利率衍生品：未成形的市场

Interest Rate Derivatives Marble not yet carved •The past two weeks have been relatively quiet in the rates markets. However, next weekbrings significant event risk due to economic data prints, the FOMC meeting, and theTreasury refunding announcement•Long-term inflation expectations have increased markedly since “Liberation Day” inApril. We look to trade the swap yield curve in a manner that mitigates exposure to fur-ther shifts in longer-term inflation expectations while offering positive carry and favor-able entry levels - initiate 3M forward 5s/15s flatteners paired with 85% risk in 2Y for-ward 1s/7s steepeners•Separately, further positive tariff headlines may be impactful in the front end, with apotential shift in market focus to growth risks should near-term inflation expectationsdecline...•...Should this development occur, we would expect a rally in front-end yields. The Reds/Greens curve has exhibited negative directionality to the level of 1Yx1Y forward swapyields and is likely to steepen in the event of a front-end rally - initiate Reds/Greensconditional bull steepeners using 6M expiry midcurve receivers•The recent steepening in swap spread curves and the decline in term funding premiummay be attributable to an expectation of a lower WAM of marketable Treasury debt.Therefore, any disappointment with respect to market expectations of active efforts bythe Treasury to reduce the WAM could bring an increase in TFP - maintain swap spreadcurve flattening exposure in the long end•We continue to anticipate firmer funding conditions as T-bill issuance ramps up, whichcould be a headwind to swap spreads in the front end and belly - maintain 5Yswap spreadnarrowers•Given the significant event risk next week, we turn tactically bullish on volatility andrecommend expressing this view in 10Y tails•The Fed hosted its “Integrated Review of the Capital Frameworks for Large Banks”conference this week, at which Treasury market liquidity and banking system reformwere once again discussed Marble not yet carved The past two weeks have been relatively quiet in the rates markets. First, last Tuesday's CPIprint increased a moderate 0.2% in June, though with more signs of tariff pass-through.Second, there were headlines regarding President Trump’s intent to fire Chair Powell, butPresident Trump subsequently stated that firing Powell was unnecessary; this episodebrought the question of Fed independence into focus. Third, there were headlines aboutKevin Hasset, Director of the National Economic Council, being a likely leading candidateto succeed Powell as Fed Chair, although the outcome remains unclear. This comes amidstthe potential for Waller and Bowman to dissent at next week’s FOMC meeting, with Bow-man being a closer call (seeFOMC Preview, M. Feroli, 7/25/2025). Finally, there appearsto be some progress on the tariff front, as Japan negotiated a trade deal with the U.S. thatincludes only 15% tariff rates (previously 25%), including imports on autos at that rate, andcommitments to fund US investments. President Trump has suggested that tariffs will beanywhere between 15 and 50%, with 15% being the floor. In the background, a trade dealwith Europe appears likely on the horizon, but the situation is still very much in flux in terms Ipek OzilAC(1-212) 834-2305ipek.ozil@jpmorgan.comJ.P. Morgan Securities LLCPhilip Michaelides (1-212) 834-2096philip.michaelides@jpmchase.comJ.P. Morgan Securities LLC Arjun Parikh (1-212) 834-4436arjun.parikh@jpmchase.comJ.P. Morgan Securities LLC North America Fixed IncomeStrategyInterest Rate Derivatives25 July 2025 of where the effective tariff rate will land and the impact it will have on inflation. Like withmarble not yet carved into a statue, the market is waiting for the future of the Fed and tariffdetails to come into relief. As such, swap yields are mostly unchanged over the past twoweeks despite trading within a 10-15bp range, and swap curves anchored in the front endare slightly flatter (Figure 1). Looking ahead, next week is action-packed, as we have the eagerly anticipated refundingannouncement from the Treasury, July FOMC meeting, PCE print, employment data andalso the Aug 1stdeadline for the extension of tariff related pauses. All of these events influ-ence our views for the week ahead, which we discuss below. Taking a step back, tariff discussions since "Liberation Day" have caused long-term infla-tion expectations to increase—5Yx5Y inflation swap yields have increased from their YTDlows since then to near their YTD highs over the course of the past three months—and haveresulted in greater volatility in long-term inflation expectations (Figure 2). On the otherhand, both near-term and medium-term Fed expectations (3Mx3M OIS yields and15Mx3M-3Mx3M OIS curve, respectively) have mostly recovered to their pre-“LiberationDay” levels and have been mainly range-bound since then. Figure 2: Long-term inflation expectations have increased markedly since“Liberation Day”, in lockstep