JPM U S Fixed Income Ma

J P M O R G A N Global Markets Strategy 31 July 2026

U.S. Fixed Income Markets Weekly

Cross Sector J. Barry, M. Herckis Fixed Income Strategy We are pulling forward our next rate hike from 2H27 to December this year, with Jay Barry AC policy rates on hold at 3.75-4.0% thereafter. We look for the unemployment rate to ( modestly rise to 4.3% and for a 75k increase in nonfarm payrolls in July. Given Warsh’s comments suggesting the balance sheet could be more in play alongside a J.P. Morgan Securities LLC

reduced commitment to the 2% inflation target, the risk points to further bearish steepening; initiate 2s/10s steepeners. We raise our YE26 10-year forecast from 4.70% to 4.85%, and we raise our 30-year target from 5.20% to 5.40%. Initiate 5Yx5Y zero-coupon inflation swap wideners, as Warsh’s comments on inflation expectations and broader inflation metrics increase the likelihood of a repricing in forward inflation rates. For investors who would like to gain asymmetric exposure to yields increasing further and the curve steepening, we recommend buying the WNZ6 or USZ6 factor- weighted bases. We favor remaining short August SOFR/FF basis (SERFFQ6). A steeper curve, the Fed likely on hold until later in the year, dampened refi demand and ample remaining GSE cap room combine to make clipping carry the default path for the rest of the summer. Higher HG yields are still a positive for spreads, but the magnitude is uncertain. Governments J. Barry, H. Downie, A. Berke We see room for further steepening over the near term, driven by rising inflation expectations and rising term premium: we raise our YE 10-year and 30-year targets to 4.85% and 5.40%, respectively. We also recommend initiating 2s/10s steepeners. We expect no changes to nominal coupon auction sizes and next week’s refunding. We think Treasury should remove “at least” from forward guidance next week. However, with political factors at play, it may wish to avoid clearly signaling that an expected increase in duration supply is drawing nearer, which risks pushing the curve steeper. Given the November refunding’s proximity to the midterm elections, if the guidance remains unchanged next week, Treasury may reserve any guidance change until 2027. We hold our 5Yx5Y ZCIS widener alongside our 5s/10s/30s belly cheapening butterfly, creating a synthetic long 30Y inflation position. Interest Rate Derivatives I. Ozil, C. Hayward, E. Alptuna Markets have interpreted Wednesday’s FOMC as a loss of credibility, as Warsh did not specify how he will control inflation. We expect yields to reprice higher as markets continue to digest this development and recommend initiating 3Mx30Y A/A+20bp Contents payer swaption 1x2 ratio spreads. Swap spreads have been relatively sanguine this Summary of Views 3 week, including during and after the FOMC, which may suggest that market US Fixed Income Overview 4 participants do not expect that Warsh will be able to expedite his planned balance sheet Economics 12 reduction. The delivery option in longer-dated Treasury futures contracts has become Treasuries 16 Technical Analysis 26 topical after the post-FOMC twist steepening; we recommend buying the USZ6 basis TIPS Strategy 30 for put-like asymmetric exposure to higher yields. Interest Rate Derivatives 37 Short-Term Fixed Income 50 Short-Term Fixed Income P. Vohra, M. Herckis Agency MBS 55 We’ve raised our year-end SOFR forecast to 3.90% as our economists now expect a RMBS Credit Commentary 66 25bp hike in December. Repo should stay slightly firm in August amid additional net CMBS Weekly 72 T-bill supply. If MMF growth slows further, repo rates could face modest upward Asset-backed Securities 89 pressure, reinforcing our preference to stay short the August SOFR/FF basis. We also Corporates 96 provide an MMF holdings update. High Yield 110 CLO 115 Municipal Markets Weekly 117 Emerging Markets 141 Forecast & Analytics 142 See page 150 for analyst certification and important disclosures. Market Movers Calendar 149

Jay Barry AC ( Global Markets Strategy JPMORGAN U.S. Fixed Income Markets Weekly J.P. Morgan Securities LLC 31 July 2026

MBS and CMBS J. Sim, N. Maciunas, C. Sin Mortgages were modestly tighter in a…