Inflation Strategist: Real curve symphony in B flat major

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Inflation Strategist: Real curve symphony in B flat major

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Inflation Strategist

Real curve symphony in B flat major

US TIPS: Expect hikes to trigger RY curve inversion 01 July 2026

Hawkish Fed to fight inflation should drive flatter nominal curve & deeper RY inversion; Fixed Income Research

we recommend a forward RY curve flattener. CPI is not the problem, PCE is: Fed focused Global

on restoring 2% PCE means forward inflation swaps may fall further. – M. Swiber Table of Contents

Euro IL: The €100bn question US TIPS 2

The end-July exit from indices of OATei 2027 will extend their duration by 0.34. This Euro IL 3

should help deliver the kind of real rate rally that is often seen in the summer. But it’s UK IL 3

only the start. A further three exits will see a total of €100bn by value leaving indices by EM IL: LatAm 3

next May. This should strongly support our bullish real rate bias. – M. Capleton US Economics 3

UK IL: Long-end UKTi to enjoy the sunshine Euro Area Economics 3

UK Economics 3

As in the Eurozone, summer has typically favoured linkers on a real yield basis and

Research Analysts 3

August index extensions should help this year. We would receive longer-dated forward

real yields. Many would regard RPI reform pricing as much too tight. Perhaps, but it’s not

as obvious as it might appear. – M. Capleton Mark Capleton

Rates Strategist

EM IL: LatAm: Sell inflation in Brazil, buy in Mexico MLI+44 (UK)20 7995 6118

We maintain our short 5y inflation breakeven position in Brazil, and our long 3y inflation mark.capleton@bofa.com

breakeven position in Mexico. Brazil’s tight monetary policy should lead to growth Meghan Swiber, CFA Rates Strategist

deceleration and disinflation in 2027. Mexico’s breakevens are below realized core BofAS