Euro Cash: OW Bund vs. UST and UW 10Y Italy vs. France

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Euro Cash: OW Bund vs. UST and UW 10Y Italy vs. France

Aditya Chordia AC (44-20) 7134-2132 Global Markets Strategy J P M O R G A Naditya.x.chordia@jpmorgan.com

J.P. Morgan Securities plc 26 June 2026

Matteo Mamprin (44-20) 7134-0329

matteo.mamprin@jpmorgan.com

J.P. Morgan Securities plc

Euro Cash

OW Bund vs. UST and UW 10Y Italy vs. France

• DM yields rallied sharply on reduced tightening expectations given the ongoing

decline in energy prices

• We remain comfortable with our 2.85-3.15% range for 10Y Bund,…

• …and given our strategic OW duration stance we remain comfortable to trade the

range from the long duration side and hence remain neutral on outright duration

at current levels

• Maintain strategic OW Germany vs. US bias expressed via long 10Y Bund vs. UST

• Summer seasonality in intra-EMU/€-SSA: there is no clear summer tightening

trend, except for a modest one in Italy, but at the same time summer carry do work

if no idiosyncratic factor is at play

• Stay cautious on intra-EMU/€-SSA carry as valuations are not necessarily cheap,

risk adjusted carry remains poor and positioning is already OW

• Hold long 30Y EU vs. swap to express our strategic OW EU theme

• Keep short 10Y Italy vs. France as a carry-efficient broad risk-off proxy and UW

10Y Belgium vs. France/Germany in 50:50 flies as a Middle-East re-escalation tail-

risk hedge

• Supply: around €26bn of conventionals with auction next week in Belgium, Ger-

many, France, Spain and Lithuania

DM yields rallied sharply over the past week on easing tightening expectations given the

ongoing decline in energy prices (Figure 1DMyieldsraliedsharplyoverthepastwekonreducedtighteningexpectationsgiventheongoingdeclineinenergyprices). Cross-market, Germany outperformed US