Global Rates Weekly Bonds falling, autumn calling

Global Rates Weekly Bonds falling, autumn calling

04 September 2026 The View: Bonds on sale this September Policy support favors long-end JGBs and USTs, while US payrolls and inflation data will Rates Research shape the rates outlook. US policy steps helped USTs outperform, while the BoJ, RBA Global and BoC delivered or signaled more hawkish policy. Table of Contents ─ S. Salim Core views, trades and forecasts 2

Rates: End of summer bond blues The View 3 US: Hawkish Fed repricing, policy skepticism and weak long-end demand drove yields Rates – US 4 higher. Soft data = clearest reversal catalyst; we stay long 5Y USTs & 5s30s steepener. Rates – EU 6 Rates – UK 8 EU: We expect the ECB to hike and keep a hiking bias, but it might not outhawk market Rates – AU 10 pricing. We close our short EUR front-end vs UK and enter a receive 1y2y OIS vs AU. Rates – JP 12 UK: We close SFIH7/ERH7 narrower, with relative outlook more mixed. We expect DMO Rates – CA 14 to knock a year off issuance WAM in Q4, reducing risk delivery by 18%. Inflation – UK 16 Volatility – US 18 AU: We now see Sep RBA hike and like paying Sep RBA as well as short 1y2y AUD vs Volatility – AU 19 EUR. We close semi ASW trades, H7/H8 flattener and stop out of 10y long. Volatility – JP 21 JP: FY27 budget requests reach record ¥143tn: JGB issuance risks rise, but long-end Technicals 22 supply increase likely avoided. We stay long 30-year ASW and short 6m1y payer 1x2s. Rates Alpha trade recommendations 23 Global rates forecasts 27 CA: BoC held at 2.25% with a modest hawkish tilt as upside inflation risks increased on Appendix: Common acronyms 28 higher oil prices. CAD rates higher, driven by front-end repricing. Research Analysts 33 ─ M. Cabana, M. Swiber, B. Braizinha, R. Axel, K. Craig, E. Xiao, S. Salim, A.. Stengeryte, E. Davidsson, M. Capleton, O. Levingston, I. Hartstein, & T. Yamashita Global Rates Research MLI (UK) Inflation: Peak district Ralf Preusser, CFA US: We reiterate our long linkers versus swaps on a forward starting basis. We now add Rates Strategist a received 2035-to-’38 forward real yield at 2.32%. We think we may be near the top. MLI (UK)

Volatility: Pennies, steamrollers & buybacks Mark Cabana, CFA Rates Strategist US: A richer event calendar should support vol near term. We favor receiver calendars, BofAS short left vs right-side vol, and back-end bear steepeners. Sphia Salim Rates Strategist JP: A hawkish BoJ repricing should flatten curve and support higher vol, led by left side of MLI (UK) the grid. We favor: 2s10s bear flatteners, long left vs right side, short 6m1y payer 1x2. See Team Page for List of Analysts Technicals: The setup into US data favors paying US 2Y US data may provide a chance to pay the 2Y. A head and shoulders pattern suggests paying ~4.26% and looking higher to 4.42% / 4.53%, ideally if above 4.20/4.16%.

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 30 to 32. Analyst Certification on page 29.

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 Pay Sep RBA OIS, short Long 5y UST Long bias Duration Short front-end vs UK Long front-end vs EUR Bullish long-end bias 2y1y vs EUR, Close long 10y Close pay Jan FOMC U6-M7 CORRA flattener ACGB Steeper 2y-10y in Gilts Curve 5s30s steepener 2s10s flattener in options Steepening bias Neutral Flattening bias 15y-20y flattener Jun27 IMM 2y Euribor-€str CORRA cheaper vs deposit Bases Long Dec26 SOFR/FF Sonia cheaper vs. Bank TONA below IOER Pay 2y 6s3s widener rate Short 10y5y RPI vs US Real yield curve flattener…