At Any Rate

Luis Oganes, Jonny Goulden and Nora Szentivanyi discuss the outlook for emerging markets for 2023.  

 

This podcast was recorded on November 23, 2022.

 

This communication is provided for information purposes only. Institutional clients can view the related report at www.jpmm.com/research/content/GPS-4269370-0 for more information; please visit www.jpmm.com/research/disclosures for important disclosures. © 2022 JPMorgan Chase & Co. All rights reserved.

J.P. Morgan FX strategists Meera Chandan and Patrick Locke discuss the outlook for FX markets following the soft US inflation print and the seismic price action that followed.

 

This podcast was recorded on November 11, 2022.

This communication is provided for information purposes only. Institutional clients can view the related reports at https://www.jpmm.com/research/content/GPS-4261385-0, for more information; please visit www.jpmm.com/research/disclosures for important disclosures. © 2022 JPMorgan Chase & Co. All rights reserved.

J.P. Morgan FX and rates strategists Meera Chandan and Jay Barry discuss the outlook for FX and US rates markets following the Fed and US employment data.

 

This podcast was recorded on 04 November 2022.

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

https://www.jpmm.com/research/content/GPS-4250579-0

https://www.jpmm.com/research/content/GPS-4246653-0

https://www.jpmm.com/research/content/GPS-4252466-0

https://www.jpmm.com/research/content/GPS-4254375-0

https://www.jpmm.com/research/content/GPS-4252859-0

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

 

Jonny Goulden and Tales Padilha discuss how EM markets may react to an eventual peak in US policy rates.

This podcast was recorded on November 3, 2022.

This communication is provided for information purposes only. Institutional clients can view the related report at www.jpmm.com/research/content/GPS-4252794-0 for more information; please visit www.jpmm.com/research/disclosures for important disclosures. © 2022 JPMorgan Chase & Co. All rights reserved.

Arindam Sandilya and Ben Shatil discuss the FX outlook leading up to next week’s FOMC meeting.

 

This podcast was recorded on 28 October 2022.

This communication is provided for information purposes only. Institutional clients can view the related report at http://www.jpmm.com/research/content/GPS-4246166-0 for more information; please visit www.jpmm.com/research/disclosures for important disclosures. © 2022 JPMorgan Chase & Co. All rights reserved.

Jonny Goulden and Tales Padilha discuss recent crisis level EM bond market volatility which has brought reactions from policy-makers.

 

This podcast was recorded on October 27, 2022.

This communication is provided for information purposes only. Institutional clients can view the related report at www.jpmm.com/research/content/GPS-4244519-0 for more information; please visit www.jpmm.com/research/disclosures for important disclosures. © 2022 JPMorgan Chase & Co. All rights reserved.

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.

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.

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.

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.