CDX.IG S47 Roll Preview: An early peek at the upcoming roll

Research evidence excerpt

J P M O R G A N

North America Credit Research

05 August 2026

CDX.IG S47 Roll Preview

An early peek at the upcoming roll

CDX.IG Series 47 will begin trading on Monday, September 21st with a

December 20, 2031 maturity for the five-year contract.

Credit Derivative and Index

Research

Based on the information available at the time of writing, we currently expect

four constituent changes in the new CDX.IG series. Roll impact:

Composition change +2.6bp, maturity extension +5.6bp, total +8.2bp.

Pavan D Talreja, CFA AC

Names expected to enter the on-the-run index : Carnival Corp., NVIDIA,

and Vistra Operations are expected to enter the index under the CDS liquiditybased inclusion rules. We also expect SpaceX CDS to become eligible for index

entry under the same liquidity criteria by the time of the roll. SpaceX CDS

began trading in mid-June and has traded actively since then. As additional

weeks of trading data accumulate ahead of the liquidity cutoff date, we expect

SpaceX to meet the eligibility requirements. Even if trading volumes for

SpaceX decline to one-third of their current average, we estimate the name

would still qualify for index inclusion.

Saul Doctor

Names expected to leave the on-the-run index: S&P Global, in consultation

with market participants, is reviewing index constituents to assess their

suitability for inclusion. We expect the results of this review later this month.

We anticipate the review will result in Newmont, Weyerhaeuser, Johnson

Controls, and Darden Restaurants exiting the on-the-run index, reflecting a

combination of limited liquidity, low debt outstanding, and tight spreads.

Roll fair value: We estimate the fair value for CDX.IG Series 47 5y at 8.2bp

wider than Series 46. The six-month maturity extension accounts for +5.6bp of

this widening, while portfolio composition changes contribute the

remaining +2.6bp.

Note that while these represent our best estimates for the roll spreads currently,

the many moving parts involved mean that we will likely need to update these

estimates in the weeks ahead, particularly following the publication of DTCC’s

Final Liquidity List and Markit’s Provisional List of index constituents.