Global Rates Weekly: NACHO rates

Research evidence excerpt

Global Rates Weekly: NACHO rates

Core views, trades and forecasts

Exhibit 1: Global rates trade quilt

Views / trades in bold when changed / entered this week

US EU UK CA JP AU

Short Long Short Shift from outright long Long

Duration Short bias

Sell 2Y UST Buy 10Y Bund Pay Jun MPC Sonia to neutral Buy 10y ACGB

Flatter 2s5s Flatter Z6-Z7 Steepening bias in 2s10s

Curve Flatter vs forwards Steeper 2s10s vs US 1y fwd 2s10s flattener

Steeper 5s30s Steeper 10y5y-15y5y Short belly of 2s10s30s

Jun27 IMM 2y Euribor-€str CORRA cheaper vs deposit

Bases Short Jun26 SOFR/FF Sonia cheaper vs. Bank TONA below IOER Receive 1y1y AONIA/SOFR

widener rate

Long 1y5y EURi/sell payers 1y1y/2y2y RPI inversion

Inflation Receive 5Y real rates

Receive forward real rates Short 10y5y RPI vs US

Long bias on front end Short bias on 2-10y German Long low coupon Gilt on Z- Short front-end spreads Short invoice spread

Spreads Long 3y future vs swaps

spread (richer USTs) bonds vs swaps spread vs US & 5y JGBs on ASW

Long fwd vol Short left vs right Long front-end payers Long fwd vol

Vol

Short left vs right Long US vs EU payers Long left vs right Long front-end receivers

Source: BofA Global Research. Note: Red = short / steeper / tighter funding, green = long / flatter / looser funding. yellow = mixed, grey = neutral or n/a.. Lighter shades = bias, darker shades = trade.

BofA GLOBAL RESEARCH

Exhibit 2: Rationale behind medium-term views

Global views

US: Fed on hold for ’26, cuts in Q3 ’27; EU: bearish bias near term via Z6-Z7 flattener. We expect one hike in June, another in July; UK: Pay Jun’26 MPC-dated Sonia: the market

CBs erased too much from Jun pricing. We expect one hike in June, another in July; JP: We expect the next rate hike at the June MPM; AU: RBA on hold for rest of ’26; CA: BoC on