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 CONTENTS20 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. . . . . . . . . 37TIPS Implied 1y Tenor Cash Forward Breakevens. . . . . . . . . . . . . . . . . . . 38TIPS Implied 1y Tenor Core Cash Forward Breakevens. . . . . . . . . . . . . .39TIPS Implied 1y Tenor Cash Forward Breakeven Curve. . . . . . . . . . . . . . 401y Tenor Forward US CPI Swap Rates. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41TIPS Implied 1y Tenor Cash Forward Real Yields. . . . . . . . . . . . . . . . . . . . 42TIPS Breakevens to Matched-Maturity CPI Swap Basis. . . . . . . . . . . . . . . 43Trade Table for US 5y5y and 10yfwd20y Cash Forward Breakevens. . . 45Inflation-Linked Swap Forwards. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46Inflation-Linked Swap Carry. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48HICPx vs Nominal Models and Standardized Residuals. . . . . . . . . . . . . . 49TIPS Regression Models. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 50TIPS Funds Regression Analysis. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 52TIPS ETF Flows and AUM. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 53Average Errors to Barclays' Seasonal- and Option-Adjusted Real YieldSpline. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 552 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 19 25Source: Barclays Research20 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 19253m z-Score3m z-score vs TIPSReal Spline*TII 1.625 Oct 270.76TII 1.375 Jul 330.70TII 1.875 Jul 340.96TII 1.750 Jan 340.59TII 2.125 Jan 351.09TII 0.875 Feb 472.40TII 1.000 Feb 490.88TII 0.125 Oct 26-0.03TII 2.375 Jan 271.30TII 1.375 Feb 44-0.26TII 2.125 Feb 540.51TII 0.375 Jan 271.05TII 1.750 Jan 28-0.22TII 0.500 Jan 280.91TII 3.625 Apr 28-0.06TII 0.750 Jul 28-0.50TII 2.125 Apr 29-0.38TII 1.625 Oct 290.78TII 0.125 Jul 31-0.16TII 1.125 Jan 33-0.34TII 2.125 Feb 410.75TII 0.750 Feb 420.10TII 1.000 Feb 46-1.24TII 0.125 Feb 510.86TII 1.500 Feb 53-0.41TII 2.375 Feb 55TII 0.125 Jul 26-1.08TII 0.125 Apr 270.70TII 0.375 Jul 27-0.88TII 2.375 Oct 28-1.32TII 0.875 Jan 29-1.15TII 2.500 Jan 29-0.91TII 3.875 Apr 29-1.12TII 0.250 Jul 290.25TII 0.125 Jan 300.11TII 1.625 Apr 30TII 0.125 Jul 30-0.46TII 0.125 Jan 320.05TII 0.625 Jul 32-1.48TII 0.625 Feb 43-0.94TII 0.750 Feb 45-1.47TII 1.000 Feb 48-0.66TII 0.250 Feb 50-0.85TII 1.250 Apr 28-0.82TII 3.375 Apr 32-2.32TII 2.125 Feb 40-0.54TII 0.125 Feb 52-1.92TII 0.125 Jan 31-0.813m z-score is vs TIPS Real Spline. Strategic indicator is derived from spread to Barclays' adjusted TIPS real yield spline.Source: Barclays Research20 May 2025 Euro Linker Relative Value FrameworkFIGURE 9. Euro Linkers Sorted by Issuer and Average Z-scoreData as of:66d Z-scoreMay 19 25S-spreadFwd RYOAT€iOAT€i 0.1% Jul 361.00.7OAT€i 0.1% Jul 470.50.8OAT€i Green 0.1% Jul 381.00.5OAT€i 0.1% Jul 530.40.4OAT€i 0.7% Jul 300.9-0.7OAT€i 0.1% Jul 311.2-0.5OAT€i 0.95% Jul 43-0.50.1OAT€i 0.6% Jul 34-0.3-0.2OAT€i 1.85% Jul 27-0.4OAT€i