Investment Rating - The report maintains a bullish duration bias over the medium term, indicating a favorable outlook for long-duration investments [5][16][31]. Core Insights - The global easing cycle is underway, with most central banks expected to cut rates, particularly the ECB, which is projected to implement further cuts in September [9][10][14]. - The €STR curve is pricing in cumulative cuts of 28bp and 70bp by September and December meetings, respectively, and around 160bp by year-end 2025, reflecting a dovish outlook [10][11][14]. - The report highlights a significant decline in yields, particularly in the Euro area, with 1Yx1Y €STR yields dropping approximately 65bp in July [5][9]. - Tactical profits have been taken in various trades, including the Dec24/Dec25 Euribor curve flattener and 1Yx5Y A/A-50 receiver spread, indicating active management of positions in response to market conditions [5][17][19]. Summary by Sections Global Rates Strategy - Yields have declined sharply due to a dovish shift in central bank policies, driven by a deteriorating macro backdrop and weakening labor markets [5][9]. - The report notes a bull-steepening dynamic in the €STR forward yields, with a significant drop in yields observed [6][9]. - The Fed is expected to initiate an easing cycle in September, with a cumulative cut forecast of 125bp this year [9][14]. Tactical Recommendations - The report recommends holding a long-end steepening view and entering into various swap curve steepeners, reflecting a strategy to capitalize on expected yield movements [5][36][37]. - Tactical profits have been taken in several positions, including the Dec25/Dec26 conditional bull steepener, indicating a proactive approach to managing risk and returns [21][23]. - The report suggests hedging against potential hard landing scenarios through conditional bull-belly cheapeners [31][35]. Market Dynamics - The report discusses the changing dynamics of swap flies, noting a decline in their positive directionality to yields, which is typical during easing cycles [23][25]. - Swap spreads have widened across the curve, with a modest outperformance in the belly, reflecting market reactions to macroeconomic conditions [38][40]. - The report emphasizes the importance of monitoring macroeconomic indicators, as they will influence the volatility and direction of swap spreads [41][42].

Global Emerging Markets Research 01 August 2024 J P M O R G A N For Dollar's Sake: Emerging Markets Defy De-dollarization • US dollar bank deposits in Emerging Markets are an overlooked but critical barometer of the US dollar's role as a global reserve currency. • This is because dollar-denominated deposits represent the genuine confidence of the private sector in the dollar as a store of value, unlike official holdings, which may be swayed by geopolitical and other non-economic considerations. • Dollar-den ...

Global Quantitative and Derivatives Strategy 1 August 2024 Relative Value Single Stock Volatility Ranking Results for 3M tenor options Global Quantitative and Derivatives Strategy Esmail AfsahAC (44-20) 7742-9231 esmail.afsah@jpmorgan.com J.P. Morgan Securities plc Davide Silvestrini (44-20) 7134-4082 davide.silvestrini@jpmorgan.com J.P. Morgan Securities plc See the end pages of this presentation for analyst certification and important disclosures. J.P. Morgan does and seeks to do business with companies c ...

J P M O R G A N Global Quantitative & Derivatives Strategy 02 August 2024 European Q-Score with a Derivatives Overlay Options strategies combining Quant + Derivatives models • Buy Calls – buy option contracts for the right to buy UBS, Intesa Sanpaolo, Deutsche Bank and Rio Tinto are the stocks that screen most attractive in the JPM European Q-Score stock-picking model; they have a good combined rank. Additionally, these stocks also rank as relatively cheap based on their option richness. The combination of ...

