Scandinavia: Carry efficient bearish duration proxies

Research evidence excerpt

Scandinavia: Carry efficient bearish duration proxies

Khagendra Gupta AC (44-20) 7134-0486 Marcus Mayfield (44-20) 3493-8050 Global Markets Strategy J P M O R G A Nkhagendra.x.gupta@jpmorgan.com marcus.mayfield@jpmorgan.com

J.P. Morgan Securities plc J.P. Morgan Securities plc 10 July 2026

Frida Infante (33 1) 8703 2581

frida.infante@jpmorgan.com

J.P. Morgan Securities plc

Further out the Nibor swap curve, we continue to favour structures that are 1) nega-

tively directional versus front-end yields over the medium-term, 2) non-directional

versus yields over the short-term, and 3) offer attractive carry/slide. Uncertainty around

the length of an eventual Norges Bank pause and the pace of subsequent easing should see

the front-end continue to drive the directionality of the swap curve. However, with the mon-

ey market curve now unlikely to reprice materially without evidence in the data, risks are

arguably skewed to rangebound swap curves until greater clarity (such as the extent of core

inflation stickiness) emerges. Thus, swap curves are likely to remain broadly non-direction-

al to yields over the short-term while still exhibiting negative directionality to front-end

yields over longer timeframes. To this end, we hold our Reds/Greens Nibor curve flattener,

(Figure 14Withrisksskewedtorange-boundswapcurvesuntilgreaterclarityemergesfromeconomicdata,wefavourstructuresthatarenon-directionalversusyieldsovertheshort-term,negativelydirectionalversusfront-endyieldsoverthemedium-termandthatoferatractivecary…), and where the carry/slide has provided some insulation against the recent

steepening (Figure 15…wethereforeholdourReds/GrensNiborcurveflatener,andwherecary/slidehasprovidedsomeinsulationagainsttherecentstepening).