JPMorgan Econ FI-US Fixed Income Overview Roundtrip-109894353(1)

1PhoebeWhiteAC(1-212)834-3092phoebe.a.white@jpmorgan.comJ.P.MorganSecuritiesLLCLiamLWash(1-212)834-5230liam.wash@jpmchase.comJ.P.MorganSecuritiesLLCNorthAmericaFixedIncomeStrategy16August2024JPMORGAN•Economics:HeadlineCPIrose0.2%lastmonthwhilethecoreindexincreased0.165%,leavingtheyear-agoratetomoderateto3.2%.Meanwhiletotalretailsalesincreased1.0%m/mwhilethecontrolseriesrose0.3%lastmonth.Initialclaimsdeclinedto227kandweexpectfilingstoremainroughlyconstantat230katthenextprint•Treasuries:Marketsarepricinginalessdovishpaththanourforecast,butweremainpatientbeforeaddingdurationgivenlonginvestorpositioning.JacksonHolespeecheshavenottraditionallyledtolargeyieldmoves,exceptin2020and2022;wedonotexpectclearguidancefromChairPowellnextweek.Wecontrasttheupcomingeasingcyclewithothereasingcycles:policyismorerestrictivethanatanypointinthelast30years,pointingtowardadeepereasingcycle,butfinancialconditionsareeasyandfinan-cialstressislow,makingthecaseforaslowerpaceofcuts.Hold5s/30ssteepenersasalow-betalongwithabettercarryprofileaheadofthefirstcut.•InterestRateDerivatives:Weremainlongvolatilityexpressedin5-yeartailsaselevat-edpolicyuncertaintyleadstohigherjumpriskandmorefrequentjumpdays.Normaliz-ingreporatesarelikelytobiasthefrontendoftheswapspreadcurvewiderwhileongo-ingQTandelevatedTreasurysupplyarelikelytobiasthelongendnarro...