异常的不确定性

Restricted - External Rates ResearchAnshul Pradhan+1 212 412 3681anshul.pradhan@barclays.comBCI, USRohan Khanna+44 (0) 20 7773 0533rohan.khanna1@barclays.comBarclays, UKMoyeen Islam+44 (0) 20 7773 4675moyeen.islam@barclays.comBarclays, UKInflation-Linked ResearchMichael Pond, CFA+1 212 412 5051michael.pond@barclays.comBCI, US Derivatives StrategyDownside tail risk asymmetry in the EUR term structure. . . . . . . . . . . . . 22Divergence in EUR front- and long-end vol looks stretched. In a bullish tail scenario, end-of-cycledynamics and Philips curve convexity would support front-end vol, while non-linear fiscalmultipliers limits long-end distribution. This asymmetry can be captured by a 1y1y vs 1y10ybull-steepener.Euro Area: Rates StrategyNeutral is here. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 32Focus at next week's ECB meeting will be on the GC's appetite to cut rates below 2%, in light ofrecenttariffnewsflow, EUR strength and energy price declines. In EUR STIR, we recommendpaying the belly of the ERU5H6U6 fly. Further out, we argue for continued long-end curvesteepening.Euro Area: Inflation-Linked MarketsWaiting for rain. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 40HICPx forwards remain priced below the target-consistent levels on a sub-3y horizon. The near-term correction looks challenging unless the ECB delivers a dovish surprise in June. We retainour bullish bias in EUR inflation via long 5y Spain BEs.UK: Rates StrategyFiscal risk and the curve. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 43Long-dated gilt yields look cheap on a number of metrics. The combination of valuations andlight supply has led to increased interest in curve flattening risk. Implicitly, fiscal risk is nowbeing progressively priced in the 10y sector, but a reversal back into the 30y sector remains arisk.CHF and SEK: Rates StrategyThe missing jigsaw puzzle pieces. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 47We discuss the key data to watch out for ahead of the Riksbank and SNB meetings, why wethink they are important and explain why we see value in front-end longs and steeper SEKcurves, especially vs CHF. We recommend entering RAZ5 longs and paying 3y2y SEK vs CHF.Japan: Rates StrategyFY24 life insurer results. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .52Lifers net sold superlong JGBs in FY24 and are unlikely to significantly expand their investmentgiven the phase-out of special regulatory demand, switching activity and impairments. Theirforeign bond investment dropped further with FX hedge ratios kept low, and EM investmentremained subdued.Global Rates MarketsSummary of views. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 68A summary of our views on duration, curve, swap spreads, inflation and volatility across the US,Europe, and Japan.ForecastsGlobal bond yield forecasts. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 72Our latest bond yield forecasts for the US, the euro area, the UK and Japan. 2 United States: Interest RatesUnusual uncertaintyContinued trade uncertainty does not bode well for theoutlook, arguing for lower yields. Absence oftariffrevenueswould result in higher deficits but the medium-term fiscalprofile would hew close to the current policy baseline. Weremain of the view that there is ample long-end termpremium.The long end of global bond markets rallied last week amid supply relief in the JGB market andUS bond investors extending out the curve to take advantage of attractive levels. Figure 1 showsthat 30y JGBs rallied almost 20bp over the past week, followed by German and UK governmentbond markets, with the US 30y rallying by 11bp. Real yields and breakevens were lower over theweek ( Figure 2).Last week in the report In the endgame, we argued that long-term yields had risen sharply sincethe US elections, already pricing in a significant increase in deficits over the coming decade. At5.1%, 30y yields were embedding a significant term premium, potentially to the tune of 200bp,to compensate investors for taking duration risk. In addition, the Treasury has a big toolkit. Ifneeded, it can scale up the buyback program and tilt issuance away from the long end andtowards bills.The recent ruling (and its subsequent stay) has indeed created uncertainty abouttariffrevenues. However, our public policy strategists believe that President Trump has other legalauthorities fortariffsat his disposal, including acceleration of sectoraltariffsor relying on otherlaws that still give the President a fair bit of discretion (see here).Ultimately, what thissuggests is that trade policy uncertainty will remain elevated, but the end state could verywell still include significanttariffrates and revenues.Hence, while 30y yields have fallen to 4.9%, we