- Gilts have rallied modestly across...>

GILT SUMMARY: - Gilts have rallied modestly across the curve since mid-morning.

- Current levels: 2-year 0.695%, 5-year 0.986%, 10-year 1.238%, 30-year 1.720%.

- The curve has steepened slightly with the 2s10s spread widening to 53.2bps

from 52.2bps and the 2s30s trading up to 101.4bps from 100.5bps.

- There has been a marginal tick higher in inflation expectations, with the

5-year breakeven trading at 3.014% and the 10-year at 3.068%.

- Short-sterling options flow has been relatively light this morning. 

- The short-sterling futures strip is flat to 1.0 ticks lower.

- There has been a very mild deterioration in credit risk in recent days, with

the benchmark 5-year CDS trading at 25.4bps from 24.0bps at the beginning of

August.

- The policy and data calendar is light this week. Public sector finance data is

published on Tuesday and mortgage data on Friday.