欧洲利率观察

25 May 2026 Futures positioning:Core and more coreOutstanding:Across the German curve, DU remains the most net-long contract (Exhibit Rates ResearchEurope 11). Positioning is net short in OE and even more so in RX, while UB sits close to neutral.Investors remain net long in Italian futures, and neutral in French. European RatesResearchMLI (UK) Weekly change (Wed-Wed):Open interest increased for all German future contracts,with net positioning turning more long/less short across the curve (Exhibit 12). Incontrast, positioning in Italian and French futures was led by added shorts However, aswe begin to approach the rolling period, we grow increasingly hesitant in relying onfutures positioning as proxy for broader market positioning/sentiment. Edvard DavidssonRates StrategistMLI (UK)edvard.davidsson@bofa.com Sphia SalimRates StrategistMLI (UK)sphia.salim@bofa.com French headwinds, long 10y EU vs FranceHeading into the summer months, wesee several headwinds for France that the market Nathan Thomas, CFARates StrategistMLI (UK)nathan.thomas@bofa.comSee Team Page for List of Analysts may be underappreciating. First, 45% of expected 2026 net French govt bond supply isscheduled for the Jun-Aug period. Second, with the budget season approaching, theverdict determining Le Pen's potential candidacy in July, and the eventual presidentialrace beginning, we remain concerned that political & fiscal risks would start to weigh onOATs early on. Current valuations do not appear to reflect this. Lastly, Moody’smaintains a negative outlook; by the October review that outlook will have been in placefor 12 months - within the typical 12–18 month window when outlook-driven ratingactions often occur. For a complete list of our open traderecommendations, as well as ourtrade recommendations closed overthe last 12 months,, see latestGlobalRates Weekly In theGlobal Rates Weekly, 22 May 2026werecommend going long EU 3.75% Dec-35 vs FRTF 3.5% Nov-35at 30bp, targeting 40bp with a stop at 25bp (tightest levelthis year, reached on Feb 25th). The risks are a larger increase in EU bond supply thancurrently communicated and growth/fiscal outperformance in France. Abbreviations can be found in:Exhibit50 Germany:Central Banks & banks step up purchases In March 2026:leveraged investorsnet sold€3bn of German government securities(Exhibit 43), with the largest outflows seen in 30y (Exhibit 44).Banknet purchasesreached past€13bn, with largest purchases seen in Bubills and 10y (Exhibit 45&Exhibit46).Central banknet purchases notably picked up to€32bn, with the 2-10y sectorseeing the largest inflows (Exhibit 47&Exhibit 48). Supply: Time for syndications?We expect gross EGB supply at€15-18bn next week through auctions. In addition, we see potential for several syndications. First, Portugal cancelled their auction next week,indicating they may instead offer a syndication (expect 15-30y for€3bn). Spain has inthe last two years offered a 10y syndication at the end of May (expect€10-15bn).Greece may also offer€2-3bn, with 5y/15y/30y tenor or dual-tenor offering. Lastly,there will be large redemptions paid on Jun 1stthat could be reinvested from next week. Trading ideas and investment strategies discussed herein may give rise to significant risk and arenot suitable for all investors. Investors should have experience inrelevant 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 researchreports. 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 19 to 21. Analyst Certification on page 18 Supply: Next 2 weeks and 2026 estimatesGlobal bond supply/redemptions next 2 weeks Exhibit1: Eurozone, UK and US government bond supply and C&R in the next two weeksHigher coupon and redemption flows with relatively lower gross supply leads to a negative net supply of €33.55bn DV01 of gross EGB issuance expected to drop in this second half of Q2 Gross and net supply estimates for 2026 Exhibit3: 2026 vs 2025 gross and net supply.WAM of 2026 issuance is lower than WAM of issuance at this point last year. Exhibit5:Projected supply net of coupons, redemptions,buybacksand QEMonthly net supply through the year Syndication projections and results Exhibit6: BofA expectations in terms ofsyndications by countryMost countries will conduct their first syndication in January, with a likely focus on the 10y sector. We also discuss what historical patterns imply for other syndications. Source:Bondradar, Belgian debt agency, BofA Global Research Exhibit10: IRISH Oct43 Green syndications allocation results bygeography of investor, %Increased allocations to non-European investors Exhibit9: IRISH Oct43 Green syndications alloca