1) Recent Rates Movements
The gilts yield curve has exhibited a consistent flattening pattern across all observed periods, driven by long-term yields moving less favorably than short-term yields.
- Past day: Spread Change = (-1.28) - (-0.19) = -1.10bps, indicating a FLATTENING move. All tenors declined, but the 30Y fell more sharply (-1.28bps) than the 2Y (-0.19bps), compressing the long-short spread.
- Past month: Spread Change = (+9.53) - (+10.35) = -0.82bps, confirming a FLATTENING move. While yields rose across the curve, the 2Y increased by 10.35bps versus a smaller 9.53bps rise in the 30Y.
- Past year: Spread Change = (+36.22) - (+45.48) = -9.26bps, representing the most pronounced FLATTENING move. The 2Y yield rose by 45.48bps, substantially outpacing the 30Y's 36.22bps increase.
This sustained flattening trend across the past day, past month, and past year reflects short-term rates rising or falling more than long-term rates, a pattern typically associated with monetary policy tightening expectations at the front end of the curve. The more pronounced flattening over the past year suggests short-term rate expectations have shifted considerably relative to long-term growth and inflation expectations embedded in longer maturities. The continuation of this dynamic into the past month and past day, albeit at a more moderate pace, indicates the flattening pressure remains persistent, with short-end yields continuing to be more sensitive to near-term monetary policy conditions than the long end of the curve.