JPM US Treasury Market D

J P M O R G A N Global Markets Strategy 17 August 2026

US Treasury Market Daily June TIC update

• Long-end yields rose 4bp, reaching their highest levels since summer 2007 Fixed Income Strategy amid a global bear steepening. We think the bear steepening reflects higher Jay Barry AC term premium with pressure from rising JGB yields ( • We maintain 2s/10s steepeners but recognize that the underpinnings of this Jason Hunter AC position have weakened somewhat, as front-end yields are near the bottom end ( of their summer range, while intermediate valuations no longer flag as rich. However, given renewed bearish pressure on global bond yields, and bearish Harry Downie technicals, we do not recommend unwinding this trade at current levels ( • Foreign investors net purchased $6.8bn long-term Treasuries in June, the least since February. Demand was concentrated in Canada and the Euro Area Amanda Berke ( • The 30-year bond has reached the 5.30% Sep 2024-Oct 2025 .618 swing objective and shows little to suggest the move is exhausted at this point. The J.P. Morgan Securities LLC next meaningful zone surrounds 5.50% 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.

See page 6 for analyst certification and important disclosures.

Jay Barry AC ( Harry Downie ( Global Markets Strategy JPMORGAN US Treasury Market Daily J.P. Morgan Securities LLC 17 August 2026 Jason Hunter AC ( Amanda Berke (

Market views Long-end yields rose 5bp, reaching their highest levels since the summer of 2007 amid a broader bear steepening globally (Figure 1). In the process, the broad curve steepened L v il-tfserco g y a C G F h d n

4bp, reaching its steepest levels since mid-April, when money markets were still pricing in some probability of Fed easing over the next 1- to 2 years. At face value, this suggests term premium has risen, especially since medium-term inflation expectations have risen only modestly over the period. In large part, we think global factors are at work here. Figure 1: Long-end yields have retraced to their highest levels since the eve of the GFC 30-year Treasury yields; %

Source: J.P. Morgan Earlier in the summer, we argued that relative attractiveness of US Treasuries over long- dated JGBs on a currency hedged basis helped to anchor long-term yields at lower levels during the NIRP and YCC era a decade ago, and just the opposite dynamic is unfolding right now (see Treasuries, US Fixed Income Markets Weekly, 7/10/26). Indeed, 30-year JGBs briefly rallied back in the wake of the coordinated MoF/Treasury intervention two weeks ago, but have buoyed higher over the last week, and are now back above 4%, adding steepening pressure to the Treasury curve. We continue to hold 2s/10s steepeners, but given the recent moves we think some of the fundamental underpinnings of this trade have eroded. First, OIS forwards were pricing in 50bp of tightening by spring 2027, and that has declined to just 35bp now. Second, at the time, intermediate yields had diverged from their fundamental drivers and were about 15bp underpriced, whereas now they are trading in line with their fundamental drivers. However, with global bond yields under renewed pressure and technical factors pointing to risks of further weakness at the long end of the Treasury curve (see “Technical Analysis” below), we are not yet ready to unwind this position.

June TIC update Treasury released the monthly TIC data for June this afternoon, showing that foreign investors net bought $6.8bn long-term Treasuries, the slowest pace since February. Demand was driven by private investors, who added $15.4bn over the month, while foreign official accounts net sold $9.8bn in long-term Treasuries (Figure 2). More F .,ilt-sreco m b d h u p T n y J 8 6 $ a v g

timely custody holdings data suggests that foreign ownership of Treasuries held at the Fed has continued to trend lower in more recent months, though we caution that the data set represents less than 75% of total official holdings. Notably, foreign officials shed $35.6bn of short-term Treasuries in June, marking a second month of outsized…