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GILTS: Continue To Underperform Peers; 2-year Yield Headlines Erroneous

GILTS

Gilt yields are 3.5 to 5.5bps higher today as UK paper underperforms German and US peers.

  • Headlines suggesting a larger rise in 2-year Gilt yields were likely drawn from the {GUKG2 Index} ticker, which underwent some interesting/erroneous markings earlier (see chart).
  • Yields on the current on-the-run 2-year Gilt are ~4.5bps higher today at typing.
  • Gilt futures are –70 at 98.11, with bears eyeing a test of the July 11 low at 97.63.
  • BoE-dated OIS continue to price a ~40% implied probability of a 25bps cut in August, with 47bps of easing through the remainder of this year. 

 

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