EUR swap: high real rates and normalisation of inflation
中文标题
欧元互换：实际利率高企与通胀正常化
Core conclusion · Tlines extraction
Intesa Sanpaolo expects structurally high real EUR swap rates in 2027, with the 10-year real rate gradually declining to 0.99% by December 2027. The 10-year EUR inflation swap is seen stabilising around 2.2% in late 2026 and falling below 2% by end-2027. The main risks are a rise in term premium, fiscal expansion, and energy shocks.
- Institution
- Intesa Sanpaolo
- Published
- 09/02/2026
- Research topic
- risk assessment · EUR real swap rate
- Time horizon
- medium-term
Key arguments
- The 10-year real EUR swap rate is near fundamentals at 1.15%, with a theoretical value of 1.14%.
- The ECB balance sheet reduction continues to exert upward pressure on equilibrium real rates.
- Base case: ECB holds rates steady and inflation stabilises around 2%, leading to gradual decline in real rates.
- Inflation swap moderately overvalued, expected to converge towards ECB target.
- Key risk is a rise in term premium rather than higher inflation.
Key numbers
- 10y real swap rate forecast (Dec 2026)
- 1.05%
- 10y real swap rate forecast (Dec 2027)
- 0.99%
- 10y inflation swap forecast (Dec 2027)
- 1.98%
- Base scenario real 10Y range
- 0.9%-1.0%
- Term premium increase scenario range
- 1.6%-2.0%
Main risks
- Higher-for-longer ECB rates could push real rates to 1.8-2.0%.
- Sharp rise in term premium could push real rates above 2.0%.
- European fiscal shock could stabilise real rates at 1.2-1.5%.
- New energy shocks or fiscal expansion could keep inflation elevated.
- Deglobalisation and structural inflation risk could lift inflation swaps to 2.5-3.0%.
Corresponding source evidence
The riskiest scenario at present is not that of structurally higher inflation, but rather a rise in the term premium resulting from the normalisation of central bank balance sheets and an increase in the supply of government debt.
· medium-term
Context: the conclusion is Tlines' automated extraction, not the institution's wording. Quoted evidence is publisher wording. Scope and date must travel with the conclusion.
Verify at the original source ↗Loading the document…
AI analysis
How this page was produced
Tlines extracted the conclusion, arguments, numbers and risks above from the report published by Intesa Sanpaolo on 09/02/2026, then structured them for comparison. The publisher's own wording is reachable through the source link on this page and is displayed in full above. Last updated 10/17/2026. Methodology · Source policy · AI usage · Request a correction