Gilts Close Gap vs BTPs, SPGBs as Brexit Premium Trimmed: Charts
Source: BFW (Bloomberg First Word)
To de-activate this alert, click here
UUID: 7947283
(Bloomberg) -- Regression analysis shows beta coefficient of U.K. 10Y yields vs Italy, Spain increased this year, with the spreads recently narrowing from last week’s multi-month highs as Brexit polls swing in favor of “remain”; see chart here.
Alert: HALISTER1- U.K. 10Y yields have declined this quarter amid continued uncertainty over Brexit vote while similar-maturity Italy and Spain yields have increased
- Spread on 10Y BTPs over gilts is now 19bp, compared with -19bp on April 1
- The periphery-EGB beta to gilts has been increasing this year; see regression analysis here
- R^2 = 0.58, y = -67.28x + 221.68 this year
- NOTE: Tanvir Sandhu is an interest-rate and derivatives strategist who writes for First Word. The observations he makes are his own and are not intended as investment advice.
- NOTE: To follow our referendum night live blog, click here.
Source: BFW (Bloomberg First Word)
To de-activate this alert, click here
UUID: 7947283