六月生机盎然

Restricted - External Alessandro Di Spirito+44 (0) 20 3555 0515alessandro.dispirito@barclays.comBarclays, UKRohan Khanna+44 (0) 20 7773 0533rohan.khanna1@barclays.comBarclays, UK FIGURE 1. Our SSYZ5Z6 steepener has not performed as well as SSYZ5long and SSYZ5Z7 steepener since inceptionFIGURE 2. The SSYZ5Z6 bull-steepening phase has come to a halt-0.8-0.6-0.4-0.200.20.40.60.81Nov 24Dec 24Jan 25Feb 25Mar 25Apr 25May 25Z5Z6 Correlation with Z5 (21d)Z5Z6bullflattens-bear steepensThe chart shows the performance since the inception of our trade inDirection defined by Z5 move.Source: Bloomberg, Barclays ResearchWhat are the SNB's options and implications?If the SNB lowers policy rates by 25bp in June to0%, we expect them to keep the current tiering framework and remunerate sight deposits inexcess of the threshold at -25bp. Therefore, the stock of bills and repos would also bepreserved. We expect SARON to show full transmission of the rate cut and settle at -5bpfollowing the policy move.In case of a larger cut (50bp) such that policy rates move into NIRP straight away (to -0.25%), weexpect the SNB to revert to the tiering framework it used previously. Sight deposits up to acertain threshold would be remunerated at 0% whereas those in excess of the threshold wouldbe remunerated at the negative policy rate. The SNB would have stop renewing its bills andrepos. In this scenario, we expect SARON to fix c.-0.15% the day following the decision and thengradually converge to -0.2%. The pace of the convergence would be determined by how quicklythe SNB can increase supply of reserves, for example, by announcing a buy-back of SNB bills.Thoughts on our SSYZ5Z6 steepener recommendationOn 4 April, we recommended positioning in CHF rates via a SSYZ5Z6 steepener. Our firstobservation was that, in the days immediately before andafterthe UStariffsannouncement,the bullish price-action had led to a sharp flattening of that segment of the curve, as the marketfound it easier to fade the hikes previously priced in Z6 than to price significantly more easing inZ5. At that level (6bp at the time of writing our note), we thought we had reached a plateau,with our arguments being twofold. Firstly, if the melt-down had continued, the market hadspace to add add more easing into 2025, given a policy rate still in positive territory and a SNBthat had flagged willingness to cut cut rates into negative territory, if needed. In turn, a negativepolicy rate as soon as this year, would have meant little to no more policy space into 2026, andtherefore a steeper Z5Z6 curve. Secondly, if the the panic ended that segment of the curvewould have steepened back towards thepre-tariffsturmoil.The curve has indeed bull-steepened in the first few daysafterwe recommended our trade butstruggled to cross the 15bp level ever since, even if SSYZ5 has kept rallying. Putdifferently,aftermid-April, bullish front-end moves have tended to result in Z6 outperforming Z5, and thereforea slightly flatter Z5/Z6 curve, as illustrated in Figure 2. The trade so far has underperformed Z5longs, but in risk-adjusted terms the performance would have been similar. In hindsight, Z5/Z7steepener would have been a better trade, admittedly.2 Source: Bloomberg, Barclays Research15 May 2025 FIGURE 4. 1y1y CHF has continued outperforming EUR so far thisFIGURE 5. As CHF specific bullish impulses are coming to the forefront-60-50-40-30-20-10010Mar 25Apr 25May 25USD drivenEUR drivenCHF specificCHF 1y1yDecomposed cumulativechange since mid March in bpSource: Bloomberg, Barclays ResearchWhy do we keep our recommendation open (entry: 6bp, current: 13bp)?We remain of theview that the the SNB will return to negative interest rate policy this year, but given that themarket is already priced for more than 40bp of additional easing by the end of the year, we areunwilling to chase outright Z5 longs at these levels. Should the SNB decide to deliver a 50bp cutat the June meeting, we feel that with two more meetings before the end of theyear, significantly more easing would need to priced into Z5. At that point, Z5Z6 should go backinto bull steepening mode. The trade would also work in a scenario where the market startspricing higher chances of more substantial hikes into 2026, globally. On the flipside, the tradewouldsufferin a scenario where the SNB delivers 25bp at the June meeting, shows willingnessto cut more, but asks the market for patience. The trade would not work either in a scenariowhere the SNB decides not to cut in June. That said, in our view, these latter two scenarios havelittle chances of materializing.FIGURE 3. Z5Z6 in CHF is flatter than in EUR, while Z6 in SARON looks rich on the Z5Z6Z7 fly151313-11-412831221119-50-40-30-20-1001020304050EURCHFSEKGBPUSDZ5Z6 (bp)Z6Z7 (bp)Z5Z7 (bp)Source: Bloomberg, Barclays Research3 FIGURE 6. SEK front-end rates have outperformed since the ToTo sagaFIGURE 7. The market is pricing the Riksbank and the ECB to deliver asimilar amount of easing by the end