18 Jul – 22 Jul 2016


Rates dropped across the curve but it was in three year bonds where movements were greatest and the yield curve steepened as a result. The 3y/10y spread rose from 47bps to 51bps while the movement in the 20 year rate was more pronounced. The yield implied by 20 year futures contracts only fell 2bps and so the 3y/20y spread rose from 95bps to 104bps.