Leveraged Loan Index Futures: A Primer

Research evidence excerpt

J P M O R G A N

Global Credit Research

10 August 2026

Leveraged Loan Index Futures

A Primer

On September 14, market participants will be able to access the USD leveraged

loan market through a new CME Credit Index Future. The future builds on the

success of other futures available in the credit market referencing high grade

and high yield bond indices as well as the established loan ETF and Total

Return Swap products.

Credit Derivative and Index

Research

Saul Doctor AC

(44-20) 7134-1539

J.P. Morgan Securities plc

Credit Index Futures provide a flexible and scalable instrument for managing

credit exposures. The standardised nature of the instrument, along with it being

exchange traded and centrally cleared, means that it has appeal to a broad array

of market participants and can provide cost-effective access to corporate

benchmarks.

Pavan D Talreja, CFA

(1-212) 834-2051

J.P. Morgan Securities LLC

Dmytro Shelukhin, CFA

(44-20) 7134-2151

J.P. Morgan Securities plc

In this note, we explain how the new futures will work and compare and

contrast them with the existing products available to market participants

looking to gain loan market exposure. We look at the underlying composition

of the reference index, along with that of the two largest ETFs and compare the

returns and drawdown experience over the past ten years.

North America Corporate Credit Distressed, High Yield and

Leveraged Loans Strategy

Nelson Jantzen, CFA AC

Exchange data will be available on our DataQuery portal along with Fair Value,

Premium-to-NAV and Excess Return indices. We will also include the product

in our quarterly roll update and volume analysis.

Figure 1: Credit Index Futures Open Interest

(1-212) 270-1169

J.P. Morgan Securities LLC

Figure 2: Leveraged Loan TRS versus ETF Returns

Excess Return Index

12000

10000

FECX

FUIG

IBIG

QIB

FGBC

FUHY

IBHY

BYH

DHB

DHY

FEHY

8000

6000

4000

104

IBXX_TRS

BKLN_UNF

SRLN_UNF

102

100

98

96

94

2000

0

Dec-23 Apr-24 Aug-24 Dec-24 Apr-25 Aug-25 Dec-25 Apr-26

Source: J.P. Morgan.

92

Dec-24

Mar-25

Source: J.P. Morgan.