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GILT SUMMARY: Dec Gilt future was trading around unchanged levels before late
afternoon sell off saw a little bit of volatility. In terms of yield curve this
is marginally steeper as ultra long-end underperforms by 0.5bps.
- There did not appear to be a reason for the sudden sell-off, however, Gilt
roll volume quickly picked up although the spread remained steady at 91/92.
- 2-yr Gilt yield is +1.3bp at 0.472%, 5-yr +1.3bp at 0.742%, 10-yr +1.2bp at
1.262% and 30-yr +1.7bp at 1.815%.
- Trading has been light due to dearth of economic data and any update on
Brexit, however, calendar future rolls has exaggerated volumes.
- Gilts open slightly higher, more than likely on the back of Brexit uncertainty
as EU President Tusk said it will be an uphill struggle for the UK to meet
'enough progress' to move talks onto the next stage with the Irish boarder being
a particular contentious issue. Next key date will be Dec 04 when PM May is due
to meet with EU's Juncker and Tusk.
- Swap spreads are marginally tighter, while breakevens are between 0.8bp to
1.5bp wider with the 30-yr underperforming