative Value Expected Total P&L in Points Philip Dobrinov Credit Derivative Strategy +1 212 723 2118 15-Jun-26 | CDX IG | | | | | | | --- | --- | --- | --- | --- | --- | | | | | Rolling Down the Spot Curve | | Spot Duration | | | 3m | 6m | 9m | 12m | | | 3Y | 0.14 | 0.28 | 0.41 | 0.55 | 2.86 | | 5Y | 0.26 | 0.52 | 0.76 | 0.98 | 4.52 | | 7Y | 0.33 | 0.65 | 0.96 | 1.26 | 5.97 | | 10Y | 0.37 | 0.74 | 1.10 | 1.46 | 7.80 | | CDX HY | | | | | | | | | | Rolling Down the Spot Curve | | Spot Du ...