Global Markets Strategy: Focus on carry across the curve, swap spreads and vol

Research evidence excerpt

Global Markets Strategy: Focus on carry across the curve, swap spreads and vol

Francis Diamond AC (44-20) 7134-1504 Global Markets Strategy J P M O R G A Nfrancis.diamond@jpmorgan.com

J.P. Morgan Securities plc 19 June 2026

Elisabetta Ferrara (44-20) 7134-2765

elisabetta.ferrara@jpmorgan.com

J.P. Morgan Securities plc

Overview

Focus on carry across the curve, swap spreads and vol

• DM yields rallied across the board at the start of the week as the US and Iran

reached an interim MOU to end the conflict and reopen the Strait of Hormuz, but

the move was partly reversed later in the week given a sharp front-end sell-off driv-

en by a hawkish Fed delivery

• Despite the recently signed US-Iran MoU agreement, we think that uncertainty

over a long-lasting peace will likely persist in coming months, with Iran possibly

using its influence over the Strait of Hormuz as leverage. We continue to see Euro-

pean rates range trading and highlight attractive carry trades across the curve,

swap spreads and volatility. We remain biased to trade European duration from

the long side.

• This week, the BoJ was the only central bank to hike (25bp hike to 1%) as widely

expected, while others remained on hold, but the run of policy meetings was event-

ful. The biggest surprise came from the Fed which delivered a hawkish dot plot,

while Warsh’s first press conference offered little in terms of guidance. The BoE

and Riksbank instead showed little urgency to act and we have pushed back our

call for a hike to November and December respectively. The revisions to the Norges

Bank rate path were modestly hawkish, we still call for a September hike but with

risks of an earlier move. The RBA paused at 4.35% after three consecutive hikes,

we believe they are done for now.