The reduction was more pronounced at shorter maturities for both curves. Year on year inflation continues to fall and September RPI inflation came in at 1.7% while RPI inflation stood at 2.7%. Interest rate cuts are expected by the market, with a total 50bps cut expected over the two Bank of England meetings to year end. Over the quarter, non-financials corporate credit spreads have increased modestly albeit remaining at historic lows (note the z-spread shown is versus swaps).
Over the quarter, the nominal gilt yield curve shifted lower, falling by approximately 15 basis points (bps) at the short end and around 5bps at the long end.
Over the quarter, the nominal gilt curve has shifted up by around 50 basis points (0.50%) on average across all maturities.
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Over the quarter, the nominal gilt curve has shifted down by around 25 basis points across the medium to longer maturities.