JPM Credit Strategy Week

J P M O R G A N North America Credit Research 24 July 2026

Credit Strategy Weekly Update High Yield and Leveraged Loan Research

North America Corporate Credit - Distressed, High Yield and Leveraged Loans Strategy Nelson Jantzen, CFA AC ( • High-yield bond yields rose 26bp to a 4-month high this week, and higher- J.P. Morgan Securities LLC quality spreads widened off a post-GFC low alongside a surge in rates and Tony Linares oil amid escalating tensions in the Middle East. As well, AI capex concerns ( produced sharply higher spreads in the IG hyper-scalers and HY data center complex. For context, July’s 74bp of widening in the HY HPC index J.P. Morgan Securities LLC (360bp, JHYSHPC) was accompanied by 55bp of widening in an IG AI Nimai Rathi Hyperscaler Liquid Basket (182bp, JPAIHYRS). These conditions are also ( being accompanied by the widest CCC spreads (889bp) since April 2025. HY J.P. Morgan India Private Limited bond yields and spreads rose 26bp and 6bp over the past week to 7.53% and Josh M Friedman 313bp, respectively. BB, B, and CCC spreads are -12bp, +6bp, and +131bp ( YTD, respectively. HY bonds are now providing a +1.67% gain in 2026 with Energy (+4.4%), Chemicals (+4.2%), and Telecom (+4.1%) outperforming. J.P. Morgan Securities LLC

• Leveraged loan prices declined $0.06 w/w and outperformed the broader market amid light capital market activity, a hawkish Fed narrative, and stability in sectors experiencing AI disintermediation concerns. Leveraged loan yields and spreads (3yr) rose 22bp and 3bp w/w to 9.01% and 491bp, respectively. Loan yields are notably above 9% for the first time in several years. The Leveraged Loan index is providing a +0.73% gain in July with Tech (+1.4%) Financials (+1.1%), and Chems (+1.1%) outperforming. The Loan index is providing a +2.22% gain YTD, or +3.11% ex-Software. • We published 2Q26 High-Yield Portfolio Analysis. Cash balances for HY funds decreased -23bp q/q to 3.51%, which is 6bp above the long-term average. As well HY funds’ allocation to loans (3.37%) decreased -26bp q/q to a low since 4Q23. HY mutual funds became slightly more conservatively positioned during 2Q and held a portfolio yield (7.15%) 10bp below the HY index. The avg. portfolio yield has been inside the index for 18 consecutive quarters with only 33% of funds carrying an above benchmark yield. Meanwhile, MFs increased exposure to BBs by +35bp q/q relative to index changes, decreased exposure to Bs by -44bp, and increased exposure to CCCs by +14bp. As such, HY MFs are now -3.1% UW BB, +2.8% OW Single Bs, and +0.3% OW CCCs. Note HY funds’ BB (51.3%) and CCC (9.9%) is at a record high and low, respectively. The 10 largest holdings at end of 2Q were CHTR, VG, TDG, BHCCN, NRG, SATS, LVLT, OMF, SUN, and THC. Note HY funds are 239bp UW a group of Fallen Angels and are still 199bp exposed to a group of Rising Stars. The largest industry weights are Energy (11.8%), Financials (11.6%), and Tech (7.9%). And yoy, the largest industry shifts were Telecom (+87bp), Healthcare (-72bp), Diversified Media (-70bp), Utility (+55bp), and Energy (-53bp). The largest industry OW is Financials (+135bp) with the largest UW in Healthcare (-86bp). Rising 156bp q/q, HY funds are only 10bp UW the rapidly growing High- Performance Computing (AI) sub-sector at a 295bp weighting.Meanwhile, HY funds maintained a 4.02% exposure to Software, which was 56bp below the HY index.

See page 43 for analyst certification and important disclosures.

Nelson Jantzen, CFA AC ( Nimai Rathi ( North America Credit Research JPMORGAN Credit Strategy Weekly Update J.P. Morgan Securities LLC 24 July 2026 Tony Linares ( Josh M Friedman (

Table Of Contents Credit Strategy Update. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3 Weekly Themes. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 2Q26 High Yield Fund Analysis . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7 Leveraged Finance Trading . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12 Rising Star Screen . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15 Fallen Angel Screen…