Family fight

Global Rates Weekly Family fight

24 July 2026 The View: Seeing red sea Red sea, Hormuz, war escalation, and central banks will be in focus. Oil retraced to pre- Rates Research MOU levels, pushing rates higher and curve flatter, especially in the US on the back of Global firm data and easy financial conditions. Next week: FOMC, BoE, and BoJ. Table of Contents ─ M. Cabana Core views, trades and forecasts 2

Rates: July limbo dance The View 3 US: July hike uncertainty is highly unusual, we have greater conviction on degree of hikes Rates – US 4 getting priced further; stay paid 2y rates. A hawkish Fed, heavy IG supply, and investors Rates – EU 6 with room to cut duration and credit risk all argue for higher yields. Rates – UK 8 Rates – AU 10 EU: The ECB kept its calm. We still expect a second hike in Sep, with risks of a third one. Rates – JP 12 Rates markets remain at the mercy of positioning and commodity prices. Front end – US 14 UK: We maintain our steepening bias in 2s10s Gilts and stay long 7y Gilts on ASW into Special Topic 16 next week’s BoE. We expect a hold and will look out for any hints on QT. Technicals 17 Rates Alpha trade recommendations 18 AU: Close paid AU 3y swap EFP, 2y1y vs US. Increasing long end demand supports long Global rates forecasts 22 30y JGB ASW. Appendix: Common acronyms 23 JP: Increasing long-end demand outside the trust-bank channel supports a long ASW Research Analysts 28 view. We rec long 30-year JGBs on ASW at 45bp (target of 35bp, stop-loss at 52bp).

─ M. Cabana, M. Swiber, B. Braizinha, R. Axel, K. Craig, E. Xiao, S. Salim, R. Global Rates Research Preusser, A. Stengeryte, M. Capleton, O. Levingston, I. Hartstein, T. Yamashita & S. MLI (UK)

Yamada Ralf Preusser, CFA Rates Strategist MLI (UK) Front end: July outflows, WAMs shorter

US: MMFs saw larger than expected mid-month outflows in July. MMF WAMs continue to Mark Cabana, CFA Rates Strategist shorten, driven by uncertainty around the path of Fed hikes. BofAS ─ M. Cabana & K. Craig Sphia Salim Rates Strategist Special Topic: Summer carry MLI (UK) The summer carry bias seems to be more myth than statistical reality. Macro regimes See Team Page for List of Analysts likely matter more than seasonals in driving carry performance.

Technicals: Pay rates bias meets seasonal risks US yield charts show uptrend continuation patterns with higher yield targets outstanding and higher yield supports continuing to hold on dips.

Trading ideas and investment strategies discussed herein may give rise to significant risk and are not suitable for all investors. Investors should have experience in relevant markets and the financial resources 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 of interest that could affect the objectivity of this report. Investors should consider this report as only a single factor in making their investment decision. Refer to important disclosures on page 25 to 27. Analyst Certification on page 24.

Core views, trades and forecasts Exhibit 1: Global rates trade quilt Views / trades in bold when changed / entered this week US EU UK CA JP AU Short Duration Long bias on x-market basis Bullish front-end bias Long CA 2y vs short 2y US Bullish long-end bias Long 10y ACGB Sell 2Y UST Closed flatter Z6-Z7 Steeper 2y-10y in Gilts Neutral; Removed 2s10s Curve Flatter 2s10s Steeper 2s10s vs US Steepening bias vs US 2s10s flattener in options 15y-20y flattener steepening bias Short Jul26 SOFR/FF Jun27 IMM 2y Euribor-€str CORRA cheaper vs deposit Bases Sonia cheaper vs. Bank TONA below IOER Pay 2y 6s3s Long Dec26 SOFR/FF widener rate 1y2y inflation flattener / 1y1y vs Long 1y5y EURi/sell payers Short 10y5y RPI vs US Inflation 1y9y real yield curve flattener Receive forward real rates Closed rec fwd real rates Short bias on 2-10y German Long low cpn 2y & 7y Gilts Short front-end spreads Tactical receive bias into Spreads Long 2Y ASW Long 30Y ASW bonds vs swaps on Z-spread vs US Aug (Kanga issuance) Vol supported, Vol underperforming Vol Long fwd vol, 10s flatteners…