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 CONTENTS28 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 27 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 27 25Source: Barclays Research28 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 27253m z-Score3m z-score vs TIPSReal Spline*TII 2.125 Jan 350.75TII 0.125 Jul 26-0.28TII 0.875 Feb 471.94TII 1.000 Feb 491.44TII 2.375 Jan 270.90TII 1.625 Oct 27-0.70TII 1.750 Jan 280.94TII 0.500 Jan 281.35TII 1.750 Jan 340.37TII 1.875 Jul 340.88TII 0.750 Feb 420.87TII 2.375 Feb 550.94TII 0.125 Oct 26-0.55TII 0.375 Jan 270.64TII 0.125 Apr 272.11TII 0.375 Jul 27-1.72TII 3.625 Apr 28-0.30TII 0.875 Jan 29-0.08TII 2.500 Jan 290.10TII 1.625 Apr 30TII 0.125 Jan 31-0.48TII 0.125 Jul 31-0.55TII 0.625 Jul 32-0.90TII 1.125 Jan 33-0.02TII 1.375 Jul 330.40TII 2.125 Feb 411.74TII 1.000 Feb 46-1.78TII 1.000 Feb 480.47TII 0.125 Feb 510.56TII 2.125 Feb 54-0.08TII 1.250 Apr 280.37TII 2.375 Oct 28-1.13TII 1.625 Oct 29-0.45TII 0.125 Jan 300.12TII 0.125 Jul 30-0.01TII 0.125 Jan 320.21TII 0.625 Feb 43-1.13TII 1.375 Feb 44-1.44TII 0.750 Feb 45-2.43TII 0.250 Feb 50-0.52TII 1.500 Feb 53-1.29TII 0.750 Jul 28-0.51TII 2.125 Apr 29-1.57TII 3.875 Apr 29-0.89TII 0.250 Jul 29-0.37TII 3.375 Apr 32-1.62TII 2.125 Feb 40-1.44TII 0.125 Feb 52-1.893m z-score is vs TIPS Real Spline. Strategic indicator is derived from spread to Barclays' adjusted TIPS real yield spline.Source: Barclays Research28 May 2025 Euro Linker Relative Value FrameworkFIGUR