J.P. Morgan Macrosynergy Quantamental System (JPMaQS)

Research evidence excerpt

J.P. Morgan Macrosynergy Quantamental System (JPMaQS)

Products & Services J P M O R G A NJPMaQS

03 August 2026

Household Credit

New category groups: Household credit ratios and household credit expansion

JPMaQS now provides point-in-time household sector credit ratios and growth rates, published under the "Sectoral credit ratios"

and "Sectoral credit expansion" category groups. The initial release covers ten currency areas and splits household debt into its

two main components: mortgage liabilities and consumer credit.

• Sectoral credit ratios: the stock of household and NPISH mortgage and consumer-credit liabilities, each expressed as a %

of a 4-quarter moving average of nominal GDP. Documentation

• Sectoral credit expansion: the corresponding flow measures — net new borrowing over 1-, 2- and 4-quarter horizons,

expressed as a % of GDP — for both mortgage and consumer credit. Documentation

Example of related trading factor

A composite "housing pressure" gauge, combining the point-in-time mortgage flow ratio with excess house-price growth, has

historically been a useful negative leading indicator for interest-rate-duration (IRS receiver) returns at the 2-, 5- and 10-year

tenors, making these categories directly relevant to rates positioning as well as broader household-sector risk assessment.