European Derivatives: Hold proxy long duration and short vol

研报英文原文证据摘录

European Derivatives: Hold proxy long duration and short vol

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

J.P. Morgan Securities plc 17 July 2026

Marcus Mayfield (44-20) 3493-8050

marcus.mayfield@jpmorgan.com

J.P. Morgan Securities plc

European Derivatives

Hold proxy long duration and short vol

• €STR yields are exhibiting a stronger relationship to gas prices compared to oil.

Current pricing is close to the peak seen when Brent was above $100/bbl and we

believe that the bar for a hawkish ECB delivery next week is high

• We expect the ECB to keep policy rates on hold but signal they are ready to hike

further if inflation risks rise. For now, President Lagarde will likely re-iterate the

ECB’s data-dependent meeting-by-meeting approach. We expect them to deliver

one final 25bp hike in September

• €STR yields are close to the YTD highs. We have a bullish duration bias but refrain

from outright positioning in the money market, given volatility. Instead, we focus

on long duration proxies via 3Mx(1Yx1Y) receiver spread funded by selling OTM

payer

• Take profit in paying the belly of the 1Y/1Yx1Y/2Yx1Y 50:50 fly

• We summarize the recent ABP report on its final plan for its transition from 1st

January 2027. We expect limited market impact

• Keep 10s/30s swap curve steepening bias as a tactical long duration proxy. Hold

2Yx2Y/10Yx10Y swap curve steepener, which is trading too flat versus 10s/30s

• German swap spreads have been remarkably stable over the last few weeks. Our

views are unchanged: stay neutral on Schatz and Bund swap spread

• Hold Bund/Buxl swap spread curve steepener as a positive carry low-beta proxy

to 10s/30s swap curve steepening