JPM EM Corporate Strategy Daily

Research evidence excerpt

JPM EM Corporate Strategy Daily

J P M O R G A N Global Credit Research

07 July 2026

Our index team will be enhancing the security-level analytics and risk calculation Emerging Markets Corporate

models used across the EMBI, CEMBI, JACI, MECI, and CACI index series in the Strategy

coming months (link). The upgrades are being implemented to ensure the analytics Yang-Myung Hong AC

more accurately reflect specific instrument structures and their standard market (1-212) 834-4274

treatment. These enhancements are expected to begin implementation in August ym.hong@jpmorgan.com

2026. J.P. Morgan Securities LLC

Alisa Meyers

(1-212) 834-9151

For CEMBI Broad Diversified, the impact is expected to be minimal, with our alisa.meyers@jpmorgan.com

index team estimating only about 1bp change in spread. There will be more J.P. Morgan Securities LLC

meaningful implications on EMBIG Div. spread, which is estimated to tighten by Dhawal U Mehta

-24bp mainly due to the exclusion of defaulted securities from spread calculations. (91-22) 6157 3779

As a result, the headline spread difference between the two indices will compress dhawal.mehta@jpmchase.com

to within 10bp. J.P. Morgan India Private Limited

There are six changes as outlined below; the first two are expected to drive index-

level changes.

• Fixed-to-Variable securities: Reset date will be treated as maturity; bonds

approaching the reset date will be excluded from indices. “To Worst” analytics

will be replaced by “WCR” (Worst of Next Call and Reset)

• Defaulted securities: Index-level aggregation of analytics will be

discontinued; returns will continue to be aggregated

• Floating Rate Notes: Analytics calculations will be updated to a discount

margin based approach