JPM US Treasury Market

J P M O R G A N Global Markets Strategy 24 August 2026

• Treasury yields twist flattened, with 2-year yields rising 1bp and 30-year yields Fixed Income Strategy falling 4bp. Focus remains on Treasury’s announced buybacks, with reports Jay Barry AC emerging that they may use their Treasury General Account (TGA). ( Ultimately, unless buybacks are accompanied by fiscal adjustment, this announcement could drive term premium higher, particularly when we see Jason Hunter AC little fundamental or technical reason to raise buyback sizes at this time. As ( such, we continue to maintain our 2s/10s steepeners Harry Downie • Treasury will auction $69bn of 2-year notes at 1pm tomorrow. Given elevated ( outright yields and the roll trading in-line with our fair value estimate, we think tomorrow’s auction can likely be digested smoothly Amanda Berke • The 30-year bond remains vulnerable to further selling pressure while it is still ( trading cheaper than the 5.14-5.20% key resistance area. A rally through the J.P. Morgan Securities LLC latter would derail the bearish near-term trend momentum Statistics for various on-the-run Treasury yields, curve spreads, and TIPS breakevens 1d chg WTD chg QTD chg YTD chg Close (bp) (bp) (bp) (bp) 3m avg 3m low 3m high 3m pctl.

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Jay Barry AC ( Harry Downie ( Global Markets Strategy JPMORGAN US Treasury Market Daily J.P. Morgan Securities LLC 24 August 2026 Jason Hunter AC ( Amanda Berke (

Market views Treasury yields twist flattened, with 2-year yields rising 1bp and 30-year yields falling 4bp. The 30-year yield is now down 5bp since Treasury’s surprise announcement to increase the size of buyback operations for longer-dated nominal Treasuries, from a current maximum of $2bn per operation to “at least” $4bn (see US Treasury Market Daily, 08/19/26). In the morning, news reports referencing a “senior Treasury official” said the buybacks could be funded from the Treasury General Account. That runs counter to our prior view that the buybacks would be funded via T-bills. Later in the day, Treasury Sec. Scott Bessent, during his press conference on “Operation Economic Downcast”, withheld comment on the topic and instead pointed the market back to Treasury’s routine and predictable schedule of updating the market at the next quarterly refunding. Our estimates for additional buybacks remain small at $64Bn this quarter relative to the $950Bn TGA. Ultimately, unless buybacks are accompanied by fiscal adjustment, this announcement could drive term premium higher, particularly when we see little fundamental or technical reason to raise buyback sizes at this time. As such, we continue to maintain our 2s/10s steepeners.

2-year auction preview Treasury will auction $69bn 2-year notes at 1pm. The July auction cleared 0.5bp through pre-auction levels with end user demand up 0.9%-pts to 90.6%, its highest level since January 2026 (Figure 1). More granularly, investment manager takedown rose by 6 2 T p b d n u h % .,li-tsercJ y 9 v g 5 0 o a m

0.9%-pts to 78.4%, the highest level since February 2025. , while foreign demand fell by 0.7%-pts to 9.4%. Figure 1: The July 2-year auction cleared 0.5bp through pre-auction levels as end user demand up 0.9%-pts to 90.6%, its highest level since January 2026 Statistics for 2-year Treasury auctions; units as indicated

Date Yield (%) Size ($bn) Tail (bp) Bid/ cover Direct (%) Indirect (%) End user (%) Foreign (%) Inv. mgr (%) 24-Feb -Mar -Apr -May -Jun -Jul -aucn avg -aucn avg

Source: U.S. Treasury, J.P. Morgan Since the last auction, 2-year yields have declined by 8bp after the dovish interpretation of the July FOMC, however, they have been rising gradually since Treasury announced increasing buybacks at the long end of the nominal curve. This has left market pricing of 1Yx1Y policy rates in the middle of their recent trading range (Figure 2). The key M m F b n p u d g a x y il-tserco

upcoming event risk for policy rates is Chair Warsh’s speech at Jackson Hole on Friday, however, we would note that the event has not led to larger than average volatility in 2- year yields outside of a handful of instances (see US Weekly…