CD Player - 2026 Mid-Year Outlook: Market Themes and Relative Value Trade Ideas in the Credit Derivatives Market

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CD Player - 2026 Mid-Year Outlook: Market Themes and Relative Value Trade Ideas in the Credit Derivatives Market

J P M O R G A N Global Credit Derivative and Index

Research

17 June 2026

CD Player - 2026 Mid-Year Outlook

Market Themes and Relative Value Trade Ideas in the

Credit Derivatives Market

• Indices – Spreads have performed a round trip following the war in Iran and Credit Derivative and Index

are now back to the tights of the year. We position for further European Research

outperformance and decompression. Saul Doctor AC

• Bond-CDS Basis – We see stabilizing bond supply ex-hyperscalers and rising (44-20)saul.doctor@jpmorgan.com7134-1539

rates driving cash outperformance vs synthetics, most pronounced in European J.P. Morgan Securities plc

HY, where rich Crossover versus EUR HY cash supports a Macro Negative AC Dmytro Shelukhin, CFA

Basis Trade. (44-20) 7134-2151

• Curves – Long-end steepeners as carry trades, hedged with 1X2 put spreads. dmytro.shelukhin@jpmorgan.comJ.P. Morgan Securities plc

3s5s flatteners in Main and Xover: Main offers positive theta and downside

Pavan D Talreja, CFA AC convexity; Xover is a low cost way to position for increasing dispersion.

(1-212) 834-2051

• Tranches – Keep short correlation bias and use senior tranches to fund shorts pavan.talreja@jpmchase.com

elsewhere. Economics are favourable for decompression and dispersion J.P. Morgan Securities LLC

trades. We like shorts in 15-100 in HY and 0-6 in Main and 10-20 in Xover. Joao Araujo AC

(44-20) 3493-4213

• Options – Vol has compressed even more aggressively than spreads and we joao.fonsecadearaujo@jpmorgan.com

like long vol bias in CDS options. In ETF vol, use high implied correlation in J.P. Morgan Securities plc