JPM Daily Credit Strategy Update: The potential outcomes for foreign demand for USD HG look worse post Fed; AI Capex 2.0 webinar tomorrow

Research evidence excerpt

JPM Daily Credit Strategy Update: The potential outcomes for foreign demand for USD HG look worse post Fed; AI Capex 2.0 webinar tomorrow

Nathaniel Rosenbaum, CFA AC (1-212) 834-2370 Pavan D Talreja, CFA (1-212) 834-2051 North America Credit Research J P M O R G A Nnathaniel.rosenbaum@jpmorgan.com pavan.talreja@jpmchase.com

J.P. Morgan Securities LLC J.P. Morgan Securities LLC 23 June 2026

Silvi Mantri (1-212) 834-7239

silvi.mantri@jpmchase.com

J.P. Morgan Securities LLC

JPM Daily Credit Strategy Update

The potential outcomes for foreign demand for USD HG look worse post Fed; AI Capex 2.0

webinar tomorrow

There are many varied drivers of foreign demand for USD HG bonds and we try to simplify the key drivers into our Foreign

Attractiveness of Bonds (FAB) index which compares USD HG yields to foreign sovereign yields in 20x different currencies and

accounts for the 3m rolling FX hedge conversion premium as well as the relative importance of each domicile AUM wise to

weigh each FX pair. Building upon this framework is also our Forward FAB index, which takes the same yield inputs but instead

uses current market pricing for what the 3m rolling FX hedge should be in 6 months from today if current market pricing of

relative central bank moves proves correct (see last page of Foreign Demand report for full methodology).

Since the middle of last year, the Forward FAB has been correctly indicating that the FAB index would move higher and in turn

we’ve seen foreign demand pickup in recent months. This trend had been stalling more recently and last week it inverted with the

Forward FAB below the FAB index by 7bp for the first time since February 2025 implying limited upside and, if anything,

downside risk to the FAB index and thus foreign demand from here.