HG Credit Foreign Demand Monitor: FAB index up despite hawkish FOMC as foreign yields lower but the path forward for FAB looks to be lower

Research evidence excerpt

HG Credit Foreign Demand Monitor: FAB index up despite hawkish FOMC as foreign yields lower but the path forward for FAB looks to be lower

J P M O R G A N North America Credit Research

22 June 2026

HG Credit Foreign Demand

Monitor

FAB index up despite hawkish FOMC as foreign yields

lower but the path forward for FAB looks to be lower

• FAB: Our JPM Foreign Attractiveness of USD IG Bonds (FAB) index rose North America Corporate Credit -

6bp WoW to 52bp. The move higher was driven by local government yields Investment Grade Strategy

moving 11bp lower versus USD IG Corp yields down just 1bp last week. Nathaniel Rosenbaum, CFA AC

However, a relatively new development was hedging costs moving 5bp higher (1-212) 834-2370

as the hawkish bias from the FOMC led to hedging costs moving higher for nathaniel.rosenbaum@jpmorgan.com

all currencies last week (ex-CNY). Consequently, the gap between the J.P. Morgan Securities LLC

Forward FAB and the FAB index has inverted for the first time since February Silvi Mantri AC

2025 i.e. there is no further upside priced for the FAB index over the next 6m (1-212) 834-7239

silvi.mantri@jpmchase.com

from a monetary policy perspective (see appendix for methodology). J.P. Morgan Securities LLC

• EMEA: For EUR investors, the USD IG yield pickup rose by 4bp to +52bp, Matthew Bailey

close to the highest since February 2025. This was despite hedging costs up (44-20) 7134-2384

3bp to 1.50%, ticking up from its recent 1.5y lows. For GBP investors the matthew.a.bailey@jpmorgan.com

J.P. Morgan Securities plc

yield pickup was unchanged WoW at +54bp as the the 7bp rise in hedging costs

was offset by an 8bp decline in 10y GBP yields. USD IG Corps at the long-end

continue to screen more attractive versus EUR corporates for most currencies