Sales & Trading EMEA Macro Credit Trading

Research evidence excerpt

Sales & Trading EMEA Macro Credit Trading

Sales & Trading

EMEA Macro Credit Trading J P M O R G A N

22 June 2026

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Trader Commentaries

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iTraxx On-the-Run

• Quiet week with the US on holiday on Friday and volumes coming down significantly into the week-end as iTraxx slowly

started leaking on Friday afternoon despite some more rumors of a ceasefire agreed between Israel and Lebanon after

hitting new series tights at the start of the week. CTAs turning buyers temporarily at the start of the week to take profits

but coming back to sell on Thursday driving an illiquid, squeezy move back to the low 51s, RMs notably selling some

blocks of protection on the week while some HFs bought blocks into the end of the week.

• XO/Main continuing to compress into the weekend after pausing temporarily as CTAs resuming selling. Snr/Main

catching a bid closing the week at 2.85 as dealers started bidding it as skew looked attractive. IG/Main stabilizing between

1-1.5 all week as both indices traded range-bound.

Cash & ETF

• This week was mainly driven by rolls on my side with credit futures expiring today. Traded decent roll volumes (180m in

HY and 500m in IG) which were 2-way in LXY and skew to better seller of the roll in AHW (net people rolled their

longs). Since that, sep contracts are trading cheaper than the ETF, implying -50bps as funding in LXYU6 and -30bps in

AHWU6. Some banks and HF stepped in to take advantage of it but it felt relatively muted. The buyer of the basis both in