FICC Focus Macro Matters: Inflation Pricing With JPMorgan’s Phoebe White
Aug 14, 2025
Phoebe White, Head of Inflation Strategy at JPMorgan, specializes in TIPS and inflation derivatives. She discusses the potential impact of a September interest-rate cut by the Federal Reserve on inflation expectations. Phoebe explains how Treasury Inflation-Protected Securities work as a hedge for investors and navigates the complexities of the TIPS market. She highlights the relationship between real yields and inflation, emphasizing trading strategies influenced by economic reports and Fed policies, while also delving into the importance of analyzing core CPI.
AI Snips
Chapters
Transcript
Episode notes
How TIPS Mechanically Hedge Inflation
- TIPS provide inflation-protected cash flows via a real coupon and an inflation-indexed principal adjusted on a three-month CPI lag.
- TIPS also include a maturity floor paying the greater of adjusted principal or original principal.
Index Lag And The Deflation Floor
- The inflation index for TIPS uses a three-month lag and TIPS are floored at par at maturity.
- That floor becomes valuable only in strong deflation worries, otherwise it's a small component.
Inflation Swaps vs TIPS Exposure
- Zero-coupon inflation swaps depend only on the CPI reference at maturity and are not path-dependent.
- Inflation swaps therefore express pure inflation expectations separate from TIPS' real-yield duration exposure.