JPM US Treasury Market

J P M O R G A N Global Markets Strategy 03 August 2026

US Treasury Market Daily Financing estimates could leave modest upside risks to FY27 deficit

• Treasury yields declined 3-7bp with the intermediate sector outperforming, Fixed Income Strategy amid signs of de-escalation in the Middle East, but underperformed most other Jay Barry AC DM countries amid stronger ISM data ( • We see no evidence of intervention-related selling in the Treasury market, Jason Hunter AC particularly the front end, where the bulk of official holdings tend to be ( concentrated • Net of differing TGA assumptions, Treasury’s financing needs are $127bn Harry Downie higher with most of the difference concentrated largely in the October- ( December quarter Amanda Berke • The 10-year note is trying to find some footing in the 4.715-4.805% support ( zone. The tentative rebound triggered a momentum divergence buy signal, but the lack of deep oversold conditions leaves us hesitant to fade the weakness at J.P. Morgan Securities LLC this point. Bulls need to clear 4.58-4.60% short-term resistance to gain traction 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 Global Markets Strategy ( August 2026 JPMORGAN

Market views Treasury yields declined 3-6bp with the intermediate sector outperforming, underperforming the UK and EGBs amid signs of de-escalation in the Middle East. The data flow may also have contributed to the magnitude of the rally in Europe versus the US, as manufacturing surveys in the US continued to signal resilient growth (see US: Manufacturing surveys point to solid growth, Bennett Parrish, 8/3/26). In the wake of last week’s coordinated intervention flow from the Japanese MoF and the Treasury, we’ve been asked multiple questions on the potential impact on Treasury yields. On the US side, we know Treasury’s intervention was against the Euro, so no dollar assets were involved. Meanwhile on the Japanese side, it’s unknown whether the MoF liquidated securities or USD deposits on hand, which totalled $1.3tn as of the end of June (see Unexpectedly Strong US-Japan Cooperation against Weak JPY, Junya Tanase and Patrick Locke, 8/2/26). We know from Treasury’s annual TIC foreign holdings update that about two-thirds of foreign official holdings are concentrated in the 0- to 5-year sector, with nearly 30% maturing in the first two years alone (Figure 1). T ilftsrec6oga5yn h d u … % m

Furthermore, the WAM of official Treasury holdings is around 5.3 years, a full 2 years shorter than the average maturity of foreign private Treasury holdings (Figure 2). This p h d .,iltfsercaogvx74yn W … M m w A u

makes intuitive sense as reserve managers need liquid securities in the event they need to raise US dollars in an attempt to strengthen their currency. Accordingly, it’s more likely that any sales (if this wasn’t funded from deposits) came at the short end of the Treasury curve. There’s been no discernible impact on the short end of the Treasury curve, as Treasuries outperformed swaps at the end of last week. Figure 1: 66% of foreign official holdings of Treasuries remain in Figure 2: …and the WAM of foreign private investors has extended maturities 5 years or shorter… further to 7.4 years, whereas it has remained roughly unchanged for Share of foreign holdings of Treasuries by maturity bucket* as of 6/30/25; overall foreign official accounts compared with foreign official and foreign private; % Estimated Weighted Average Maturity (WAM)* of foreign Treasury holdings; years

Maturity bucket Total foreign Official Private 8.5 Total foreign 8.0 Official Up to 1 year Private 1 to 2 years to 3 years to 4 years to 5 years to 6 years to 7 years to 8 years to 9 years 4.4 4.5 4.3 9 to 10 years 4.6 4.3 4.9 10 to 15 years 0.9 0.6 1.2 15 to 20 years 6.6 4.6 8.3 20 to 25 years 2.8 1.8 3.6 25 to 30 years 4.7 2.0 6.9 Total 100 100 98

Source: Treasury International Capital System Annual Report Source: Treasury International Capital System Annual Report *Parts may not sum to total as some…