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JPMorgan Strategists Plan Call With Clients on Volatility

Michelle F. Davis

(Bloomberg) -- JPMorgan Chase & Co. plans to host a conference call on Tuesday to help clients make sense of markets after a week of wild swings for stocks and bonds.

“In the wake of a rather violent decline in yields, inversion of the curve, and volatility in equity markets, we consider the role of poor liquidity and systematic flows in exacerbating these market moves,” JPMorgan strategists led by Marko Kolanovic wrote in an invitation to clients obtained by Bloomberg. A spokeswoman for the lender confirmed the event.

The meeting comes after U.S. equities suffered one of the deepest sell-offs of the year on Aug. 14 and a key portion of the U.S. Treasury yield curve inverted for the first time in 12 years, stoking fears of a recession. President Donald Trump held a conference call that day with the chief executive officers of JPMorgan, Bank of America Corp. and Citigroup Inc.

Kolanovic and strategist Munier Salem plan to address the bout of unusual illiquidity in U.S. equities and discuss the extent to which high-frequency trading is to blame for drops in market depth, according to the invitation. Joshua Younger, a fixed-income strategist, will lead a discussion on convexity hedging in rate markets.

The bank said last week that measures of market depth in U.S. equities, Treasuries and currencies relative to the rest of the year have fallen below the average since 2010 -- a sign that market players don’t have as much capacity to absorb the trade-driven trends sweeping assets.

Some Wall Street trading desks have warned that the sudden rupture of volatility could cause quant-driven funds to dump billions of dollars of stocks.

(Adds conference call with president in third paragraph.)

To contact the reporter on this story: Michelle F. Davis in New York at mdavis194@bloomberg.net

To contact the editors responsible for this story: Michael J. Moore at mmoore55@bloomberg.net, Josh Friedman, Linus Chua

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