JPMorgan Econ FI-US Fixed Income Overview Will April CPI boost Feds confidence-此为英文文档

1

PhoebeWhiteAC(1-212)834-3092phoebe.a.white@J.P.MorganSecuritiesLLC

LiamLWash(1-212)834-5230

liam.wash@

J.P.MorganSecuritiesLLC

HollyCunningham(1-212)834-5683holly.cunningham@

J.P.MorganSecuritiesLLC

NorthAmericaFixedIncome

Strategy

10May2024

USFixedIncomeOverview

WillAprilCPIboostFed’sconfidence?

•Inaweekdevoidoffirst-tierdataandwithoutamaterialchangeinthetoneofrecentFedspeak,theTreasurycurvetwistedflatterwithfront-endyieldsrisingwhilespreadsgroundtighteracrossmortgagesandcorporatecredit.FocusnextturnstotheAprilCPIreport

•Economics:InitialclaimfilingsrosetotheirhighestlevelssinceAugust,butlikelyexacerbatedbyspringbreakandholidaydistortions.Lookingahead,weexpectAprilheadlineCPIrose0.38%whilecoreincreased0.33%.Welookforasofteningacrossmostcomponents,withcoregoodsCPIclosetoflatwhilesheltershouldremainelevat-ed.Wethinkretailsalesrose0.2%fortheimportantcontrolgroupinApril

•Treasuries:Weremainpatientbeforeaddingduration:thefirstFedcutisnotpricedinuntilearlyfallandcarryispunitivelynegative.Stronger-than-expectedinflationdatashouldcausetheintermediatesectortounderperform,whileasharpweakeninginthelabormarketislikelytodrivethe5s/30scurvesteeper.Westayneutralbenchmarkbreakevens,butinitiatesyntheticforwardwidenersusingJul-24/Jul-25TIPSforrela-tivevalue

•InterestRateDerivatives:Givenrisksaroundtheupcominginflationdata,weturnneutralonvolatilityandrecommendunwindingoutrightbearishgammapositions.WiththeNovemberelectiondatenowwithinthebenchmark6mexpirywindow,wethinkthereismoreroomforapost-electionvolatilitypremiumtobebuiltinoverthenear-term.Weremainbiasedtowardswiderswapspreads.Werecommendinitiateexposuretoa7s/10s100:75weightedswapspreadcurvesteepener

•SecuritizedProducts:Mortgageswerebettersupportedbydecliningratesandlowervol.YTDAgencyMBSsupplyistrackingmoderatelyhigherthanourforecast.Werevisehigherour2024HPAforecastfrom0%to4%.WethinkthereisvalueinstudentloanABS

•Corporates:HGbondspreadsremainrangebounddespiteheavyissuancethisweekremindingusthatsupplytypicallyflowsdemand.Totalreturnshaveturnedpositiveagainwhichisleadingtoareboundinfundinflows

•Near-termcatalysts:FedChairPowellspeaks(5/14),AprCPI(5/15),Aprretailsales(5/15),MayFOMCmeetingminutes(5/22)

MustReadThisWeek

BoE:Adovishturnamidstrongerdata,

InaweekdevoidoffirsttierdataandwithoutamaterialchangeinthetoneofrecentFed-

AllanMonks,5/9/24

Crosscurrencybasis2Q24Outlook,FabioBasietal.,5/8/24

speak,theTreasurycurvetwistedflatterwithfront-endyieldsrising4-6bpwhilespreadsgroundtighteracrossmortgagesandcorporatecredit.Thedatawedidreceivegenerally

Japan:BoJtochoosethelesseroftwo

disappointedexpectationsbutdidnotmeaningfullymovetheneedleonoureconomictrack-

evils,AyakoFujita,5/8/24

ing.Initialclaimsrosefrom209kto231kthisweek,thehighestsinceAugust2023,butthe

SpreadStrategySpotlight,Stephen

jumpcouldhavebeeninfluencedbyholidayandspringbreakeffects(seeUS:Initialclaims

Dulakeetal.,5/6/24

jump,likelyfromspringbreakeffects,DanielSilver,5/9/24).MeanwhilethepreliminaryUniversityofMichigansurveyshowedasizeabledropinconsumersentimentfrom77.2to

AndNowHearThis…

KeyMacroTakeawaysfromthe2023IMF/WorldBankSpringMeetings,Jan

67.4whileshort-andmedium-terminflationexpectationsroseto3.5%and3.1%,respec-tively(seeUS:Consumersentimentdrops,inflationexpectationsrise,DanielSilver,

Loeysetal.,5/8/24

5/10/24).

