通胀挂钩日报：我们对全球通胀市场的每日分析套餐和评论。

Restricted - External Michael Pond, CFA+1 212 412 5051michael.pond@barclays.comBCI, USIaroslav Shelepko+44 (0) 20 7773 3557iaroslav.shelepko@barclays.comBarclays, UKJonathan Hill, CFA+1 212 526 3497jonathan.hill@barclays.comBCI, US CONTENTS16 May 2025 Short-end Inflation Swaps. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4TIPS Rich/Cheap Report. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6Euro Linker Relative Value Framework. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 7Estimated Seasonally Adjusted Euro Breakevens. . . . . . . . . . . . . . . . . . . . 8Short-dated €i Linker Valuation versus Nominals. . . . . . . . . . . . . . . . . . . 10UK Linker Relative Value Overview. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 12Breakevens vs Base and Energy-Adjusted Barclays CPI Forecast. . . . . . 14Front-end TIPS Breakeven Cheapness History. . . . . . . . . . . . . . . . . . . . . . 15Detailed CPI Fixings m/m Path. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16TIPS Market Summary. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17TIPS Breakeven Performance. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23Euro Area Market Summary. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .25UK Market Summary. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30TIPS Implied 5y5y and 10fwd20y Cash Forward Breakevens. . . . . . . . . . 36TIPS Implied 5y5y and 10yfwd20y Cash Forward Real Yields. . . . . . . . . 38TIPS Implied 1y Tenor Cash Forward Breakevens. . . . . . . . . . . . . . . . . . . 39TIPS Implied 1y Tenor Core Cash Forward Breakevens. . . . . . . . . . . . . .40TIPS Implied 1y Tenor Cash Forward Breakeven Curve. . . . . . . . . . . . . . 411y Tenor Forward US CPI Swap Rates. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42TIPS Implied 1y Tenor Cash Forward Real Yields. . . . . . . . . . . . . . . . . . . . 43TIPS Breakevens to Matched-Maturity CPI Swap Basis. . . . . . . . . . . . . . . 44Trade Table for US 5y5y and 10yfwd20y Cash Forward Breakevens. . . 46Inflation-Linked Swap Forwards. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47Inflation-Linked Swap Carry. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49HICPx vs Nominal Models and Standardized Residuals. . . . . . . . . . . . . . 50TIPS Regression Models. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52TIPS Funds Regression Analysis. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 54TIPS ETF Flows and AUM. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 55Average Errors to Barclays' Seasonal- and Option-Adjusted Real YieldSpline. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 572 Short-end Inflation SwapsFIGURE 2. Market pricing for calendar year average y/y HICPxinflationSource: Barclays ResearchFIGURE 4. Market pricing for calendar year average y/y RPI inflation0%2%4%6%8%10%12%Data as of: May 15 25Source: Barclays Research16 May 2025 TIPS Rich/Cheap ReportFIGURE 8. A Rich/Cheap Scorecard (Cheap, Neutral and Rich Sorted by Ranking Order and Maturity)Data as of: May 14253m z-Score3m z-score vs TIPSReal Spline*TII 1.625 Oct 271.48TII 1.375 Jul 331.03TII 2.125 Jan 350.59TII 1.750 Jan 340.82TII 1.875 Jul 340.11TII 0.875 Feb 472.46TII 1.000 Feb 490.56TII 0.125 Oct 260.11TII 2.375 Jan 271.42TII 0.375 Jul 27-0.30TII 0.125 Jan 310.56TII 0.125 Jul 310.33TII 0.625 Jul 320.00TII 1.375 Feb 440.10TII 0.375 Jan 271.22TII 0.125 Apr 271.05TII 0.500 Jan 280.80TII 0.750 Jul 280.24TII 2.500 Jan 29-0.41TII 0.125 Jan 30-0.02TII 2.125 Feb 410.76TII 0.750 Feb 420.39TII 1.000 Feb 46-0.52TII 0.125 Feb 511.22TII 1.500 Feb 53-0.48TII 2.125 Feb 540.45TII 2.375 Feb 55TII 0.125 Jul 26-1.61TII 3.625 Apr 28-0.51TII 2.375 Oct 28-1.08TII 0.875 Jan 29-0.82TII 3.875 Apr 29-1.21TII 1.625 Oct 290.07TII 1.625 Apr 30TII 0.125 Jan 32-0.14TII 2.125 Feb 40-0.39TII 0.625 Feb 43-1.30TII 0.750 Feb 45-1.79TII 1.000 Feb 48-0.63TII 0.250 Feb 50-0.76TII 1.750 Jan 28-0.72TII 1.250 Apr 28-1.65TII 2.125 Apr 29-0.54TII 0.125 Jul 30-0.97TII 3.375 Apr 32-2.66TII 1.125 Jan 33-0.61TII 0.125 Feb 52-1.73TII 0.250 Jul 29-0.703m z-score is vs TIPS Real Spline. Strategic indicator is derived from spread to Barclays' adjusted TIPS real yield spline.Source: Barclays Research16 May 2025 Euro Linker Relative Value FrameworkFIGURE 9. Euro Linkers Sorted by Issuer and Average Z-scoreData as of:66d Z-scoreMay 15 25S-spreadFwd RYOAT€iOAT€i Green 0.1% Jul 380.61.0OAT€i 0.1% Jul 470.40.9OAT€i 0.7% Jul 300.70.0OAT€i 0.1% Jul 360.20.8OAT€i 0.1% Jul 530.40.4OAT€i 0.95% Jul 43-0.60.5OAT€i 0.6% Jul 34-0.70.3OAT€i 0.1% Jul 310.1-0.5OAT€i 0.10% Mar 29-0.7-0.6OAT€i 1