What We Are Monitoring in US Credit

What We Are Monitoring in US Credit

What We Are Monitoring in US Credit 6 August 2026 | 5:32 AM Eastern Daylight Time

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August 5, 2026 What We Are Monitoring in US Credit

1d 1w 1m 3m 1y 3y 5y y 3y 1y 3y Name Current Chg Chg Chg Chg Pctl Pctl Pctl Pctl Pctl Min Min Max Max

CDX IG (Sprd) % 37% 27% 13% 21%

CDX IG NAV Basis (bp) - % 82% 86% 72% 61% -4.4 -7.3 -0.2 -0.1

CDX HY (Sprd) % 10% 12% 9% 11%

CDX HY NAV Basis (bp) - % 82% 70% 41% 34% -

CDX IG NAV Basis (pt) % 17% 12% 26% 37% 0.0 0.0 0.2 0.3

CDX HY NAV Basis (pt) % 17% 30% 58% 66% -0.3 -0.3 1.0 2.3

CDX IG 1m ATMF Vol (%) % 47% 37% 28% 28%

CDX HY 1m ATMF Vol (%) % 34% 22% 20% 19%

CDX IG 3m ATMF Vol (%) % 54% 39% 25% 25%

CDX HY 3m ATMF Vol (%) % 48% 31% 22% 21%

1d 1w 1m 3m 1y 3y 5y y 3y 1y 3y Name Current Chg Chg Chg Chg Pctl Pctl Pctl Pctl Pctl Min Min Max Max

CDX HY / IG 5y OTR Ratio % 5% 29% 66% 56%

CDX HY 3s5s Spread % 83% 85% 36% 34%

CDX IG 5s10s Spread % 50% 66% 46% 57%

1d 1w 1m 3m 1y 3y 5y y 3y Name Current 1y Min 3y Min Chg Chg Chg Chg Pctl Pctl Pctl Pctl Pctl Max Max

8/6/26, 1:02 PM What We Are Monitoring in US Credit

iBoxIG Yield (%) % 91% 92% 98% 91%

10y Treasury Yield % 92% 95% 99% 92% (%)

iBoxHY Yield (%) % 47% 45% 69% 63%

5y Treasury Yield (%) % 76% 85% 95% 88%

iBoxHY CDS-Cash - % 34% 33% - Basis (bp)

HYG Shares % 77% 75% 84% 85% Outstanding (mm)

HYG 3m ATMS Vol % 7% 4% 2% 2% (%)

HY / IG Cash Spread % 10% 42% Ratio

HY / IG 3-5y Cash % 44% 56% Spread Ratio

⇨ Cash - USD Rating Buckets (OAS Spread)

1d 1w 1m 3m 1y 3y 5y y 3y 1y 3y Name Current Chg Chg Chg Chg Pctl Pctl Pctl Pctl Pctl Min Min Max Max

1w 1m 1y 3y 5y 2010 2004 Name Current 1d Chg 3m Chg 1y Min 3y Min 1y Max 3y Max Chg Chg Pctl Pctl Pctl Pctl Pctl

5y Breakeven % 10% 9% Inflation (%)

Gold 4, % 82% 89% 97% 97% 3,332.40 1,818.95 5,405.00 5,405.00

1d 1w 1m 3m 1y 3y 5y y 3y 1y 3y Name Current Chg Chg Chg Chg Pctl Pctl Pctl Pctl Pctl Min Min Max Max

CDX IG 5y 3% BaseCorr % 95% 97% 90% 92%

CDX HY 5y 15% BaseCorr % 99% 99% 90% 92%