英文【摩根大通】美国固定收益市场周报

North America Fixed Income Strategy16 May 2025J P M O R G A Nwww.jpmorganmarkets.comContentsSummary of Views3US Fixed Income Overview4Economics12Treasuries16Technical Analysis25TIPS Strategy30Interest Rate Derivatives34Short-Term Fixed Income53Agency MBS58RMBS Credit Commentary71CMBS Weekly76Asset-backed Securities99Corporates110High Yield116CLO123Credit Derivatives127Municipal Markets Weekly132Emerging Markets159Forecast & Analytics162Market Movers Calendar169Fixed Income StrategyJay Barry AC(1-212) 834-4951john.f.barry@jpmorgan.comJ.P. Morgan Securities LLCCross Sector P. White, L. Wash, M. HerckisYields rose and spreads tightened on the back of the tariff announcements over the weekend. We revise upward our real GDP growth forecast and downward our core PCE inflation forecast. For the Fed, we see the four sequential cuts starting in December, and we have revised our Treasury yield forecasts accordingly. We remain neutral on duration but maintain 2s/5s steepeners. Stay bearish on gamma. We continue to maintain our widening bias on front-end spreads but turn neutral on 30-year spreads. We revise our HG, HY, and CLO spread forecasts tighter, and we remain modestly overweight mortgages.Governments J. Barry, P. White, L. WashFollowing the de-escalation in the trade war with China, we revised our Fed call and adjusted higher our Treasury yield forecast; we see 10-year yields reaching 4.35% by year-end, up from 4.00% previously. We remain neutral on duration but hold 2s/5s steepeners. We expect minimal impact on yields if the reconciliation bill is passed. The deficit impact is estimated to be small relative to the $21tn of projected deficits in the current law baseline. Meanwhile, the 5s/30s curve has already steepened dramatically versus fundamentals, and the technical backdrop appears more benign. TIC data showed foreign investors bought $123bn Treasuries in March, the most since August 2022. We revise higher our breakeven forecasts across the curve to 225bp by year-end. Maintain 10Yx20Y inflation swap longs given attractive valuations.Interest Rate Derivatives I. Ozil, P. Michaelides, A. ParikhWe maintain our bias towards wider front end swap spreads due to favorable valuations, but turn neutral on the long end due to potential impacts of Moody’s US credit rating downgrade. Despite risks towards higher yields following this development, we stay bearish on gamma and continue to recommend infrequent delta-hedging as we anticipate a backdrop of rangebound and mean-reverting yields. We discuss the impacts of changes in banking regulations and the likely SLR reform, as well as our views on the various calendar spreads in the Treasury futures complex.Short-Term Fixed Income T. Ho, P. Vohra, M. Herckis Repo levels should remain soft through May, supported by the GSE period and net-negative T-bill supply. Valuation for SOFR/FF for May is fair. SLR relief could help improve overall Treasury market liquidity and mitigate tighter funding conditions, particu