2Q26 Leveraged Loan Fund Analysis: Cash balances above average, Financials largest OW, Software exposure elevated

Research evidence excerpt

2Q26 Leveraged Loan Fund Analysis: Cash balances above average, Financials largest OW, Software exposure elevated

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

28 July 2026

2Q26 Leveraged Loan Fund

Analysis

Cash balances above average, Financials largest OW,

Software exposure elevated

• Asset allocation: Loan fund cash balances decreased off their highest level North America Corporate Credit -

in 4 years albeit are still 39bp above the long-term average. Specifically, Distressed, High Yield and

we estimate average cash balances for leveraged loan funds decreased Leveraged Loans Strategy

53bp q/q to 4.35%. For context, loan fund cash balances peaked at 7.5% in Nelson Jantzen, CFA AC

4Q16 and were as low as 2.2% in 4Q14. These conditions occurred alongside (1-212) 270-1169

a 100bp increase in exposure to leveraged loans (87.5%), a -48bp q/q nelson.r.jantzen@jpmorgan.com

J.P. Morgan Securities LLC

decrease in corporate bond exposure to 5.6%, and a +1bp increase in exposure

US High Yield & Leveraged Loan

to other assets (2.6%) such as CLOs, ETFs, and credit derivatives. Meanwhile, Strategy

HY funds’ allocation to loans decreased -23bp q/q to 3.37%, a low since 4Q23.

Tony Linares

• Ratings exposure: Loan funds shifted towards a more aggressive risk (1-212) 270-3285

profile quarter over quarter. Accounting for changes in the index, funds tony.linares@jpmorgan.com

decreased their exposure to BB loans by -47bp q/q, increased exposure to J.P. Morgan Securities LLC

Single Bs by +57bp, and decreased exposure to CCCs by -10bp. Year over Nimai Rathi

year, the largest addition relative to index exposure has been B2s (+199bp), (91-22) 6157 5898

with the largest reduction in BBs (-172bp). Loan funds are now UW BBs nimai.rathi@jpmchase.com

J.P. Morgan India Private Limited