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

13 July 2026

• A moderately active week in US tranches, where the desk saw ~$300mm in flows across HY and IG tranches

• Flows this week continue to lean concentrated in HY tranches, where the desk saw 2-way flow in HY junior mezz and better

buying in senior mezz tranches. Hertz CDS continued to bear flatten(~ 5.5 pts wider in the 5Y) over the course of the week,

driving some of the underperformance in HY equity and flattening in HY curves. We continue to like trades here that fade

structural flows and the recent uptick in dispersion. For hedges, we continue to like setting up a HY15-100 short here (as

presented at this week’s Macro Credit Conference) and for carry we like steepeners in HY39/46, 40/46, and 41/46, offering

attractive entry points and high annual default breakevens. Please reach out to the desk for the full trade idea for both trades.

• Flows were muted in IG tranches this week with better selling interest in the 15-100. IG rolls flattened as Whirlpool (S44 and

below) continues to bear steepen and 5s10s saw some profit-taking as well as some new flatteners set with IG index trading

sub 50

Jesse Schleeper / Theo Frelinghuysen (iBoxx TRS)

• Quiet week in iBoxx for IBOXHY and IBOXIG, small IBOXIG to sept was lifted, with funding unchanged despite the weaker

tone in IG cash.

• iBoxx loans traded two way to Mar, as software becomes topical and loans has outperformed over the last two weeks. Implied

financing in Iboxx is hovering around SOFR-40, the lowest discount since early January. We are a better buyer of loans to

Sept.

• Indicative 3m funding levels below:

• IG: SOFR-10

• HY: SOFR-15

• LOANS: SOFR-40

Thomas Rahier (TRS/Futures/Financing)