Investment Rating - The report indicates that risk premia in Israel's local markets are currently viewed as sufficient, with a strong likelihood of intervention from the Bank of Israel if geopolitical tensions escalate further [1][14]. Core Insights - Risk premia in Israel's local markets are on par with or exceed levels observed in October 2023, reflecting heightened geopolitical risks [1][4]. - The USDILS spot is trading significantly above its fair value, with a deviation of 17%, the highest since October 2023 [4][14]. - The spread of 10-year ILGOVs to 10-year USTs has reached 95 basis points, the widest in 10 years, and 124 basis points above the average spread since 2015 [1][14]. - The Bank of Israel is expected to intervene in the FX market if USDILS approaches 4.00, similar to the $8.2 billion sold in October 2023 [1][14]. - Current yields on 10-year ILGOVs are considered 3-4 standard deviations cheap compared to forward-looking fair value estimates [17][19]. Summary by Sections FX Market Analysis - The USDILS is trading with a significant deviation from fair value, indicating a demand for USD liquidity [4][8]. - FX implied yields have dropped significantly below the Bank of Israel's policy rate, suggesting market stress [8][10]. Bond Market Insights - The 10-year ILGOV yield has increased by 21 basis points to 4.95%, underperforming compared to global trends [14][19]. - The 10-year ILGOV ASW spreads are at 39 basis points, well above the long-run average of 8 basis points since 2012 [14][16]. - Bottom-up models suggest that current bond yields are 94 basis points cheap to end-2024 fair value and 125 basis points cheap to mid-2025 fair value [17][19]. Market Expectations - The market is pricing only a modest 50 basis point cutting cycle for the Bank of Israel, contrasting with expectations for a deeper Fed easing cycle [19][20]. - The persistently rising spread of market-priced BoI-Fed policy rate spreads indicates elevated front-end ILS rates premia [19][20].

Fund Flows Summary - Euro investment grade funds saw an inflow of €1.1bn (0.4% of AUM) for the week ending 31 July [1][6] - Sterling investment grade funds experienced an outflow of £71mm (0.1% of AUM) for the same week [1][10] - European high yield funds registered an inflow of €428mm (0.5% of AUM) [1][15] - European strategic funds (ex Target Date) saw an inflow of €302mm (0.2% of AUM) [20] Euro Investment Grade Funds - Weekly inflow of €1.1bn (0.4% of AUM) includes €49mm (0.1% of AUM) from ETFs and €602mm (0.6% of AUM) from short duration funds [6] - Provisional June flows show an inflow of €3.8bn (1.2% of AUM) [6] - Cumulative flows from Jan 2024 stand at €25bn (8.7% of AUM) [7] Sterling Investment Grade Funds - Weekly outflow of £71mm (0.1% of AUM) includes £41mm (1.4% of AUM) from ETFs and £140mm (1.7% of AUM) from short duration funds [10] - Provisional June flows indicate an outflow of £976mm (1.8% of AUM) [10] - Cumulative flows from Jan 2024 show an outflow of £1.8bn (3.2% of AUM) [11] European High Yield Funds - Weekly inflow of €428mm (0.5% of AUM) includes €57mm (0.5% of AUM) from ETFs and €66mm (0.8% of AUM) from short duration funds [15] - Provisional June flows show an outflow of €47mm (0.1% of AUM) [16] - Cumulative flows from Jan 2024 stand at €6.8bn (8.6% of AUM) [17] European Strategic Funds (ex Target Date) - Weekly inflow of €302mm (0.2% of AUM) includes €34mm (0.1% of AUM) from subordinated credit funds and €36mm (0.3% of AUM) from crossover funds [20] - Provisional June flows indicate an inflow of €856mm (0.6% of AUM) [21] - Cumulative flows from Jan 2024 show an inflow of €10.6bn (7.1% of AUM) [21] European Credit Target Date Funds - Weekly outflow of €27mm (0.1% of AUM) [24] - Provisional June flows show an outflow of €505mm (0.9% of AUM) [25] - Cumulative flows from Jan 2024 stand at an outflow of €2.4bn (3.8% of AUM) [26]

Europe Credit Research 02 August 2024 J P M O R G A N European Credit Weekly Warning lights are flashing • We are revising our FY24 euro investment grade and high yield spread targets upwards to 150bp and 425bp, respectively, implying 25bp and 58bp of widening from yesterday's levels. • In our view, the market is facing a potent cocktail of: i) divergence in spreads from rates markets and equity volatility; ii) weaker economic data; iii) more balanced technicals with risks to demand from lower yields; iv) g ...

