1) Recent Rates Movements
The gilts yield curve has exhibited a consistent flattening pattern across all three periods under review, based on the spread change calculation (Long Rate Change minus Short Rate Change) between the 30Y and 2Y tenors.
- Past day: Spread Change = -1.70 - (-0.86) = -0.84bps, indicating flattening. All tenors declined, but the long end fell more sharply, with 20Y (-2.13bps) and 30Y (-1.70bps) declining more than the 2Y (-0.86bps) and 5Y (-0.38bps).
- Past month: Spread Change = 11.33 - 11.68 = -0.35bps, a marginal flattening. Yields rose across the curve, with the 5Y (+12.85bps) and 10Y (+12.72bps) seeing the largest increases, while the 2Y (+11.68bps) and 30Y (+11.33bps) moved by comparable, slightly smaller magnitudes.
- Past year: Spread Change = 29.22 - 54.74 = -25.52bps, representing a pronounced flattening. The short end rose substantially more than the long end, with the 2Y up 54.74bps and 5Y up 58.19bps, compared to more modest increases at the 20Y (+28.61bps) and 30Y (+29.22bps).
The persistent flattening trend, most notable over the past year, reflects a narrowing spread between short- and long-term yields. This pattern is often associated with tighter monetary policy expectations affecting the short end of the curve more directly, while longer-dated yields typically reflect market expectations for inflation and economic growth over an extended horizon. The relative stability of long-end yields compared to the sharper movements at the short end, particularly evident in the past day and past year data, suggests that short-term rate expectations have been the primary driver of curve shape changes during these periods.