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 ...

Europe Emerging Markets Research 02 August 2024 J P M O R G A N EM Quick Take: Risk premia in Israel's local markets • Amid increased geopolitical risks in the region we assess risk premia in Israel's local markets. • We find risk premia are currently on par with October 2023 and in some cases even exceeding that period. • In FX, USDILS spot is trading significantly above its fair value, with xccy basis reacting for the first time since October, indicative of USD liquidity demand. • In rates, the spread of ...

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 ...

Global Technical Analysis Research 02 August 2024 J P M O R G A N Equity Index Technical Update Damaged charts and end-of-cycle market signals Technical Strategy Jason Hunter AC (1-212) 270-0034 jason.x.hunter@jpmorgan.com J.P. Morgan Securities LLC • The 2024 Institutional Investor Global Fixed Income Research Survey closes today, August 2nd. If our work has been useful to you over the past year, we humbly ask you to support J.P. Morgan in this year's survey here, in the USA: Technical Analysis, Developed ...

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].

Investment Rating - The report maintains a positive outlook on Agency MBS, with a raised total 2024 mREIT demand forecast to $20 billion from an initial $0 billion, indicating a favorable investment environment [31][38]. Core Insights - Agency MBS tightened this week due to a dovish FOMC press conference and weak economic data, resulting in rates falling by approximately 20 basis points across most of the stack [2][4]. - The market is currently pricing in slightly more than three rate cuts this year, which is expected to relieve some pressure on bank deposits and make MBS more attractive to FX-hedged buyers [2][4]. - mREITs added about $7 billion in Agency MBS in Q2, driven by capital raises and slightly higher leverage, indicating strong demand in the sector [31][38]. - The report highlights a trend of increasing "servicing-released" loans, where the servicing is sold at issuance, and emphasizes the importance of selecting loans serviced by known slower servicers for better protection [2][11][21]. Summary by Sections Agency MBS Overview - Mortgages tightened this week, with rates falling by around 20 basis points due to dovish signals from the FOMC and weak economic data [2][4]. - The BoJ's recent actions have not yet made MBS attractive to long-term investors, but a steepening of the US curve could provide support [2][7]. Market Dynamics - The shift in the loan seller landscape has increased the share of retail loans sold as servicing-released, which complicates the analysis of TPO share [11][21]. - Money manager inflows have been robust, with a notable shift back to index funds from active managers [7][8]. mREIT Activity - The top six mREITs added close to $7 billion in Agency MBS in Q2, with AGNC leading the way by adding $3 billion [31][32]. - mREITs are currently holding a significant portion of their Agency MBS in higher coupon categories, which allows them to meet dividend targets but also exposes them to convexity risk [31][35]. Rate Projections - The report discusses expectations for primary rates, projecting a modest decline of 20 to 60 basis points, depending on various market conditions [40][42]. - The analysis indicates that significant changes in the market would be required for primary rates to drop into more favorable levels for refinancing [40][42].