全球利率周报：尾旋

27 March 2026 The View: Fights are often easier to start than finish Rates ResearchGlobal Geopolitical headlines drive rates. We like: EU & AU flatteners, US downside growthhedges, 5y5y US inflationand short-dated UK inflation. Inflation expectations matter. ─M. Cabana Rates: Tail spinUS:While we continue to favor longs and steepeners given asymmetric Fed reaction function to oil price shocks, risk taking is historically light EU:We believe it is still too early to fade the front-end selloff. We stay positioned for2s10s and ERZ6-Z7 flattening. Elsewhere, 10s30s, periphery spreads and swap spreadsappear not to be pricing in a lasting structural change in the rates vol environment. UK: Few we talk to see the implied tightening as likely, but the will to oppose the moveisn’t there. We hope for an April Remit makeover to support Gilt spreads. AU: A string of softer economic data has highlighted downside risks to AU growth fromthe oil supply shock. We recommend U6/U7 flatteners. JP: Flow data and our FXRS survey indicate that foreign investors are likely to remain theprimary participants in the JGB market even after the start of the new fiscal year in April. ─M. Cabana, M. Swiber, B. Braizinha, R. Axel, K. Craig, E. Xiao, S. Salim, R. Man, A.Stengeryte, M. Capleton, O. Levingston, I. Hartstein & T. Yamashita Front end: Funding notesUS:UST repo stable with RMPs, dealer sheet, and limited large de-leveraging; SOFR volumes down w/ FICC shift and equity de-gross. ─M. Cabana, E. Xiao & K. Craig Global RatesResearchMLI (UK) Spreads,Inflation,Special Topic Ralf Preusser, CFARates StrategistMLI (UK)+44 20 7995 7331ralf.preusser@bofa.com Spreads EU:We go long 10y PGB vs BGB. Deviating resilience to energy prices andcredit rating paths offer relative value. Inflation EU: BTPei 2028 cheapening easy to miss–we suggest buying on ASW. We alsolike receive OATei 2021-2040 forward real rate here for both macro and micro reasons. Mark Cabana, CFARates StrategistBofASmark.cabana@bofa.com We detail the basic theory, market liquidity and drivers of xccy basis in our primer. Sphia SalimRates StrategistMLI (UK)sphia.salim@bofa.comSee Team Page for List of Analysts ─E. Davidsson, M. Capleton, R. Man, R. Axel, M. Cabana & S. Salim Technicals: Yield breakouts risk new cycle highsConsolidation patterns across DM and EM yields have resolved higher, thus paying rates is the current trend. US 30Y yield patterns estimate a rise to 5.40% in Q2. ─P. Ciana Trading ideas and investment strategies discussed herein may give rise tosignificant risk and arenot suitable for all investors. Investors should have experience in relevant markets and the financialresources to absorb any losses arising from applying these ideas or strategies.BofA Securities does and seeks to do business with issuers covered in its research reports. As a result, investors should be aware that the firm may have a conflict ofinterest that could affect the objectivity of this report. Investors should consider thisreport as only a single factor in making their investment decision.Refer to important disclosures on page 25 to 27. Analyst Certification on page 24 Our medium term views Exhibit1:Our medium-term viewsGlobal views RationaleDuration • US:Receive SOFR M8 as growth risk on higher oil are underpriced• EU:We expect 10y Bund yields to trade in 2.65-3.15% range andend 2026 at 3%. Neutral near term as inflation pressures mount but growth will be affected. Selloff seen into2H26, if energy shock stabilizes, before German fiscal boost drives a selloff to 3%.• UK:Our terminal rate of 3.25% forecast implies below-forward yield forecasts at the front-end. We forecast 10y Gilts at 4.50% by YE25 and 4.70% by YE26.•JP:Our 10‑year JGB yield forecast for end‑2026 remains 2.5%. At this point, fiscal concerns appear to be receding.•AU:We are constructive term swap rates, and recommend long AUD 10y.Front end• US: Long1y1y, June & Dec ’26 SOFR/FF.FFmoving higher; ongoing purchases of MBS to bills + RMPs expected to lower repo+ Warsh less b/s hawkish than market fears• EU:ECB to continue QT and reduce reserves further. We are in Jun26 IMM 1y Euribor-€str wideners on rising funding pressures.• UK:We turned neutral front-end curve now that the market pricing is much more aligned with our base case expectations.•JP:We expect the next rate hike to occur in April 2026, with TONA likely to remain slightly below IOER throughout the year.• AU: We recommendreceiving 1y1y AONIA/SOFR because we see additional receiving pressure from Australian superfunds.Curve• US:5s30s steepener on growth risk alongside oil spike; long 20y UST fly for UST term premium reduction & WAM shortening.• EU:We expect a mild curve flattening near term as inflation pressures remain due to energy shock, while supply pressures diminish. believe curves can steepen in 2H26 but seepotential for the 10y-30y bond curve to be resilient this year as debt agencies shorten WAM of issuance.• UK:Our forecasts i