Global EM Inflation Linkers Monthly

Research evidence excerpt

Global EM Inflation Linkers Monthly

EM Local Markets Strategy

Santiago Olalquiaga (AC) (1-212) 622-2484 J.P. Morgan Securities LLC Gisela Brant (1-212) 834-3947 J.P. Morgan Securities LLC

Michael Harrison (AC) (44-20) 7134-5720 J.P. Morgan Securities plc Ankit Chawla (AC) (91-22) 6157-3281 J.P. Morgan India Private Limited

Global EM Inflation Linkers Monthly 29-Jul-26

Breakeven inflation rebounds higher as geopolitical tensions resurfaced

• Breakeven inflation rebounded higher as geopolitical tensions resurfaced, despite downside EM inflation surprises over the past month. EM 10y EM linker real yields, EM nominal bond yields and breakeven inflation

nominal bonds sold off 29bp on average this month, while linker yields rose by a more modest 12bp. As a result, average EM breakeven inflation increased Level* (%), 1-month change (bp) and 3-month change (bp)

17bp over the past month. Breakevens rose most meaningfully in Türkiye (+222bp), Chile (+31bp), Colombia (+31bp) and Poland (+22bp), while Uruguay

was the only market to see a decline (-7bp). This is in the context of rising geopolitical tensions driving nominal bond sell-offs, despite broad-based downside Linkers Nominal bonds Breakeven inflation

inflation surprises for June (which would typically argue for lower breakeven inflation). Level ∆1m ∆3m Level ∆1m ∆3m Level ∆1m ∆3m

South Africa 4.35 22 15 8.91 41 -27 4.56 19 -42

• US and EM 10y breakevens have started to diverge since the start of July, having moved broadly in tandem over the past year. Both measures Türkiye 3.38 -36 -76 34.98 186 87 31.59 222 163

increased sharply at the start of the Middle East conflict, as energy price risks pushed inflation risk premia higher, before easing modestly after the MOU

signing and the retreat lower in oil prices.