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 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 23 25Source: Barclays Research26 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 23253m z-Score3m z-score vs TIPSReal Spline*TII 2.125 Jan 351.00TII 2.375 Jan 271.25TII 1.625 Oct 270.11TII 1.750 Jan 340.59TII 1.875 Jul 341.44TII 0.875 Feb 472.26TII 2.375 Feb 550.52TII 0.375 Jan 271.06TII 0.125 Apr 271.94TII 0.500 Jan 280.99TII 0.125 Jan 300.61TII 1.375 Jul 330.53TII 2.125 Feb 412.24TII 1.000 Feb 481.03TII 1.000 Feb 491.63TII 2.125 Feb 540.32TII 0.125 Jul 26-0.67TII 0.125 Oct 26-0.95TII 0.375 Jul 27-1.99TII 1.750 Jan 28-0.28TII 3.625 Apr 28-0.15TII 0.875 Jan 29-0.25TII 2.500 Jan 29-0.13TII 0.250 Jul 290.05TII 1.625 Apr 30TII 0.125 Jan 31-0.88TII 0.125 Jul 31-0.71TII 0.125 Jan 320.14TII 0.750 Feb 420.31TII 1.250 Apr 28-0.10TII 2.375 Oct 28-1.07TII 3.875 Apr 29-0.85TII 1.625 Oct 290.38TII 0.125 Jul 30-0.58TII 0.625 Jul 32-1.26TII 1.125 Jan 33-0.45TII 0.625 Feb 43-1.55TII 1.375 Feb 44-1.85TII 0.750 Feb 45-2.80TII 1.000 Feb 46-1.09TII 0.125 Feb 51-0.04TII 1.500 Feb 53-0.56TII 0.750 Jul 28-1.35TII 2.125 Apr 29-0.71TII 3.375 Apr 32-2.02TII 2.125 Feb 40-1.58TII 0.250 Feb 50-0.80TII 0.125 Feb 52-2.643m z-score is vs TIPS Real Spline. Strategic indicator is derived from spread to Barclays' adjusted TIPS real yield spline.Source: Barclays Research26 May 2025 Euro Linker Relative Value FrameworkFIGURE 9. Euro Linkers Sorted by Issuer and Average Z-scoreData as of:66d Z-scoreMay 23 25S-spreadFwd RYOAT€iOAT€i 0.1% Jul 470.31.6OAT€i 0.1% Jul 310.20.3OAT€i 0.1% Jul 360.11.0OAT€i Green 0.1% Jul 380.21.3OAT€i 0.95% Jul 43-0.71.0OAT€i 0.10% Mar 29-1.0-0.8OAT€i 0.1% Jul 53-1.11.1OAT€i 0.6% Jul 34-0.9-0.1OAT€i 1.8% Jul 40-0.30.4OAT€i 0.7% Jul 30-1