Inflation-Linked Daily: Watching 5%

Research evidence excerpt

FICC Research

Interest Rates

15 September 2026

Inflation-Linked Daily

Watching 5%

Our daily analytics package and commentary on global

inflation markets.

US CPI: On Monday, WTI rose to $102, while the 10y nominal yield surpassed 5% for the first

time since 2023. As a reminder, there are two key risk events for the US inflation market this

week: the FOMC rate decision on Wednesday and the 10y TIPS auction on Thursday. Our

economists continue to expect a 25bp rate hike, and anticipate a dovish dissent from Waller,

and potentially another from Bowman; they note that lower unemployment projections and a

higher policy path would reinforce the message that inflation risks remain tilted to the

upside. Carry-adjusted real yields rallied on Monday: 2y -2bp, 5y +0bp, 10y -2bp, 30y -3bp.

Carry-/RBOB-adjusted breakevens fell: 1y -1bp, 2y -1bp, 5y -1bp, 10y +0bp, 30y +0bp. Forward

breakevens: 1y1y -1bp, 2y3y -1bp, 5y5y +1bp, 10y20y +0bp.

Jonathan Hill, CFA

BCI, US

Apostolos Apostolou

BCI, US

EUR HICPx and FRCPIx: Brent rose to $106/bbl, and the TTF Natural Gas 1m Forward contract

rose to $82 on Monday. Carry-adjusted real yields: 2y +6bp, 5y +4bp, 10y +1bp, 30y -4bp.

Breakevens: 1y -7bp, 2y -3bp, 5y +0bp, 10y -2bp, 30y +0bp. HICPx swaps: 1y +9bp, 2y +6bp, 5y

+3bp, 10y +2bp, 30y +1bp. This week brings French, Italian, and Spanish CPI figures, as well as

Euro area HICP. AFT will issue a new OATei 2.1% 03/2037 on Thursday (EUR2-2.5bn).

UK RPI: Carry-adjusted real yields on Monday: 2y +0bp, 5y +3bp, 10y +3bp, 30y -1bp.

Breakevens: 1y +13bp, 2y +2bp, 5y +5bp, 10y +1bp, 30y +0bp. RPI swaps: 1y +17bp, 2y +6bp, 5y

+4bp, 10y +2bp, 30y +0bp. This week brings the RPI release and BoE meeting; our economists

nowcast UK RPI at 421.7 (3.4% y/y) and expect the MPC to maintain Bank Rate at 3.75%.

FIGURE 1. Events Table

Sep 14

US

EUR

UK

Sep 15

ADP Employment

Empire Manufacturing

Sep 16

Sep 17

Jobless Claims

Housing Starts

Home Sales

Euro area HICP

OATei 37 Supply

Retail Sales

FOMC Rate Decision

France CPI

Spain CPI

ILO Unemployment

Claimant Count Rate

Jobless Claims

Italy CPI

CPI

RPI

BoE Bank Rate

GfK Consumer Confidence

Source: Barclays Research

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