EM Quick Take: Take profit on TRY OIS steepeners

Research evidence excerpt

EM Quick Take: Take profit on TRY OIS steepeners

Michael Harrison AC (44-20) 7134 5720 Global Markets Strategy J P M O R G A N

michael.p.harrison@jpmorgan.com EM Quick Take: Take profit on TRY

J.P. Morgan Securities plc OIS steepeners

Anezka Christovova (44-20) 7742-2630 04 August 2026

anezka.christovova@jpmorgan.com

Softer-than-expected July CPI inflation print has driven front-end TRY OIS rates

lower, with the market now pricing 430bp of CBRT easing by year-end. July

headline CPI inflation came in at 1.8%m/m versus market and J.P. Morgan expectations

of 2.0%m/m, with the softness in core goods inflation pointing to continued weakness in

domestic demand (see here). Following this downside inflation surprise, the market now

prices the year-end CBRT effective policy rate at 35.70% in the Dec26 MPC OIS

contract (Figure 1ThemarketpricestheefectiveCBRTpolicyratearound35.65%byyear-end). Of this ~430bp of easing priced, we deem 300bp of that to be the

pricing of policy normalisation to 37% rates upon the resumption of 1w repo auctions

(which our economists see in September). Our house forecast is for 35% policy rates by

year-end, but if energy prices remain elevated, our economists see risks skewed to

higher-for-longer rates. Accordingly, we think market pricing of year-end policy rates

around 35.70% is now fair on a probability-weighted basis.

Figure 1: The market prices the effective CBRT policy rate around 35.65% by year-end

Market pricing and J.P. Morgan forecast of CBRT effective policy rate, %

TRY OIS market pricing JPM forecast

40%

39%

38%

37%

36%

35%

34%

33%

32%

31%

30%

Source: J.P. Morgan

At the same time, TRY OIS forward rates in the belly of the curve have sharply

underperformed peers amid ongoing geopolitical tensions and higher energy

prices.