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HOLDING ON TO GAINS

GILT SUMMARY

A slew of data revealing the extent of the contraction in economic output during the second quarter in the US and Europe has fuelled the risk-off shift today.

- The gilt rally lost momentum by early afternoon, but the bulk of earlier gains have been retained. The Sep-20 gilt future has traded up to 138.70 and 11 ticks off the day's high (L: 138.41 / H: 138.81).

- The gilt curve has bull flattened with the 2s10s spread 2bp narrower on the day. Last yields: 2-year -0.0979%, 5-year -0.1388%, 10-year 0.0789%, 30-year 0.6032%.

- The short sterling futures strip has flattened with whites/reds up 0.5-1.5 ticks and greens/blues up 1.5-2.5 ticks.

- Tomorrow will see the release of the final GfK Consumer Confidence print for July and the Nationwide House Price index for the same period.

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