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 CONTENTS23 May 2025 Short-end Inflation Swaps. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 4TIPS Rich/Cheap Report. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 5Euro Linker Relative Value Framework. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 6Estimated Seasonally Adjusted Euro Breakevens. . . . . . . . . . . . . . . . . . . . 7Short-dated €i Linker Valuation versus Nominals. . . . . . . . . . . . . . . . . . . . 8UK Linker Relative Value Overview. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9Breakevens vs Base and Energy-Adjusted Barclays CPI Forecast. . . . . . 11Front-end TIPS Breakeven Cheapness History. . . . . . . . . . . . . . . . . . . . . . 12Detailed CPI Fixings m/m Path. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13TIPS Market Summary. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14TIPS Breakeven Performance. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 20Euro Area Market Summary. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .21UK Market Summary. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 26TIPS Implied 5y5y and 10fwd20y Cash Forward Breakevens. . . . . . . . . . 32TIPS Implied 5y5y and 10yfwd20y Cash Forward Real Yields. . . . . . . . . 33TIPS Implied 1y Tenor Cash Forward Breakevens. . . . . . . . . . . . . . . . . . . 34TIPS Implied 1y Tenor Core Cash Forward Breakevens. . . . . . . . . . . . . .35TIPS Implied 1y Tenor Cash Forward Breakeven Curve. . . . . . . . . . . . . . 361y Tenor Forward US CPI Swap Rates. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 37TIPS Implied 1y Tenor Cash Forward Real Yields. . . . . . . . . . . . . . . . . . . . 38TIPS Breakevens to Matched-Maturity CPI Swap Basis. . . . . . . . . . . . . . . 39Trade Table for US 5y5y and 10yfwd20y Cash Forward Breakevens. . . 41Inflation-Linked Swap Forwards. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 42Inflation-Linked Swap Carry. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43HICPx vs Nominal Models and Standardized Residuals. . . . . . . . . . . . . . 44TIPS Regression Models. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 45TIPS Funds Regression Analysis. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46TIPS ETF Flows and AUM. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47Average Errors to Barclays' Seasonal- and Option-Adjusted Real YieldSpline. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 482 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%Mar-22Jun-22Sep-22Dec-22Mar-23Jun-23Sep-23Dec-23Mar-24Data as of: May 22 25Source: Barclays ResearchFIGURE 6. Market pricing for calendar year average y/y CPI inflation0%1%2%3%4%5%Mar-22Jun-22Sep-22Dec-22Mar-23Jun-23Sep-23Dec-23Mar-24Jun-24202320242025Data as of: May 22 25Source: Barclays Research23 May 2025 Jun-24Sep-24Dec-24Sep-24Dec-24 Source: Bloomberg, Barclays Research TIPS Rich/Cheap ReportFIGURE 8. A Rich/Cheap Scorecard (Cheap, Neutral and Rich Sorted by Ranking Order and Maturity)Data as of: May 22253m z-Score3m z-score vs TIPSReal Spline*TII 2.125 Jan 351.16TII 2.375 Jan 271.30TII 1.625 Oct 27-0.04TII 0.875 Feb 472.25TII 1.000 Feb 480.52TII 1.000 Feb 491.63TII 0.375 Jan 271.26TII 0.125 Jan 300.62TII 1.750 Jan 340.37TII 1.875 Jul 341.29TII 1.000 Feb 46-0.44TII 2.375 Feb 550.41TII 0.125 Jul 26-0.77TII 0.125 Oct 26-0.70TII 0.125 Apr 271.15TII 0.375 Jul 27-1.89TII 1.750 Jan 28-0.35TII 0.500 Jan 280.92TII 3.625 Apr 28-0.02TII 2.500 Jan 29-0.04TII 0.250 Jul 290.35TII 1.625 Apr 30TII 0.125 Jul 31-1.09TII 0.125 Jan 320.18TII 1.375 Jul 330.48TII 2.125 Feb 411.90TII 0.750 Feb 420.13TII 1.500 Feb 530.19TII 2.125 Feb 540.12TII 1.250 Apr 28-0.10TII 2.375 Oct 28-1.09TII 0.875 Jan 29-0.32TII 3.875 Apr 29-0.56TII 1.625 Oct 290.29TII 0.125 Jul 30-0.71TII 0.125 Jan 31-1.46TII 0.625 Jul 32-0.97TII 1.125 Jan 33-0.47TII 0.625 Feb 43-1.24TII 1.375 Feb 44-1.43TII 0.750 Feb 45-2.92TII 0.250 Feb 50-0.81TII 0.125 Feb 51-0.07TII 0.750 Jul 28-1.63TII 2.125 Apr 29-0.76TII 3.375 Apr 32-1.88TII 2.125 Feb 40-1.33TII 0.125 Feb 52-2.833m z-score is vs TIPS Real Spline. Strategic indicator is derived from spread to Barclays' adjusted TIPS real yield spline.Source: Barclays Research23 May 2025 Euro Linker Relative Value FrameworkFIGUR