Sales & Trading US Macro Credit Trading

Research evidence excerpt

Sales & Trading US Macro Credit Trading

Sales & Trading

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

29 June 2026

FOR INSTITUTIONAL & PROFESSIONAL CLIENTS ONLY – This material is from a Sales and Trading department and is not a product of the Research Department.

Upcoming Week Calendar Events: ISM Manufacturing (07/01), Change in Nonfarm Payrolls (07/02), Jobless Claims

(07/02)

Trader Commentaries

Mehul Manian (CDX on-the-run index)

• Relatively firmer week in synthetics vs the tech-led weakness in SPX/equities and issuance-led leak in cash. Rates also

steadily rallied this week (alongside oil), which took cash spreads wider as issuance digested poorly. For index, this led to a

decrease in risk buyers in IG, especially sub 51bps in IG and above $108.10 in HY. Asset mgrs were heavily 2 sided, better

buying risk in HY, protection in IG. The pair compressed ~1bp 5x1 in the week with hedge funds adding to compression

throughout it. Equity intraday vol felt elevated (spx term structure steep as front end vols are high), so index under-realized

moves to both sides of the range, especially as stocks fell. HFs played credit-equity vs rtya/ESA in that range using HY, net

better adding to the risk bid in index. There were consistent sellers of risk otherwise intraday that were able to supply the

street with risk sporadically, and in IGs a few skew lists printed as basis to NAV moved >3.5bps rich (index protection bought

vs singles). FINDEX also found better buyers of outright prot and vs IGs as priv credit headlines brewed early in the week;

NAVs barely moved, so skew returned back to +3bps to close the week (from low +2bps). The tone feels like we can continue

to see bear compression with tech and HG issuance leading and given index had decompressed so much already default

adjusted.