US Rates Watch: Monthly rates models: June ’26 edition

Research evidence excerpt

US Rates Watch: Monthly rates models: June ’26 edition

Accessible version

US Rates Watch

Monthly rates models: June ’26 edition

Rates models update – US reflation theme stands 09 June 2026

Macro data suggests increasing likelihood of reflation scenarios (see US Rates Viewpoint Rates Research

report from 2 Jun ’26). US rates (nominal & real) continue to trade cheap vs United States

fundamentals (Exhibit 1 & Exhibit 4), but rich vs the global yield dynamic (reflecting

haven status in a high geopolitical risk context). Positioning gauges show an upgrade of

Bruno Braizinha, CFA

the risk backdrop (e.g. Exhibit 24 & Exhibit 27) over the past month. Curve dynamic Rates Strategist

suggests low but increasing levels of macro conviction (Exhibit 14) but also higher tail BofASbruno.braizinha@bofa.com

likelihoods (led by reflation scenarios – Exhibit 30). Short vol bias continues to reflect a Katie Craig

long carry bias. Rates Strategist

BofAS

Duration and curve katie.craig@bofa.com

10yT FV c.4.15-4.35% vs macro (c.5bp higher over past month– Exhibit 1) and c.5.05%

vs global yields (c.25-30bp higher over past month – Exhibit 29). Dynamic of macro

factors suggest higher reflation likelihoods (Broad Macro +0.61σ) and decreasing Glossary

significance of idiosyncratic factors (Growth, Inflation & Employment – Exhibit 3). USTs 10yT – 10-year Treasury

biased to underperform macro data on geopolitical/oil shock + higher reflation BE – Breakeven inflation

likelihoods. Frontend cheap by > 1.7σ (Exhibit 13). Balance of risks expressed on the c. – circa = approximately

curve dynamic skewed to the upside (i.e., reflation – with c.25-30% likelihood). Corp – Corporate

DM – Developed Markets

Breakevens, TIPS and real yields EFFR – Effective Federal Funds Rate

10y BEs trade in line vs.