UST 10Y vs Gilt RV Switch

Macro RV PM | Rates | exited

Trade Date: 2026-03-29 | Review Date: 2026-04-26

Market: UST vs Gilt | Strategy: Relative Value | Direction: Long UST vs Short Gilt

Entry: Z-spread differential 24bp | Target: 12bp | Stop: 34bp

Risk Capital: 1.1% | Conviction: 6/10

Rationale

Why this trade was submitted

Valuation and carry-adjusted spread differential remains stretched versus policy-path expectations.

Catalysts: Cross-market term premium convergence and issuance composition shifts.

Invalidation: US growth upside surprises with persistent US-end underperformance.