02 August 2024 J P M O R G A N Global Rates Strategy Euro Cash Tactical duration & OW intra-EMU ex-France/€-SSA Aditya Chordia AC (44-20) 7134-2132 aditya.x.chordia@jpmorgan.com J.P. Morgan Securities plc Matteo Mamprin (44-20) 7134-0329 matteo.mamprin@jpmorgan.com J.P. Morgan Securities plc • DM yields rallied sharply since our last publication two weeks ago, driven by mixed data in the Eurozone, growing confidence in an imminent Fed rate cut and with BoE delivering the first cut • We took profit on our ta ...

Investment Rating - The report indicates a bearish outlook for major equity indexes, particularly the S&P 500, NASDAQ 100, and Russell 2000, suggesting a potential shift towards a broader bear market [1][3][5]. Core Insights - The S&P 500 Index is showing low-frequency momentum divergence sell signals, which have historically identified late-cycle environments, particularly when yield curves are inverted [1][4][5]. - The NASDAQ 100 Index has broken key trend lines and shows little evidence of an upside reversal, with bearish momentum prevailing below specific resistance levels [1][8]. - The Russell 2000 Index has triggered a momentum divergence sell signal and is expected to test lower support levels in the late summer to early fall [1][10]. Summary by Sections S&P 500 Index - The S&P 500 is set to trigger low-frequency momentum divergence sell signals, indicating a late-cycle environment. Key resistance is at 5446-5449, with support levels at 5307 and 5226 [1][4][5]. - The bearish trend remains intact while below the 50-day moving average, with expectations of stabilization near lower support levels [1][5]. NASDAQ 100 Index - The NASDAQ 100 has rejected longer-term trend channels and achieved initial downside targets, but lacks evidence for an upside reversal. Key resistance is at 18725-18890, with longer-term support at 16444-17420 [1][8]. - The index is expected to face further downside pressure, particularly during the historically weak September-October period [1][8]. Russell 2000 Index - The Russell 2000 has seen a second rejection of its initial upside target zone, triggering a momentum divergence sell signal. Key support levels are at 1888-1898, with resistance at 2176-2186 [1][10]. - The index is anticipated to test lower support levels into the late summer and early fall, indicating a continuation of bearish price structure [1][10].

Investment Rating - The report does not explicitly provide an overall investment rating for the industry or specific bonds. Core Insights - The report highlights the spreads of various sovereign EUR bonds compared to the USD curve, indicating potential investment opportunities based on their relative pricing and z-scores [17][19][20]. Summary by Sections Cheapest Bonds to the Curve - The report identifies the highest spreads to the cross-currency adjusted USD curve, with IVYCST 4.875% 32€ showing a spread of 171 basis points, while EGYPT 6.375% 31€ has a spread of 164 basis points [20][21]. - The report lists several bonds with significant spreads, including EGYPT 5.625% 30€ at 161 basis points and IVYCST 5.875% 31€ at 154 basis points [20][21]. Richest Bonds to the Curve - The report details the lowest spreads to the cross-currency adjusted USD curve, with PEMEX 5.5% 25€ showing a spread of -198 basis points, indicating it is the richest bond [22]. - Other notable bonds include ROMANIA 2.875% 24€ at -161 basis points and ISRAEL 2.5% 49€ at -119 basis points [22]. Issuer Pages - The report provides detailed issuer pages, including specific bonds and their respective spreads, z-scores, and historical data, allowing for a comprehensive analysis of each issuer's bond performance [17][18][19][20][21][22][23][24][30][35][42][49][51][60]. Emerging Markets Strategy - The report emphasizes the importance of monitoring the cross-currency adjusted spreads as a key indicator for investment decisions in emerging markets [17][18]. Historical Trends - The report includes historical data on bond spreads, showing trends over time and highlighting significant changes in spreads and z-scores for various bonds [17][20][22][30][35]. Conclusion - The report provides a detailed analysis of sovereign EUR bonds, focusing on their spreads relative to the USD curve, which can guide investment decisions in the current market environment [17][19][20][22].