TIPS Strategy: Anatomy of a bear market

Research evidence excerpt

TIPS Strategy: Anatomy of a bear market

Harry Downie AC (1-212) 270-9500 Liam L Wash (1-212) 834-5230 Global Markets Strategy J P M O R G A N

harry.j.downie@jpmorgan.com liam.wash@jpmchase.com TIPS Strategy

J.P. Morgan Securities LLC J.P. Morgan Securities LLC 26 June 2026

Jay Barry (1-212) 834-4951 Amanda Berke (1-212) 834-5739

john.f.barry@jpmorgan.com amanda.berke@jpmorgan.com

J.P. Morgan Securities LLC J.P. Morgan Securities LLC

Market views

The TIPS bear market continues. Over the past two weeks, 5-, 10-, and 30-year

seasonally adjusted breakevens narrowed by 16bp, 10bp, and 7bp, respectively. The

17% decline in Brent oil prices and hawkish FOMC surprise partly drove the move and

pushed front-end real yields higher, with 5-, 10-, and 30-year real yields changing by

10bp, 0bp, and -4bp, respectively (see Post-FOMC rates update: You’ll get nothing and

like it, 06/17/26). Breakevens across the curve now sit in line with their 1-year lows and

within 30bp of their 3-year lows (Figure 1Breakevensacrosthecurvenowsitinlinewiththeir1-yearlowsandwithin30bpoftheir3-yearlows). But today’s environment differs materially

from the 3-year low, which reflected a growth scare: the US unemployment rate had

risen sharply, the Sahm rule was above its 0.5% recession threshold, and the Fed cut

50bp in September of that year (see Global Data Watch: Goldilocks with wrinkles,

Bruce Kasman, 09/06/24). Today, we are not tipping towards a growth scare. We are

entering a more nuanced period for TIPS, where potential headline CPI deflation from

sharply lower commodity prices conflicts with a resilient US economy that now has

more upside risk post the energy shock (see A cyclical state of mind: 2026 Mid-Year

Global Economic Outlook Bruce Kasman, 06/24/26). Breakevens look cheap relative