J.P.Morgan CEMBI Monitor

研报英文原文证据摘录

J.P.Morgan CEMBI Monitor

July 2, 2026

CEMBI Monitor

June 2026

CEMBI 1H 2026 Performance is +2.2% CEMBI Broad Default Rate Increased to 1 %

For Emerging Markets, the 1H 2026 return for the CEMBI Broad Diversified was +2.2%, and the EMBIG Diversified return was +3.3%. Brazilian industrial issuer Braskem SA (BRASKM) filed for emergency protection against creditors, and its

Meanwhile, in Developed Markets, the GCI IG USD DM return was +1.0%, and the GCI HY USD DM return was +1.9%. For the CEMBI Broad instruments were downgraded to D by S&P. Based on the index methodology, BRASKM, with total indexed debt of

Diversified, spread return was the main driver of the positive performance (+1.8%) versus the UST component (+0.4%). YTD, index spreads $6.8 billion, exited the CEMBI Indices at the June month-end rebalance. For additional details, see Index Alert:

tightened by 16 bps to 162 bps. Within the EM corporate credit buckets, HY (+4.0%) outperformed IG (+1.0%). At the issuer level, Ecopterol Treatment of Braskem (S&P downgrade to ‘D’).

(+9 bps), New World China (+8 bps), and Standard Chartered (+5 bps) were the top three leaders, while CSN (-3 bps), Global Logistic Prop (- In addition, Paraguayan consumer issuer Frigorifico Concepcion SA (FRICON) missed a payment on a lending

2 bps), and Aragvi Finance (-2 bps) were the top three laggards, contributing to the index return. For more details on return attribution, facility and cross-defaulted. FRICON 28s (USP4R54KAA49), with a total notional of $300 million, exited the CEMBI

please refer to page 12. Broad Indices at the June month-end rebalance.

EM Credit Index Analytics Update The 2026 CEMBI Broad default rate increased by 60 bps to 1.0%, and the 2026 CEMBI Broad HY default rate