At Any Rate

Global Rates: Fall Roundup - Leaves down, Rates up

Mike Feroli, Jay Barry, Srini Ramaswamy, discuss the latest in US economics and rates strategy.  Mike offers his view on the outlook for the economy and the Fed over coming months, and the conditions required to slower the pace of Fed hikes. Jay discusses the shifting demand backdrop in the Treasury market and how this could affect the yield curve, as well as liquidity environment and the potential for a Treasury buyback facility. Srini digs into the outlook for swap spreads, bank balance sheets, and implied volatility.

 

Speakers:

Michael Feroli Jay Barry Srini Ramaswamy

This communication is provided for information purposes only. Institutional clients can view the related report at

https://www.jpmm.com/research/content/GPS-4233044-0 https://www.jpmm.com/research/content/GPS-4221745-0 https://www.jpmm.com/research/content/GPS-4232549-0 https://www.jpmm.com/research/content/GPS-4238988-0 https://www.jpmm.com/research/content/GPS-4239154-0 https://www.jpmm.com/research/content/GPS-4232596-0 https://www.jpmm.com/research/content/GPS-4220597-0

please visit www.jpmm.com/research/disclosures for important disclosures. © 2022 JPMorgan Chase & Co. All rights reserved.

Global FX: Markets vs. policymakers, redux

Arindam Sandilya and Ben Shatil discuss the FX outlook leading up to next week’s BoJ meeting and following events in the UK.

This podcast was recorded on October 21, 2022.

This communication is provided for information purposes only. Institutional clients can view the related report at www.jpmm.com/research/content/GPS-4238664-0 for more information; please visit www.jpmm.com/research/disclosures for important disclosures. © 2022 JPMorgan Chase & Co. All rights reserved.

Global FX: Systematic late-cycle hedging with FX options: A machine learning based strategy

We introduce a systematic strategy for identifying signals and selecting late-cycle / recession FX options hedges. 1) we first run Random Forest algorithm to zero in on the most relevant signals for hedging risk-off episodes; then 2) we build a 4-factor model that selectively buys defensive FXO based on model predicted P&L.

• The highest beta to risk-off events is achieved with four signals: m/m change in 1-y z-score of ATM vol, m/m change in 1-y z-score of realized vol, 1-y z-score of 6-month % change in spot, and m/m change in 1-y z-score of fwd pts/vol (i.e. carry/vol).
• We find short-term tenor to be most responsive to adverse episodes, 30%TV digitals to be showing the least decay, and the longer expiry structures tend to hold better during the low vol times. Overall 3M - 6M expires offer a good compromise.
• At current market, our 4- factor model favors high beta G10 digi structures with AUD structures dominating within the top 5: 3M to 6M 30%TV at-expiry digitals in AUD/SGD put, USD/CAD call, EUR/AUD call, GBP/USD put and/or AUD/CHF put.

This podcast was recorded on 20 October 2022.

This communication is provided for information purposes only.  

Please visit www.jpmm.com/research/disclosures for important disclosures. © 2022 JPMorgan Chase & Co. All rights reserved.

EM Fixed Income: EM debt is a global concern yet not a systemic issue

Jonny Goulden and Tales Padilha discuss latest areas of focus around EM debt for both policy makers and financial markets.

 

This podcast was recorded on 20 October 2022.

This communication is provided for information purposes only. Institutional clients can view the related report at https://www.jpmm.com/research/content/GPS-4237302-0 for more information; please visit www.jpmm.com/research/disclosures for important disclosures. © 2022 JPMorgan Chase & Co. All rights reserved.

Global FX: Getting hotter for the dollar

J.P. Morgan FX strategists Meera Chandan, Arindam Sandilya and Ben Shatil discuss why we are still bullish on the dollar and highlight our fresh targets for EUR, JPY and CNY.

 

This podcast was recorded on 13 October 2022.

This communication is provided for information purposes only. Institutional clients can view the related reports at https://www.jpmm.com/research/content/GPS-4231857-0, https://www.jpmm.com/research/content/GPS-4231649-0, https://www.jpmm.com/research/content/GPS-4225946-0 for more information; please visit www.jpmm.com/research/disclosures for important disclosures. © 2022 JPMorgan Chase & Co. All rights reserved. 

Global FX: USD Strength

J.P. Morgan Co-Head of FX Strategy Meera Chandan, Chief US Economist Michael Feroli and Head of Beverages, Household and Personal Goods Analyst Andrea Teixeira are brought together by our Head of Content Strategy, Samantha Azzarello to discuss the outlook and the impact of a strong dollar.

 

This podcast was recorded on October 7, 2022.
This communication is provided for information purposes only. Institutional clients can view the related report at www.jpmm.com/research/content/GPS-4220820-0 for more information; please visit www.jpmm.com/research/disclosures for important disclosures. © 2022 JPMorgan Chase & Co. All rights reserved.

Global FX: GBP vol shocks, vulnerabilities and valuations

J.P. Morgan FX strategists Patrick Locke and Ladislav Jankovic discuss tactical and fundamental issues for sterling, as well as the state of play in derivatives markets.

 

This podcast was recorded on 30 September 2022.

This communication is provided for information purposes only. Institutional clients can view the related report at https://www.jpmm.com/research/content/GPS-4220251-0 ,  https://www.jpmm.com/research/content/GPS-4220180-0 , https://www.jpmm.com/research/content/GPS-4218921-0 for more information; please visit www.jpmm.com/research/disclosures for important disclosures. © 2022 JPMorgan Chase & Co. All rights reserved.

EM Fixed Income: It goes on and on and on and on

Jonny Goulden and Tales Padilha discuss the ongoing pressure on EM assets as US financial conditions tighten, which is now impacting less risky parts of EM FX and credit.

This podcast was recorded on September 29, 2022.

This communication is provided for information purposes only. Institutional clients can view the related report at www.jpmm.com/research/content/GPS-4218945-0 for more information; please visit www.jpmm.com/research/disclosures for important disclosures. © 2022 JPMorgan Chase & Co. All rights reserved.

Japan Markets: Japan’s Solitary Journey in a Volatile World

Featured in this podcast are  Tohru Sasaki, Ayako Fujita, Benjamin Shatil, Takafumi Yamawaki and Rie Nishihara

This podcast was recorded on Sep 29, 2022.

This communication is provided for information purposes only. Institutional clients can view the related report at https://www.jpmm.com/research/content/GPS-4212921-0, https://www.jpmm.com/research/content/GPS-4213038-0, https://www.jpmm.com/research/content/GPS-4214418-0.pdf , https://www.jpmm.com/research/content/GPS-4213133-0 and https://www.jpmm.com/research/content/GPS-4215243-0 for more information; please visit www.jpmm.com/research/disclosures for important disclosures. © 2022 JPMorgan Chase & Co. All rights reserved.

Global FX: A historic week solidifying USD strength and JPY weakness

J.P. Morgan FX strategists Meera Chandan and Ben Shatil discuss why USD/JPY will continue to rise despite the first MoF intervention in 24 years to buy yen and why we stay long dollars even with the broad index at five decade highs.

 

This podcast was recorded on 23 September 2022.

This communication is provided for information purposes only. Institutional clients can view the related report at https://www.jpmm.com/research/content/GPS-4214409-0 and https://www.jpmm.com/research/content/GPS-4213038-0

 for more information; please visit www.jpmm.com/research/disclosures for important disclosures. © 2022 JPMorgan Chase & Co. All rights reserved.