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Pricing Out Risk Of Negative Rates

GILT SUMMARY

Gilts have been offered through the day and the curve has steepened.

  • BoE Governor Andrew Bailey earlier indicated that there would be issues with introducing negative rates, which pushed up cable and underpinned the sell-off in short-end rates.
  • Gilt cash yields are now 3-5bp higher. Last yields: 2-year -0.0783%, 5-year 0.0132%, 10-year 0.3569%, 30-year 0.9328%.
  • The Mar-21 gilt future trades at 133.62, 7 ticks off the day's low.
  • The DMO earlier sold GBP3.0bn of the 0.125% Jan-28 Gilt and GBP1.25bn of the 1.625% Oct-54 Gilt. A further GBP750mn of the former and GBP200.624mn of the latter was taken up through the PAOF.
  • The BoE purchased GBP1.48bn of long-dated gilts with offer-to-cover of 1.40x.
  • The data calendar was light today. Looking ahead, monthly GDP for November will be published on Friday alongside industrial production, construction output, index of services and international trade for the same month.
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