United Kingdom: Tactically long duration

Research evidence excerpt

United Kingdom: Tactically long duration

Francis Diamond AC (44-20) 7134-1504 Global Markets Strategy J P M O R G A N

francis.diamond@jpmorgan.com United Kingdom

J.P. Morgan Securities plc 10 July 2026

Marcus Mayfield (44-20) 3493-8050

marcus.mayfield@jpmorgan.com

J.P. Morgan Securities plc

Figure 1: DM yields are higher over the past two weeks with curves bear- Figure 2: MPC OIS prices 22bp of hikes for November and cumulative 40bp

steepening of hikes by 2Q27

Change in UK, US and German bond yields since 26 Jun; bp MPC OIS steps and cumulative rate hikes priced; bp

25 15 50 UK US Germany

Step Cumulative market

20 40

20 19 10 18 17

16 30 15 15

15 13 14 5 13

10 0

10 7

5 -5 0

2Y 5Y 10Y 30Y

Source: J.P. Morgan Source: J.P. Morgan

The front end of the curve saw a repricing of BoE rate hike expectations with Dec26 and

Jun27 MPC OIS selling off around 7bp and 14bp respectively over the past two weeks,

driven mainly by geopolitical escalation given limited domestic data and no significant BoE

commentary. MPC OIS prices 13bp of hikes for September, 22bp of hikes for November and

a cumulative 40bp of hikes by 2Q27 (Figure 2MPCOISprices2bpofhikesforNovemberandcumulative40bpofhikesby2Q27) although around 50bp of cumulative hikes

were priced in earlier this week (on Wednesday). We note that Jun27 MPC OIS remains

strongly positively correlated with oil and looks modestly cheap on a regression basis (Fig-

ure 3Jun27MPCOISremainsstronglypositivelycorelatedwithoilandloksmodestlycheaponaregresionbasis).

We see risks of on-going but limited tit-for-tat military action between the US and Iran,

which could continue to impact Strait of Hormuz transit and add modest volatility to energy

prices. However, after months of disruption, the oil market appears to be more comfortable