One-month forward Gilt rates peaked at 6.16% this week, compared to 6.25% the previous week. The 2-year/10-year United Kingdom Gilt spread closed the week at 0.304%, compared to 0.316% one week prior.

As explained in Prof. Robert Jarrow’s book cited below, forward rates contain a risk premium above and beyond the market’s expectations for the 3-month forward rate. We document the size of that risk ...