JPM High-Yield and Leveraged Loan Morning Intelligence

Research evidence excerpt

North America Credit Research

11 August 2026

JPM High-Yield and Leveraged Loan Morning Intelligence

--Pre-open relevant levels: S&P Futures +7pts to 7784; 5-year Treasury 4.43% (+2bp early am); 10-year

Treasury 4.72% (+2bp early am); WTI Crude +$1.96 to $84.1 (+$3.9 d/d); Brent Crude +$1.97 to $89.7

(+$4.2 d/d); Shanghai Comp -0.82%; Euro-Stoxx +0.03%; HY yields 7.36% (+3bp d/d); HY spreads 303bp

(-2bp d/d); Loan 3-yr yields 8.92% (+5bp d/d); Loan 3-yr spreads 490bp (0bp d/d)

--Monday’s Fund Flows: HY ETFs -$211mn, HY actively managed -$60mn, Loan ETFs +$124mn

(+$9mn Loan, +$115mn CLO), Loan actively managed -$25mn. Inflows for HY and Loan funds week-todate total an estimated +$210mn and +$770mn, respectively, following inflows the prior week totaling

+$2.0BN and +$797mn.

--Most Actively Traded Issuers: CHTR, OI, WHR, VG, JANEST

--Trace and Dealer Activity: The JPM DM $US estimate for HY traded Monday is $7.4bn vs. $11.1bn

YTD avg. This compares to FINRA's reported $14.4bn of HY traded Monday. Dealers net bought $347mn

of bonds from clients and $1602mn of bonds over the past 5 days.

--Bond Agency Actions: The # of HY issuers upgraded in July outnumbered downgrades for the

fourth time in five months. And agency trends continue to be more positive for higher quality issuers than

lower-quality issuers. Specifically, July experienced 15 upgrades impacting $27.8bn and 12 downgrades

totaling $19.8bn, registering a 1.25:1 ratio of upgrades-to-downgrades by issuer and 1.40:1 by volume. The

most upgrades in July came from Financials (4) while the most downgrades came from Housing (3) and

Cable/Satellite (3). Year-to-date, the HY bond upgrade-to-downgrade ratio by issuer is 1.03:1 versus

1.03:1 in 2025, 1.22:1 in 2024, 1.00:1 in 2023,1.35:1 in 2022, 2.31:1 in 2021 and 0.34:1 in 2020. The

YTD upgrade-to-downgrade ratio for BB, B, and CCC bond issuers is 1.36:1, 1.25:1, and 0.53:1,

respectively, versus 1.76:1, 0.84:1, and 0.60:1 in 2025. The LTM HY upgrade-to-downgrade ratio by

issuer count is 1.06, which is comparable to a low and high over the last 2 years of 0.95 (Sept-25) and 1.28

(Mar-25).…