In the first of the Conservative.......>

GILT SUMMARY: In the first of the Conservative leadership ballots three

candidates were eliminated: Andrea Leadsom, Esther McVey and Mark Harper. Boris

Johnson top the list with 114 votes, with his next closest rival Foreign

Secretary Jeremy Hunt securing backing of 43 MPs.

- The Sep-19 gilt future trades at 130.3 near the middle of the day's range;

L-H: 130.1-130.49.

- Gilts have rallied with yields 2-3bps lower on the day. Cash yields (Last / 1d

chg / L..H): 2Y (0.584% / -1.7bp / 0.5726%...0.5891%); 5Y (0.6195% / -2.7bp /

0.6095%...0.6248%); 10Y (0.8362% / -3bp / 0.8267%...0.8417%); 30Y (1.4311% /

-3.3bp / 1.4222%...1.4362%).

- The curve has bull flattened: 2s10s (24.5bp / -1.2bp / 24.4bp..25.1bp); 2s30s

(84bp / -1.4bp / 83.9bp..85.6bp).

- The short sterling futures strip has flattened: W (broadly + 0.0/1.0 ticks

higher); R (+ 1.5/2.5 ticks); G (+ 2.5 ticks); B (+ 2.0/3.0 ticks).