REPLAY|Rate-atouille-ADiscussionof

What’sCookinginCreditMarketsGiven

3

5Y

10Y

10

5

0

PhoebeWhiteAC(1-212)834-3092phoebe.a.white@J.P.MorganSecuritiesLLC

LiamLWash(1-212)834-5230

liam.wash@

J.P.MorganSecuritiesLLC

HollyCunningham(1-212)834-5683holly.cunningham@

J.P.MorganSecuritiesLLC

NorthAmericaFixedIncome

Strategy

10May2024

triggerfornear-termvolatility.Additionally,althoughweexpectimpliedvolatilityinswap-tionsmarketstotradecheaptoourfairvalueestimateinarangeboundyieldenvironment,impliedsinsomesectorsarenowcheapenoughthatweturnneutralonshortexpiryvolatilityandrecommendunwindingoutrightshortgammapositions.Moreover,wenotethatthebenchmark6MexpirysectoroftheswaptionmarketnowexpiresaftertheUSPresidentialelectionandanalysisbyourderivativescolleaguessuggestavolatilitypremiumislikelytocontinuetobepricedintomarketsovertime(Figure4).Thus,simple“impliedminusreal-ized”volmetricswillleadtoerroneousapparentmispricings.

Turningtospreads,wethinktermfundingpremiumwillremainelevatedoverthenearterm,leavingsector-specificinfluencestodominatethespreadcurve.Herewefindthe7-yearsectorlookstoowidewhilethe10-yearsectortoonarrowrelativetofairvalue.MoreoveritisworthnotingthatintheTYsector,frontcontractCTDbondstendtocheapenonaspreadbasisastheyexitthedeliverablebasket,andthisfurthersupportsasteeperswapspreadcurve.Therefore,givenrelativevalueconsiderationsaswellasfavorablefuturesmarkettechnicals,werecommendinitiatingexposuretoasteeper7s/10s1:0.75weightedswapspreadcurve,wheretheriskweightingisdesignedtohedgemacroexposuretotermfundingpremium(seeInterestRateDerivatives).

Figure3:Thesensitivityofyieldlevelstoshortterminflationexpectationsisnearahistorichigh

Rolling3Mbetabetweenweeklychangesinthe10YUSTyieldandweeklychangesinthe2Yinflationswapyield;unitlessratio

2.0

1.5

1.0

0.5

0.0

-0.5

May17Sep18Feb20Jun21Oct22Mar24

Source:J.P.Morgan

Figure4:Cumulativeelectionpremiainthe2020cyclereachedapeakwhenabout10-12post-electionbusinessdayswereincorporatedinto6Mexpiryoptions’lives

Cumulativeelectionpremia*in6Mx5Y,6Mx10Y,and6Mx30Yswaptionscalculatedfor2020election-impactedbusinessdays**,#days

15

30Y

0246810121416

Source:J.P.Morgan

*SeefootnoteinInterestRateDerivativesFigure5fordetailsonourmethodforcalculatingelectionpremia

**Election-impactedbusinessdaysaredefinedasthenumberofbusinessdayswhere6MexpiryswaptionsexpireafterthePresidentialelection

Mortgagespreadswerewellsupportedoverthepastweekasratesralliedandvoldeclined,withlowercouponstighteningmodestlywhileOASshigherupthestackwereclosertoflat.Empirically,lowercouponsaretradinglongerthanourOADs.Whilesomeofthismaybeduetoadecentamountofdirectionalitybetweenratesandvolnotcapturedinourmodel,wethinktheresidualistechnicalinnatureandrelatedtotheprobabilityofindexersreceiv-inginflowsatlowerrates.Turningtodemand,1Q24callreportsindicatebankbuyinginAFS/HTMwassubduedcomparedtotheFed’sH.8indicator-likelyduetoseasonalsandahighershareoftradingaccountactivity-butitwasstillnotaweakquarter,asitappearsbanksareonpacetoreplacepaydownsandthensome.MeanwhilemREITsescapedtherecentratessell-offwithonlyminorhitstotheirpositionsasmortgagesavoidedpainfulconvexityselling.Whiletheyremainpositiveonthelong-termdirectionofrates,mREITearningsrevealtheyexpecthighervolatilityoverthenear-termandthislimitshowaggres-sivetheycanbeonleverage,withmortgagepurchasestiedtofurtherFedclarity.Finallyon

