Global Rates Weekly: Family fight

Research evidence excerpt

Global Rates Weekly: Family fight

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

Duration Long bias on x-market basis Bullish front-end bias Long CA 2y vs short 2y US Bullish long-end bias Long 10y ACGB

Sell 2Y UST

Closed flatter Z6-Z7 Steeper 2y-10y in Gilts Neutral; Removed 2s10s

Curve Flatter 2s10s Steeper 2s10s vs US Steepening bias vs US

2s10s flattener in options 15y-20y flattener steepening bias

Short Jul26 SOFR/FF Jun27 IMM 2y Euribor-€str CORRA cheaper vs deposit

Bases Sonia cheaper vs. Bank TONA below IOER Pay 2y 6s3s

Long Dec26 SOFR/FF widener rate

1y2y inflation flattener / 1y1y vs Long 1y5y EURi/sell payers Short 10y5y RPI vs US

Inflation

1y9y real yield curve flattener Receive forward real rates Closed rec fwd real rates

Short bias on 2-10y German Long low cpn 2y & 7y Gilts Short front-end spreads Tactical receive bias into

Spreads Long 2Y ASW Long 30Y ASW

bonds vs swaps on Z-spread vs US Aug (Kanga issuance)

Vol supported, Vol underperforming

Vol Long fwd vol, 10s flatteners Long fwd vol via rec calendars

Sell front-end payers 1x2 6m1y risk reversals

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 to hike 75bp from Sep-Dec ‘26; EU: We expect one more hike in Sep 26, but cuts from 1H27; UK: No longer expecting hikes in 2026; JP: We expect the next rate hike

CBs

at the October MPM; AU: RBA on hold for rest of ’26; long Dec ’26 RBA OIS vs Jan ’27 BOJ OIS CA: BoC on hold for ’26 with risk priced for hikes