US Treasury Market Daily

研报英文原文证据摘录

US Treasury Market Daily

Jay Barry AC (1-212) 834-4951 Harry Downie (1-212) 270-9500 Global Markets Strategy J P M O R G A N

john.f.barry@jpmorgan.com harry.j.downie@jpmorgan.com US Treasury Market Daily

J.P. Morgan Securities LLC 22 June 2026

Jason Hunter AC (1-212) 270-0034 Liam L Wash (1-212) 834-5230

jason.x.hunter@jpmorgan.com liam.wash@jpmchase.com

Market views

Treasury yields rose 4-6bp with front-end yields making new local highs. There were no

domestic catalysts, and yields fell in Europe; as a result, it seems markets continue to

process the outcome of last week’s FOMC meeting. The broad curve has flattened 20bp

over the last week, and OIS forwards are pricing a full hike by the September FOMC

meeting and 50bp of tightening by the March 2027 FOMC meeting. As we discussed

last week, we thought there was room for follow through to higher yields, especially as

regional Fed presidents come out to explain their thoughts in the wake of last week’s

meeting.

Moreover, our suite of positioning indicators did not suggest positioning was extremely

bearish prior to the FOMC meeting: our Treasury Client Survey index was broadly

neutral heading into the FOMC meeting. Meanwhile, our core bond fund index beta to

10-year yields had swung sharply long in recent weeks: it indicated actively-managed

bond funds were overweight relative to benchmark in mid-May, but it has swung short

in recent weeks, and is now nearly two standard deviations shorter than its prior 1-year

average (Figure 1Whileourcorebondfundindexhasswungsignificantlyshortinrecentweks,ourTreasuryClientSurvey,whichisrepresentativeofabroadersetofclients,wasrelativelyneutralheadingintotheFOMC,andhasromtoextendbearishly,suportinghigheryields). Thus, using our client survey, which represents positioning amongst