4

YoYHPA

7.0%

5.0%

4.0%

0.0%

PhoebeWhiteAC(1-212)834-3092phoebe.a.white@J.P.MorganSecuritiesLLC

LiamLWash(1-212)834-5230

liam.wash@

J.P.MorganSecuritiesLLC

HollyCunningham(1-212)834-5683holly.cunningham@

J.P.MorganSecuritiesLLC

NorthAmericaFixedIncome

Strategy

USFixedIncomeOverview

10May2024

supply,thefirstfourmonthsoftheyearhavetrackedmoderatelyhigherthanourforecast.Thoughwearestillintheseasonalupswingwithrespecttopooledissuance,wethinkpur-chaseapplicationshavelikelytoppedoutatthispointandshouldgraduallydeclinefromhere(seeAgencyMBS).

Figure5:Wereviseour2024HPAforecastfrom0%to+4%

YoYHPAforecastsacrossbullish,positive,base,negative,andcrisisscenarios*;%

15%10% 5% 0% -5%-10%-15%

-20%

10.0%7.5%

New2024F

Prev.2024F

-5.0%-5.0%

-17.1%-17.1%

Negative

Bullish

Positive

Base

Crisis(GFC)

Source:J.P.Morgan,CoreLogic,NAR,BLS

*CrisisscenariolistedforcomparisontotheGFC.ForecastsareYoY%changeofQ4HPI

Meanwhilehomepriceshavesurprisedtotheupsideinrecentmonths,pushingYTDHPA

to2.0%.Wearepasttheperiodoflocalstresswithhigherratesandweakseasonals,andit

isunlikelywewillseeahugepushlowerinhomepricesnationallyasweheadintomore

favorablespringandsummermonths,evenasmortgagerateshoverslightlyabove7%.Con-

sequently,wepushour2024HPAforecastfromflatto+4%,leavingroomforunderperfor-

manceifratesgohigher,butalsoweighingtheupsideimpulsefromstrongequitymarket

performance(Figure5,seeHomePriceMonitor:Anotherjump,JohnSim,5/7/24).The

resilienceinhomepricescontinuestosupportanalreadytightCRTsector,whichhasbene-

fitedfromnegativeorlimitednetsupply(Figure6).Evenwithslowerprepaymentsandlessdeleveraging,tenders(andpotentialfuturecalls)willlimitCRTsupply.Spreadsarelikely

toberangebound.Wewouldcontinuetoleantowardsseasonedpaper,giventheiraccumu-latedequityshowbetterlosscoverageratiosthannewissue,butit’slessobviousatthispointasthespreaddifferentialacrossvintageshasnarrowed.Demandhasbeenrobustandweareseeingsomesecuritizedproductcross-overinterestasinvestorsarelookingtowardsCRTM1sasABScomparablesgivensimilarspreads(seeRMBSCredit).

ThetonewithinABSmarketsremainsupbeatandnewissuescontinuetoseestrongdemandwithpricingconsistentlyinsideofguidance.Ourindicativespreadsontheweekwerebroad-lyfirmacrossABSsectorstoslightlybetteronprivatecreditstudentloans,whichhaslaggedthegeneraltighteningacrossplainvanillaABSinrecentmonths.WethinkthereremainsattractiveopportunityforspreadpickupinthestudentloanABSwithprivatecreditofferinghighquality,primeconsumercreditexposureandFFELPofferingessentiallyUScreditrisk(withU.S.DepartmentofEducationguaranteeingatleast97%oflosses).Thatsaid,FFELPABSismoreexposedtospeedpickupasnewreliefprogramsareimplementedwhilepre-paymentsonprivatecreditstudentloansarelikelytoremainsluggishinahighforlongerenvironment(seeABS).

