02 August 2024 J P M O R G A N Global Rates Strategy Fabio Bassi AC (44-20) 7134-1989 fabio.bassi@jpmorgan.com J.P. Morgan Securities plc Elisabetta Ferrara (44-20) 7134-2765 elisabetta.ferrara@jpmorgan.com J.P. Morgan Securities plc Overview When direction is clear, it is all about speed and destination Increasing confidence on the broad disinflation dynamic across DM has driven a repricing of monetary policy expectations, with a sharp acceleration recently on combination of central bank rhetoric and macro ...

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 ...

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 ...