5

Spreadz-scores

PhoebeWhiteAC(1-212)834-3092phoebe.a.white@J.P.MorganSecuritiesLLC

LiamLWash(1-212)834-5230

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J.P.MorganSecuritiesLLC

HollyCunningham(1-212)834-5683holly.cunningham@

J.P.MorganSecuritiesLLC

NorthAmericaFixedIncome

Strategy

10May2024

Figure6:Mortgagecreditandcorporatebondsremainsattherichendoftheirhistoricalrange,whileotherSPGsectorsremainneartheir5-yearaverages

Relativecheapness;z-scores–std.devfrom5yraverage

3

2

1

0

-1

-2

-3

-4

Jun'21Jun'22Jun'23Nov'23May'24

Current

Coupon

MBSIndexCMBSKA2DUS10/9.5

ABS

CMBSLCFAAA

Jumbo

CMBSBBB-CRTM2CRTB2HighYield

Corp

HighGradeCorp

Source:J.P.Morgan

Note:CRTusesdatafrom2021onwards.Z-scoresasof5/9/2024

Turningtocorporatecredit,HGbondspreadsmovedtowardsthetighterendofthe100-

107bprangeJULIhasheldforthepasttwomonthsdespitethedeclineinyieldsandsurge

insupply(Figure7).Withyieldsofftheirhighs,thishasbeenanegativeforforeigndemand,withourFX-hedgedyieldpickupindicatormovingsharplylowerandasovernightnetbuy-

ingslowedinrecentdays.However,wedonotexpectthistopersistfortoolongasyieldsstillremainattractiveandthepositivereturnsof1.1%lastweekwithstillveryattractiveyieldsshouldbringindemandmorethanenoughtooffsetanyslowdowninoverseasbuying.Turningtoissuance,supplypickedupnotablypost-earnings,with$51bnofissuanceinthefirstthreedaysoftheweekmarkingthelargestweeklysupplytallysinceFebruaryand42issuerstappingthemarketthemostsinceSeptember2021.Witheconomicdatasurprisingtothedownsideinrecentsessions,thereisaconcernweakerdatamaybeanegativeimpactoncreditmarketsthrougheitherloweryieldsorconcernsovercorporateearnings(seeCor-porates).

However,onthelatter,wenotecontinuedresiliencedownthecreditspectrumwheresuchstresswouldlikelyshowup.Defaultrateshavemovedlowerinrecentmonthstobelowlong-termaveragesanddefaultvolumesto9-monthlowsdespitetwoyearsofincreasinglyrestrictiveFedpolicy.MoreoverAprilsawaratingsupgradetodowngraderatioof1.75:1,thesecondstrongestmonthlyshowingoverthepast20months.Indeedtherecentearningsseasonhasbeenoneofthestrongestinyearsas3.4xasmanycompanieshavebeatenEBIT-DAexpectationsashavemissed,while3.1xasmanycompanieshaveprovidedpositiveguidancethanhaveprovidednegativeguidance.Thusagainstthebackdropofaquietmacrocalendar,itisunsurprisingthatHYyieldspreadsdeclined4bpto342bp,only7bpabovetheirpost-GFClows.Thatsaid,thevolumeofbondstradingwideof1,000bpincreasedforthesecondtimeinfourmonthsoffalowsinceMay2022toanew3-monthhighamidmostlyidiosyncraticcreditstress.ThishasledageneralaversiontowardsCCCsandacrowdingeffectintohigher-qualitycredit,resultinginoveralldecompressionacrossratings(seeHighYield).

Meanwhile,leveragedloanspreadsdecreased6bpovertheweekto466bpagainsttheback-dropofrobustcapitalmarketsandastheassetclassbenefitedfromthethirdlargestweeklyretailinflowonrecord($2bn).Thiswaveofloanrefinancing/resetsandthelackofnewloancreationhasledtomarginreductionwhilealsocrimpingtheabilityforCLOmanagerstobuildpar,reducingCLOequityreturn.Despitethis,YTDUSCLOequitycashflowsremainstrongat15%annualizedastheinterestratecomponentcontinuestobebeneficialtoreturns(Figure8).CLOequityremainsausefulalternativeforlong-terminvestors,keepingin

6

PhoebeWhiteAC(1-212)834-3092phoebe.a.white@J.P.MorganSecuritiesLLC

LiamLWash(1-212)834-5230

liam.wash@

J.P.MorganSecuritiesLLC

HollyCunningham(1-212)834-5683holly.cunningham@

J.P.MorganSecuritiesLLC

NorthAmericaFixedIncome

Strategy

USFixedIncomeOverview

10May2024

mindthatreturnsareessentiallyleveringahigh-for-longpolicystancewhichcouldchange,andthatthecreditcomponentofthereturncontinuestoerode.AnydovishimpulsefromweakerdatacouldtakethewindsoutofthesailsforCLOfloating-ratetrades,especiallywithspreadssotight.Evenso,tighterliabilityspreadshaveopenedthedoortorefinance/resetforCLOmargincostreductionandextensions,improvingequityeconomics(seeCLOs).

Figure7:HGspreadsmovedlowerdespiteapickupinsupplypost

earningsandandasyieldsmovedlower

JULIyields(rhs;%)versusWeeklyUSIGsupply(lhs;$bn)byweekoftheyear

5.8%5.7%5.6%5.5%5.4%5.3%

5.2%

70

60

50

40

30

20

10

0

WeeklyUSIGSupply(lhs;$bn)

IGYield(rhs;%)

Week19

Week18

Week17

Week16

Week15

Week14

Week13

Week12

Week11

Week10

Week9

Week8

Week7

Week6

Week5

Week4

Week3

Week2

Week1

Source:J.P.Morgan.Dealogic

Figure8:CLOequitycashflowreturnhasbecomereliantonhigh-for-longerpolicystance

ContributionofSOFR/LIBORandspreadstoCLOequitycashflows*

100%80%60%40%20%0%

Oct-11

Oct-12

Oct-13

Oct-14

Oct-15

Oct-16

Oct-17

Oct-18

Oct-19

Oct-20

Oct-21

Oct-22

Oct-23

SOFR/LiborContributionSpreadContribution

Source:J.P.Morgan

*Basedonassetspreads(blendofprimaryandsecondaryBB/Bloanpricing)andablendof1m/3mTermSOFR(SinceJuly2023)or1m/3mLibor(priortoJuly2023)

Finally,turningtoCREmarkets,CMBSspreadsgroundtighterthispastweekalongsidecomparablecorporatesandmortgages.Officeheadlinescontinuetohighlightthedeeplychallengedstateofthemarket,butwenotetheNewYorkofficeisexpectedtoholdupbetterrelativetoothermajormetrosduetostrongleasingperformanceandloweravailabilityrates.Risingdelinquencyratesandspecialservicingrateshavealsobeenafocusasanincreasingnumberofofficeloansfacepaymentissues.ButthesenumbersonlytellpartofthestoryasmodificationratesforprivatelabelCMBSofficeloanshavebeengrowingalongwithseri-ousdelinquencyrates.Re-defaultspostmodificationremainaconcern,ashistoricaldatashowthatduringtheGFCthepercentageof2005-08vintageofficeloansthatweremodifiedandsubsequentlyliquidatedduetore-defaultsat38%.WhilepropertypricedeclinesmaybemoreseriousthiscyclethanduringtheGFC,CMBSofficeloansarelessleveredandthedefaultcycleislikelytobemoredrawnoutthanlast.Morebroadly,modificationshavebeenincreasingthroughouttheCRECLOmarket,whichtogetherwithDLQloanbuyouts,helpstostaveoffthefailureofanynoteprotectiontests.Evenintheeventofsuchtestfailures,AAAsareinapositiontobemadewholegivenretainedinterestaccumulationwhileexten-sionriskbecomesmoreprevalentdownthestack(seeCMBS).

7

PhoebeWhiteAC(1-212)834-3092phoebe.a.white@J.P.MorganSecuritiesLLC

LiamLWash(1-212)834-5230

liam.wash@

J.P.MorganSecuritiesLLC

HollyCunningham(1-212)834-5683holly.cunningham@

J.P.MorganSecuritiesLLC

NorthAmericaFixedIncome

Strategy

10May2024

Figure9:Crosssectormonitor

Currentlevels,changesince5/3/24,1-yearaverage,minimum,maximum,andcurrentz-scoreforvariousmarketvariables;unitsasindicated

S&P500

E-STOXX

FTSE100

Nikkei225

2YUSTreasury

2YGermany

2YJGB

10YUSTreasury

10YGermany

10YJGB

2YEURparswap/gov'tspd

2YUSDparswap/gov'tspd

EURSOFR-OISspd

USDSOFR-OISspd

1YEUR-USDxccybasis

1YUSD-JPYxccybasis

30YFNCL4.5%FrontTsyOAS

10YAAAnewissueCMBSspdtoswaps*3YAAAcardABSspdtoSOFR

JULIportfoliospdtoTsy

JPMUSHYindexspdtoworstEMBIGDivspdtoworst

CEMBIBroadspdtoworst

iBoxxEuroHGspdtogovies*

USFinancialsspdtoTsy

EuroFinancialsspdtogovies

10YAAAmunispdtoTsy

10YAAtaxablemunispdtoTsy*EUR/USD

USD/CHF

USD/JPY

Currencies

JPMTrade-weightedUSDindexGBI-EMGlobalFXindex

Bitcoinspot

Goldfutures($/toz)

Brentoilfutures($/bbl)

LMECopper3Mrollingforward($/tonne)

Chgfrom5/31.9%

3.3%

2.7%

0.0%

4.9

3.6

2.8

3.1

1.1

0.5

1.8

0.5

-1.1

-0.2

-0.9

-0.1

-0.3

-4.0

0

0.2

3.3

-7.1

-4.3

-0.2

-1.1

-0.9

-4.4

-2

0.0%

0.3%

1.9%

0.1%

0.2%

-3.9%

2.9%

-0.2%

0.9%

Z-score1.7

2.0

3.8

1.3

0.5

0.3

2.5

0.9

0.3

1.5

0.7

1.4

1.4

-0.9

1.1

1.6

0.0

-1.2

-0.4

-1.4

-1.6

-1.1

-1.8

-1.7

-1.7

-1.9

-1.2

-2.1

-0.4

1.1

1.9

0.9

-0.7

1.4

2.6

0.0

3.1

Current

5223

5085

8434

38229

4.85

2.95

0.29

4.47

2.53

0.93

183

-7

174

-1

9

-10

35

108

60

101

324

367

229

71

93

107

-179

63

1.076

0.908

155.88

132.10

79.72

60501

2375

82.79

10004

1Yavg4642

4490

7627

34329

4.72

2.88

0.05

4.16

2.47

0.70

173

-11

154

0

0

-22

35

133

63

127

405

408

292

85

128

140

-148

90

1.082

0.888

146.79

130.52

80.26

40515

2029

82.78

8533

1Ymin4110

4014

7257

29122

3.91

2.31

-0.10

3.31

1.91

0.39

128

-19

124

-2

-19

-36

24

96

53

99

317

322

221

69

92

106

-193

63

1.048

0.836

134.42

126.80

78.77

24929

1817

71.84

7899

5254

5085

8434

40888

5.22

3.25

0.29

4.99

2.97

0.99

201

-6

180

5

12

-10

56

165

76

163

518

491

348

99

172

171

-99

105

1.124

0.921

157.67

133.90

82.57

73157

2398

96.55

10136

1-yearrange5/10/245/3/24

Fundingspreads

(bp)

Globalequities

(level)

Creditspreads

(bp)

Sovereignpar

rates(%)

Commod-ities

1Mrange

1Ymax

Source:J.P.Morgan,BloombergFinanceL.P.,ICE,IHSMarkit

*5/09/24levelsforAAACMBS,iBoxxEuroHG,andAAtaxablemunis;5/10/24levelsforallothers

8

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J.P.MorganSecuritiesLLC

HollyCunningham(1-212)834-5683holly.cunningham@

J.P.MorganSecuritiesLLC

NorthAmericaFixedIncome

Strategy

USFixedIncomeOverview

10May2024

Figure10:YTDreturnsonvariousfixedincomeindices;%

Index

Sincelastpublication(5/3/2024)

Year-to-Date(asof5/10/2024)

USDCash

AggregateGABIUSTAggUST1-5yUST5-10yUST10y+

0.11%0.57%0.08%0.01%0.01%0.32%

2.0%0.7%-2.0%0.0%-2.4%-6.7%

UKGermanyItaly

JapanEMSovereign

-0.15%-0.12%-0.14%-2.04%0.57%

-5.2% -4.5% -1.7%-11.6%0.9%

Agencies FN3.0% FN2.5% FN2.0%ABSFixed

-0.01%0.08%0.12%0.22%0.07%

0.0%-3.5%-3.9%-4.3%2.0%

HGBondsAAAAA

ABBBFin

Non-Fin

HYBondsBB

BCCC

0.09%0.03%0.10%0.08%0.09%0.12%0.08%-0.05%0.03%-0.05%-0.53%

-1.4%-3.6%-2.2%-1.6%-1.1%0.0%-2.1%2.2%1.5%2.7%3.8%

EMCorporate CLOIEJUSTINE

0.27%0.23%0.15%

2.1%3.4%-0.5%

Source:J.P.Morgan

9

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liam.wash@

J.P.MorganSecuritiesLLC

HollyCunningham(1-212)834-5683holly.cunningham@

J.P.MorganSecuritiesLLC

NorthAmericaFixedIncome

Strategy

10May2024

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